# EDGAR Filing Document

**Accession Number:** 0000915802
**File Stem:** 0001752724-23-075954
**Filing Date:** 2023-3
**Character Count:** 602118
**Document Hash:** 5a28b36d2d775424640b0955704abd80
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-075954.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001752724-23-075954

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230331

**DATE AS OF CHANGE**: 20230331

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FINANCIAL INVESTORS TRUST
- **CENTRAL INDEX KEY:** 0000915802
- **IRS NUMBER:** 841255767
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08194
- **FILM NUMBER:** 23786434

**BUSINESS ADDRESS:**
- **STREET 1:** P.O. BOX 328
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80201-0328
- **BUSINESS PHONE:** 3036232577

**MAIL ADDRESS:**
- **STREET 1:** P.O. BOX 328
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80201-0328

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FGIC PUBLIC TRUST
- **DATE OF NAME CHANGE:** 19940325

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FEDERAL PUBLIC TRUST
- **DATE OF NAME CHANGE:** 19931206

## Series and Classes Contracts Data

### ALPS | Smith Credit Opportunities Fund (Series ID: S000069461)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000221742 | Investor Class | SMCVX           |
| C000221743 | Class A        | SMCAX           |
| C000221744 | Class C        | SMCCX           |
| C000221745 | Class I        | SMCRX           |

## Nport-Ex

**Financial Investors Trust**

**Schedules of Investments**

**(Unaudited)**

**January 31, 2023**

---

| |
|:---|
| ALPS\|CoreCommodity Management <br> CompleteCommodities<sup>®</sup> Strategy Fund |
| **CONSOLIDATED STATEMENT OF INVESTMENTS** |
| ***January 31, 2023 (Unaudited)*** |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| **COMMON STOCKS (23.60%)** | **COMMON STOCKS (23.60%)** | **COMMON STOCKS (23.60%)** |
| ***Argentina (0.07%)*** | ***Argentina (0.07%)*** | ***Argentina (0.07%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;Adecoagro SA | 132776 | $1121957 |
| ***Australia (1.41%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Beach Energy, Ltd. | 684196 | 729240 |
| &nbsp;&nbsp;&nbsp;&nbsp;BHP Group, Ltd. | 74590 | 2599828 |
| &nbsp;&nbsp;&nbsp;&nbsp;BlueScope Steel, Ltd. | 31560 | 426821 |
| &nbsp;&nbsp;&nbsp;&nbsp;Champion Iron, Ltd. | 340883 | 1720380 |
| &nbsp;&nbsp;&nbsp;&nbsp;Evolution Mining, Ltd. | 1412119 | 3189585 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fortescue Metals Group, Ltd. | 160487 | 2519344 |
| &nbsp;&nbsp;&nbsp;&nbsp;GrainCorp, Ltd., Class A | 85256 | 454946 |
| &nbsp;&nbsp;&nbsp;&nbsp;IGO, Ltd. | 80717 | 830113 |
| &nbsp;&nbsp;&nbsp;&nbsp;Iluka Resources, Ltd. | 195693 | 1491805 |
| &nbsp;&nbsp;&nbsp;&nbsp;Newcrest Mining, Ltd. | 140552 | 2214601 |
| &nbsp;&nbsp;&nbsp;&nbsp;Northern Star Resources, Ltd. | 133244 | 1180332 |
| &nbsp;&nbsp;&nbsp;&nbsp;Nufarm, Ltd. | 147504 | 616366 |
| &nbsp;&nbsp;&nbsp;&nbsp;Perseus Mining, Ltd. | 532660 | 804594 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sandfire Resources NL | 94873 | 418539 |
| &nbsp;&nbsp;&nbsp;&nbsp;South32, Ltd. | 1248951 | 4002342 |
| &nbsp;&nbsp;&nbsp;&nbsp;Woodside Energy Group, Ltd. | 22986 | 588307 |
|  |  | 23787143 |
| ***Austria (0.07%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;OMV AG | 11477 | 572078 |
| &nbsp;&nbsp;&nbsp;&nbsp;voestalpine AG | 18655 | 616533 |
|  |  | 1188611 |
| ***Brazil (0.23%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 102006 | 1123086 |
| &nbsp;&nbsp;&nbsp;&nbsp;Petroleo Brasileiro SA, Sponsored ADR | 112860 | 1309176 |
| &nbsp;&nbsp;&nbsp;&nbsp;Vale SA, Sponsored ADR | 69799 | 1303845 |
|  |  | 3736107 |
| ***Canada (5.30%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Agnico-Eagle Mines, Ltd. | 73294 | 4139124 |
| &nbsp;&nbsp;&nbsp;&nbsp;Alamos Gold, Inc., Class A | 158569 | 1750602 |
| &nbsp;&nbsp;&nbsp;&nbsp;ARC Resources, Ltd. | 185600 | 2156534 |
| &nbsp;&nbsp;&nbsp;&nbsp;B2Gold Corp. | 2395427 | 9509846 |
| &nbsp;&nbsp;&nbsp;&nbsp;Barrick Gold Corp. | 19282 | 376963 |
| &nbsp;&nbsp;&nbsp;Baytex Energy Corp.<sup>(a)</sup> | 380600 | 1762050 |
| &nbsp;&nbsp;&nbsp;&nbsp;Birchcliff Energy, Ltd. | 272300 | 1745683 |
| &nbsp;&nbsp;&nbsp;&nbsp;Boralex, Inc., Class A | 11600 | 324579 |
| &nbsp;&nbsp;&nbsp;&nbsp;Brookfield Renewable Partners LP | 3100 | 90282 |
| &nbsp;&nbsp;&nbsp;&nbsp;Canadian Natural Resources, Ltd. | 10500 | 644497 |
| &nbsp;&nbsp;&nbsp;Canadian Solar, Inc.<sup>(a)</sup> | 62790 | 2641576 |
| &nbsp;&nbsp;&nbsp;Canfor Corp.<sup>(a)</sup> | 73700 | 1396398 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cenovus Energy, Inc. | 44900 | 896954 |
| &nbsp;&nbsp;&nbsp;&nbsp;Centerra Gold, Inc. | 227200 | 1458260 |
| &nbsp;&nbsp;&nbsp;&nbsp;Crescent Point Energy Corp. | 476100 | 3556751 |
| &nbsp;&nbsp;&nbsp;Eldorado Gold Corp.<sup>(a)</sup> | 135739 | 1297665 |
| &nbsp;&nbsp;&nbsp;&nbsp;Enerplus Corp. | 19440 | 345060 |
| &nbsp;&nbsp;&nbsp;&nbsp;First Majestic Silver Corp. | 159311 | 1256964 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| ***Canada (continued)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;First Quantum Minerals, Ltd. | 101200 | $2347934 |
| &nbsp;&nbsp;&nbsp;&nbsp;Freehold Royalties, Ltd. | 9800 | 118435 |
| &nbsp;&nbsp;&nbsp;&nbsp;Hudbay Minerals, Inc. | 258800 | 1503532 |
| &nbsp;&nbsp;&nbsp;&nbsp;Imperial Oil, Ltd. | 31100 | 1699742 |
| &nbsp;&nbsp;&nbsp;&nbsp;Innergex Renewable Energy, Inc. | 67100 | 797807 |
| &nbsp;&nbsp;&nbsp;&nbsp;Interfor Corp. | 76000 | 1519943 |
| &nbsp;&nbsp;&nbsp;Ivanhoe Mines, Ltd., Class A<sup>(a)</sup> | 76600 | 719627 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinross Gold Corp. | 970605 | 4503607 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lundin Mining Corp. | 321300 | 2431694 |
| &nbsp;&nbsp;&nbsp;MAG Silver Corp.<sup>(a)</sup> | 12745 | 174734 |
| &nbsp;&nbsp;&nbsp;&nbsp;Maple Leaf Foods, Inc. | 36300 | 689961 |
| &nbsp;&nbsp;&nbsp;MEG Energy Corp.<sup>(a)</sup> | 39400 | 651164 |
| &nbsp;&nbsp;&nbsp;NexGen Energy, Ltd.<sup>(a)</sup> | 259400 | 1251624 |
| &nbsp;&nbsp;&nbsp;&nbsp;Northland Power, Inc. | 61700 | 1657328 |
| &nbsp;&nbsp;&nbsp;&nbsp;Nutrien, Ltd. | 29800 | 2466778 |
| &nbsp;&nbsp;&nbsp;NuVista Energy, Ltd.<sup>(a)</sup> | 73000 | 611740 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pan American Silver Corp. | 318619 | 5808424 |
| &nbsp;&nbsp;&nbsp;&nbsp;Paramount Resources, Ltd., Class A | 39600 | 915483 |
| &nbsp;&nbsp;&nbsp;&nbsp;Parex Resources, Inc. | 111500 | 1898068 |
| &nbsp;&nbsp;&nbsp;&nbsp;Peyto Exploration & Development Corp. | 71800 | 654567 |
| &nbsp;&nbsp;&nbsp;&nbsp;PrairieSky Royalty, Ltd. | 56500 | 970719 |
| &nbsp;&nbsp;&nbsp;&nbsp;Saputo, Inc. | 87700 | 2417674 |
| &nbsp;&nbsp;&nbsp;&nbsp;Suncor Energy, Inc. | 71400 | 2478112 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tamarack Valley Energy, Ltd. | 302800 | 1096912 |
| &nbsp;&nbsp;&nbsp;&nbsp;Teck Resources, Ltd., Class B | 121809 | 5274330 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tourmaline Oil Corp. | 24200 | 1127836 |
| &nbsp;&nbsp;&nbsp;&nbsp;Vermilion Energy, Inc. | 200100 | 3067934 |
| &nbsp;&nbsp;&nbsp;&nbsp;Wheaton Precious Metals Corp. | 27437 | 1254968 |
| &nbsp;&nbsp;&nbsp;&nbsp;Whitecap Resources, Inc. | 100300 | 835990 |
| &nbsp;&nbsp;&nbsp;&nbsp;Yamana Gold, Inc. | 641433 | 3867841 |
|  |  | 90164296 |
| ***Chile (0.05%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Sociedad Quimica y Minera de Chile SA, Sponsored ADR | 8858 | 864009 |
| ***China (0.18%)*** |  |  |
| &nbsp;&nbsp;&nbsp;Daqo New Energy Corp., ADR<sup>(a)</sup> | 37401 | 1702120 |
| &nbsp;&nbsp;&nbsp;JinkoSolar Holding Co., Ltd., ADR<sup>(a)</sup> | 25327 | 1427936 |
|  |  | 3130056 |
| ***Denmark (0.14%)*** |  |  |
| &nbsp;&nbsp;&nbsp;Orsted AS<sup>(b)(c)</sup> | 18567 | 1641609 |
| &nbsp;&nbsp;&nbsp;&nbsp;Vestas Wind Systems A/S | 21377 | 621000 |
|  |  | 2262609 |
| ***Faroe Islands (0.03%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bakkafrost P/F | 6869 | 424943 |
| ***Finland (0.17%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Metso Outotec Oyj | 159987 | 1828865 |
| &nbsp;&nbsp;&nbsp;&nbsp;Outokumpu Oyj | 190862 | 1088518 |
|  |  | 2917383 |
| ***France (0.06%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;TotalEnergies SE, ADR | 17395 | 1079186 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| ***Germany (0.53%)*** | ***Germany (0.53%)*** | ***Germany (0.53%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;Bayer AG | 39483 | $2446655 |
| &nbsp;&nbsp;&nbsp;&nbsp;Encavis AG | 44088 | 848602 |
| &nbsp;&nbsp;&nbsp;&nbsp;K+S AG | 171199 | 4087157 |
| &nbsp;&nbsp;&nbsp;Nordex SE<sup>(a)</sup> | 73304 | 1106924 |
| &nbsp;&nbsp;&nbsp;&nbsp;Salzgitter AG | 10429 | 423355 |
| &nbsp;&nbsp;&nbsp;&nbsp;thyssenkrupp AG | 17747 | 138566 |
|  |  | 9051259 |
| ***Great Britain (1.07%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Anglo American PLC | 24783 | 1059143 |
| &nbsp;&nbsp;&nbsp;&nbsp;Atlantica Sustainable Infrastructure PLC | 66880 | 1833849 |
| &nbsp;&nbsp;&nbsp;&nbsp;BP PLC, Sponsored ADR | 18933 | 685943 |
| &nbsp;&nbsp;&nbsp;&nbsp;CNH Industrial N.V. | 169308 | 3000138 |
| &nbsp;&nbsp;&nbsp;&nbsp;Drax Group PLC | 98601 | 785278 |
| &nbsp;&nbsp;&nbsp;&nbsp;Endeavour Mining PLC | 239300 | 5638311 |
| &nbsp;&nbsp;&nbsp;Evraz PLC<sup>(a)(d)(e)</sup> | 91946 | 1134 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pentair PLC | 19443 | 1076753 |
| &nbsp;&nbsp;&nbsp;&nbsp;Rio Tinto PLC, Sponsored ADR | 25332 | 2010094 |
| &nbsp;&nbsp;&nbsp;&nbsp;Severn Trent PLC | 29082 | 1009640 |
| &nbsp;&nbsp;&nbsp;&nbsp;Subsea 7 SA | 62311 | 773144 |
| &nbsp;&nbsp;&nbsp;&nbsp;Weir Group PLC | 17675 | 388308 |
|  |  | 18261735 |
| ***Israel (0.08%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;ICL Group, Ltd. | 159956 | 1274849 |
| ***Italy (0.15%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Eni SpA, Sponsored ADR | 70519 | 2179037 |
| &nbsp;&nbsp;&nbsp;&nbsp;ERG SpA | 13743 | 413258 |
|  |  | 2592295 |
| ***Japan (1.31%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;eRex Co., Ltd. | 58700 | 1079162 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ezaki Glico Co., Ltd. | 4600 | 128283 |
| &nbsp;&nbsp;&nbsp;&nbsp;Inpex Corp. | 205333 | 2240025 |
| &nbsp;&nbsp;&nbsp;&nbsp;Japan Petroleum Exploration Co., Ltd. | 39800 | 1278101 |
| &nbsp;&nbsp;&nbsp;&nbsp;JFE Holdings, Inc. | 145800 | 1912039 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kubota Corp. | 229000 | 3409534 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kurita Water Industries, Ltd. | 53616 | 2405543 |
| &nbsp;&nbsp;&nbsp;&nbsp;MEIJI Holdings Co., Ltd. | 75000 | 3860484 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mitsubishi Materials Corp. | 14000 | 239419 |
| &nbsp;&nbsp;&nbsp;&nbsp;OSAKA Titanium Technologies Co., Ltd. | 49700 | 1399382 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sumitomo Forestry Co., Ltd. | 73459 | 1363477 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sumitomo Metal Mining Co., Ltd. | 76000 | 3064172 |
|  |  | 22379621 |
| ***Luxembourg (0.36%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;APERAM SA | 14100 | 553675 |
| &nbsp;&nbsp;&nbsp;&nbsp;ArcelorMittal | 14925 | 461780 |
| &nbsp;&nbsp;&nbsp;&nbsp;ArcelorMittal SA | 48939 | 1508860 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tenaris SA, ADR | 27417 | 971933 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ternium SA, Sponsored ADR | 63021 | 2542897 |
|  |  | 6039145 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| ***Malaysia (0.02%)*** | ***Malaysia (0.02%)*** | ***Malaysia (0.02%)*** |
| &nbsp;&nbsp;&nbsp;Lynas Rare Earths, Ltd.<sup>(a)</sup> | 58403 | $387092 |
| ***Mexico (0.43%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Fresnillo PLC | 21852 | 221287 |
| &nbsp;&nbsp;&nbsp;&nbsp;Gruma SAB de CV | 72195 | 1047087 |
| &nbsp;&nbsp;&nbsp;&nbsp;Grupo Mexico SAB de CV, Series B | 905300 | 4026387 |
| &nbsp;&nbsp;&nbsp;&nbsp;Southern Copper Corp. | 26232 | 1972909 |
|  |  | 7267670 |
| ***Netherlands (0.32%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;AMG Advanced Metallurgical Group NV | 23373 | 908148 |
| &nbsp;&nbsp;&nbsp;&nbsp;Core Laboratories N.V. | 49663 | 1271373 |
| &nbsp;&nbsp;&nbsp;Fugro N.V.<sup>(a)</sup> | 79333 | 1053070 |
| &nbsp;&nbsp;&nbsp;&nbsp;OCI N.V. | 50525 | 1715952 |
| &nbsp;&nbsp;&nbsp;&nbsp;SBM Offshore N.V. | 47369 | 742844 |
|  |  | 5691387 |
| ***New Zealand (0.05%)*** |  |  |
| &nbsp;&nbsp;&nbsp;a2 Milk Co., Ltd.<sup>(a)</sup> | 176516 | 849731 |
| ***Norway (0.87%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Aker BP ASA | 37445 | 1137425 |
| &nbsp;&nbsp;&nbsp;&nbsp;Equinor ASA | 121115 | 3680191 |
| &nbsp;&nbsp;&nbsp;&nbsp;Leroy Seafood Group ASA | 70514 | 413974 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mowi ASA | 140846 | 2597049 |
| &nbsp;&nbsp;&nbsp;NEL ASA<sup>(a)</sup> | 476921 | 810349 |
| &nbsp;&nbsp;&nbsp;&nbsp;Norsk Hydro ASA | 182328 | 1467523 |
| &nbsp;&nbsp;&nbsp;&nbsp;Salmar ASA | 12666 | 586755 |
| &nbsp;&nbsp;&nbsp;Scatec ASA<sup>(b)(c)</sup> | 126055 | 1021665 |
| &nbsp;&nbsp;&nbsp;&nbsp;TGS ASA | 50202 | 826339 |
| &nbsp;&nbsp;&nbsp;&nbsp;Yara International ASA | 46109 | 2041775 |
|  |  | 14583045 |
| ***Peru (0.05%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Cia de Minas Buenaventura SAA, ADR | 108938 | 881308 |
| ***South Africa (0.81%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Anglo Platinum, Ltd. | 10455 | 772144 |
| &nbsp;&nbsp;&nbsp;&nbsp;AngloGold Ashanti, Ltd., Sponsored ADR | 36943 | 776542 |
| &nbsp;&nbsp;&nbsp;&nbsp;Gold Fields, Ltd., Sponsored ADR | 600540 | 6870178 |
| &nbsp;&nbsp;&nbsp;&nbsp;Impala Platinum Holdings, Ltd. | 103984 | 1203286 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kumba Iron Ore, Ltd. | 51422 | 1564972 |
| &nbsp;&nbsp;&nbsp;Northam Platinum Holdings, Ltd.<sup>(a)</sup> | 129130 | 1266587 |
| &nbsp;&nbsp;&nbsp;&nbsp;Remgro, Ltd. | 106592 | 857637 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sasol, Ltd. | 24442 | 440068 |
|  |  | 13751414 |
| ***Spain (0.39%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Acciona SA | 6621 | 1288440 |
| &nbsp;&nbsp;&nbsp;&nbsp;Acerinox SA | 44206 | 476931 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corp ACCIONA Energias Renovables SA | 22353 | 911772 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fluidra SA | 105756 | 1857950 |
| &nbsp;&nbsp;&nbsp;&nbsp;Iberdrola SA | 112448 | 1313548 |
| &nbsp;&nbsp;&nbsp;&nbsp;Repsol SA | 21441 | 351740 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| ***Spain (continued)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Solaria Energia y Medio Ambiente SA | 18123 | $370108 |
|  |  | 6570489 |
| ***Sweden (0.65%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;AAK AB | 17147 | 294976 |
| &nbsp;&nbsp;&nbsp;&nbsp;Boliden AB | 119939 | 5361793 |
| &nbsp;&nbsp;&nbsp;&nbsp;Holmen AB, B Shares | 8330 | 342357 |
| &nbsp;&nbsp;&nbsp;&nbsp;SSAB AB, A Shares | 190388 | 1353412 |
| &nbsp;&nbsp;&nbsp;&nbsp;Svenska Cellulosa AB SCA, Class B | 255519 | 3535572 |
|  |  | 10888110 |
| ***Switzerland (0.10%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bucher Industries AG | 799 | 361841 |
| &nbsp;&nbsp;&nbsp;&nbsp;Glencore PLC | 206097 | 1375115 |
|  |  | 1736956 |
| ***United States (8.70%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;AGCO Corp. | 30591 | 4225535 |
| &nbsp;&nbsp;&nbsp;Ameresco, Inc., Class A<sup>(a)</sup> | 14363 | 925983 |
| &nbsp;&nbsp;&nbsp;&nbsp;American Water Works Co., Inc. | 3196 | 500142 |
| &nbsp;&nbsp;&nbsp;&nbsp;Andersons, Inc. | 32728 | 1203736 |
| &nbsp;&nbsp;&nbsp;Antero Resources Corp.<sup>(a)</sup> | 3650 | 105266 |
| &nbsp;&nbsp;&nbsp;&nbsp;Archer-Daniels-Midland Co. | 23041 | 1908947 |
| &nbsp;&nbsp;&nbsp;&nbsp;Archrock, Inc. | 110524 | 1095293 |
| &nbsp;&nbsp;&nbsp;Array Technologies, Inc.<sup>(a)</sup> | 6393 | 142116 |
| &nbsp;&nbsp;&nbsp;ATI, Inc.<sup>(a)</sup> | 5191 | 188900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Baker Hughes Co. | 16972 | 538691 |
| &nbsp;&nbsp;&nbsp;Beyond Meat, Inc.<sup>(a)</sup> | 65541 | 1076839 |
| &nbsp;&nbsp;&nbsp;Bloom Energy Corp., Class A<sup>(a)</sup> | 8876 | 221279 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bunge, Ltd. | 22474 | 2227173 |
| &nbsp;&nbsp;&nbsp;&nbsp;California Water Service Group | 26453 | 1618130 |
| &nbsp;&nbsp;&nbsp;Callon Petroleum Co.<sup>(a)</sup> | 55348 | 2355057 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cal-Maine Foods, Inc. | 19260 | 1102057 |
| &nbsp;&nbsp;&nbsp;&nbsp;CF Industries Holdings, Inc. | 34099 | 2888185 |
| &nbsp;&nbsp;&nbsp;&nbsp;ChampionX Corp. | 8864 | 292689 |
| &nbsp;&nbsp;&nbsp;&nbsp;Chemours Co. | 101629 | 3698279 |
| &nbsp;&nbsp;&nbsp;&nbsp;Chevron Corp. | 8124 | 1413738 |
| &nbsp;&nbsp;&nbsp;&nbsp;Civitas Resources, Inc. | 24990 | 1663085 |
| &nbsp;&nbsp;&nbsp;Cleveland-Cliffs, Inc.<sup>(a)</sup> | 21936 | 468334 |
| &nbsp;&nbsp;&nbsp;CNX Resources Corp.<sup>(a)</sup> | 16086 | 269119 |
| &nbsp;&nbsp;&nbsp;&nbsp;Commercial Metals Co. | 14599 | 792288 |
| &nbsp;&nbsp;&nbsp;&nbsp;Comstock Resources, Inc. | 72767 | 884119 |
| &nbsp;&nbsp;&nbsp;&nbsp;ConocoPhillips | 21693 | 2643726 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corteva, Inc. | 67422 | 4345349 |
| &nbsp;&nbsp;&nbsp;&nbsp;Coterra Energy, Inc. | 16274 | 407338 |
| &nbsp;&nbsp;&nbsp;Darling Ingredients, Inc.<sup>(a)</sup> | 30413 | 2016078 |
| &nbsp;&nbsp;&nbsp;&nbsp;Deere & Co. | 6454 | 2729009 |
| &nbsp;&nbsp;&nbsp;&nbsp;Devon Energy Corp. | 20591 | 1302175 |
| &nbsp;&nbsp;&nbsp;&nbsp;Diamondback Energy, Inc. | 21197 | 3097306 |
| &nbsp;&nbsp;&nbsp;Earthstone Energy, Inc., Class A<sup>(a)</sup> | 78931 | 1097141 |
| &nbsp;&nbsp;&nbsp;Enphase Energy, Inc.<sup>(a)</sup> | 6010 | 1330494 |
| &nbsp;&nbsp;&nbsp;&nbsp;EOG Resources, Inc. | 3117 | 412223 |
| &nbsp;&nbsp;&nbsp;&nbsp;Essential Utilities, Inc. | 23149 | 1081753 |
| &nbsp;&nbsp;&nbsp;&nbsp;Exxon Mobil Corp. | 15730 | 1824837 |
| &nbsp;&nbsp;&nbsp;First Solar, Inc.<sup>(a)</sup> | 9470 | 1681872 |
| &nbsp;&nbsp;&nbsp;&nbsp;FMC Corp. | 16660 | 2217946 |
| &nbsp;&nbsp;&nbsp;&nbsp;Freeport-McMoRan, Inc. | 45085 | 2011693 |
| &nbsp;&nbsp;&nbsp;Green Plains, Inc.<sup>(a)</sup> | 33207 | 1154607 |
| &nbsp;&nbsp;&nbsp;&nbsp;Halliburton Co. | 43016 | 1773120 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| ***United States (continued)*** | ***United States (continued)*** | ***United States (continued)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;Hecla Mining Co. | 416401 | $2569194 |
| &nbsp;&nbsp;&nbsp;&nbsp;Helmerich & Payne, Inc. | 29275 | 1418081 |
| &nbsp;&nbsp;&nbsp;&nbsp;Hess Corp. | 5274 | 791944 |
| &nbsp;&nbsp;&nbsp;&nbsp;HF Sinclair Corp. | 22080 | 1256352 |
| &nbsp;&nbsp;&nbsp;&nbsp;Hormel Foods Corp. | 63282 | 2867307 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ingredion, Inc. | 18235 | 1874558 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kinder Morgan, Inc. | 5763 | 105463 |
| &nbsp;&nbsp;&nbsp;Kosmos Energy, Ltd.<sup>(a)</sup> | 13654 | 108003 |
| &nbsp;&nbsp;&nbsp;&nbsp;Liberty Energy, Inc., Class A | 55475 | 878169 |
| &nbsp;&nbsp;&nbsp;Livent Corp.<sup>(a)</sup> | 29345 | 760622 |
| &nbsp;&nbsp;&nbsp;&nbsp;Magnolia Oil & Gas Corp., Class A | 50517 | 1192706 |
| &nbsp;&nbsp;&nbsp;&nbsp;Marathon Oil Corp. | 99890 | 2743978 |
| &nbsp;&nbsp;&nbsp;&nbsp;Marathon Petroleum Corp. | 24420 | 3138459 |
| &nbsp;&nbsp;&nbsp;&nbsp;Matador Resources Co. | 41014 | 2713486 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mosaic Co. | 8373 | 414798 |
| &nbsp;&nbsp;&nbsp;MP Materials Corp.<sup>(a)</sup> | 29775 | 967985 |
| &nbsp;&nbsp;&nbsp;&nbsp;Murphy Oil Corp. | 36727 | 1601664 |
| &nbsp;&nbsp;&nbsp;&nbsp;National Fuel Gas Co. | 3154 | 183121 |
| &nbsp;&nbsp;&nbsp;&nbsp;National Oilwell Varco, Inc. | 18715 | 457395 |
| &nbsp;&nbsp;&nbsp;New WEI, Inc.<sup>(a)(d)(e)</sup> | 68768 | 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;Newmont Corp. | 109743 | 5808697 |
| &nbsp;&nbsp;&nbsp;&nbsp;Northern Oil and Gas, Inc. | 6053 | 202897 |
| &nbsp;&nbsp;&nbsp;Oceaneering International, Inc.<sup>(a)</sup> | 82594 | 1763382 |
| &nbsp;&nbsp;&nbsp;&nbsp;Patterson-UTI Energy, Inc. | 61986 | 1041365 |
| &nbsp;&nbsp;&nbsp;&nbsp;PDC Energy, Inc. | 19574 | 1325747 |
| &nbsp;&nbsp;&nbsp;&nbsp;Permian Resources Corp. | 55131 | 599274 |
| &nbsp;&nbsp;&nbsp;&nbsp;Phillips 66 | 8398 | 842067 |
| &nbsp;&nbsp;&nbsp;Pilgrim's Pride Corp.<sup>(a)</sup> | 67463 | 1638002 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pioneer Natural Resources Co. | 11621 | 2676897 |
| &nbsp;&nbsp;&nbsp;Plug Power, Inc.<sup>(a)</sup> | 4791 | 81543 |
| &nbsp;&nbsp;&nbsp;&nbsp;PotlatchDeltic Corp., REIT | 66606 | 3260363 |
| &nbsp;&nbsp;&nbsp;&nbsp;Range Resources Corp. | 28383 | 710143 |
| &nbsp;&nbsp;&nbsp;&nbsp;Rayonier, Inc., REIT | 64894 | 2361493 |
| &nbsp;&nbsp;&nbsp;REC Silicon ASA<sup>(a)</sup> | 596207 | 845188 |
| &nbsp;&nbsp;&nbsp;&nbsp;Reliance Steel & Aluminum Co. | 7901 | 1797082 |
| &nbsp;&nbsp;&nbsp;&nbsp;Royal Gold, Inc. | 8866 | 1126248 |
| &nbsp;&nbsp;&nbsp;&nbsp;RPC, Inc. | 103331 | 1025044 |
| &nbsp;&nbsp;&nbsp;&nbsp;Schlumberger, Ltd. | 25372 | 1445697 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sitio Royalties Corp. | 40709 | 1081638 |
| &nbsp;&nbsp;&nbsp;&nbsp;SM Energy Co. | 65268 | 2145359 |
| &nbsp;&nbsp;&nbsp;Southwestern Energy Co.<sup>(a)</sup> | 164146 | 906086 |
| &nbsp;&nbsp;&nbsp;&nbsp;SSR Mining, Inc. | 222808 | 3773648 |
| &nbsp;&nbsp;&nbsp;&nbsp;Steel Dynamics, Inc. | 12424 | 1498831 |
| &nbsp;&nbsp;&nbsp;SunPower Corp.<sup>(a)</sup> | 15675 | 273215 |
| &nbsp;&nbsp;&nbsp;Talos Energy, Inc.<sup>(a)</sup> | 138744 | 2748519 |
| &nbsp;&nbsp;&nbsp;Tellurian, Inc.<sup>(a)</sup> | 18598 | 37010 |
| &nbsp;&nbsp;&nbsp;Tidewater, Inc.<sup>(a)</sup> | 26483 | 1149362 |
| &nbsp;&nbsp;&nbsp;TimkenSteel Corp.<sup>(a)</sup> | 53046 | 1043415 |
| &nbsp;&nbsp;&nbsp;Transocean, Ltd.<sup>(a)</sup> | 366708 | 2471611 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tronox Holdings PLC, Class A | 12233 | 209796 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tyson Foods, Inc., Class A | 25330 | 1665448 |
| &nbsp;&nbsp;&nbsp;&nbsp;United States Steel Corp. | 102871 | 2930794 |
| &nbsp;&nbsp;&nbsp;US Silica Holdings, Inc.<sup>(a)</sup> | 105682 | 1293548 |
| &nbsp;&nbsp;&nbsp;&nbsp;Valero Energy Corp. | 15840 | 2218075 |
| &nbsp;&nbsp;&nbsp;Vital Energy, Inc.<sup>(a)</sup> | 29415 | 1655476 |
| &nbsp;&nbsp;&nbsp;W&T Offshore, Inc.<sup>(a)</sup> | 364401 | 2266574 |
| &nbsp;&nbsp;&nbsp;&nbsp;Weyerhaeuser Co., REIT | 29479 | 1014962 |
| &nbsp;&nbsp;&nbsp;&nbsp;Williams Cos., Inc. | 1855 | 59805 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| ***United States (continued)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Worthington Industries, Inc. | 4148 | $235897 |
|  |  | 148205233 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $326,183,826)** |  | 401087639 |
| **MASTER LIMITED PARTNERSHIPS (0.03%)** |  |  |
| ***United States (0.03%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Energy Transfer LP | 4974 | 66055 |
| &nbsp;&nbsp;&nbsp;&nbsp;Enterprise Products Partners LP | 10676 | 273305 |
| &nbsp;&nbsp;&nbsp;&nbsp;Magellan Midstream Partners LP | 2054 | 109684 |
| &nbsp;&nbsp;&nbsp;&nbsp;MPLX LP | 1555 | 54301 |
| &nbsp;&nbsp;&nbsp;&nbsp;Plains All American Pipeline LP | 3090 | 38501 |
|  |  | 541846 |
| **TOTAL MASTER LIMITED PARTNERSHIPS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $900,221)** |  | 541846 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| **GOVERNMENT BONDS (65.51%)** | **GOVERNMENT BONDS (65.51%)** | **GOVERNMENT BONDS (65.51%)** |
| ***U.S. Treasury Bonds (65.51%)*** | ***U.S. Treasury Bonds (65.51%)*** | ***U.S. Treasury Bonds (65.51%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;United States Cash Managment Bill |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.667%, 2/7/23<sup>(f)</sup> | $120500000 | $120416755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.020%, 2/14/23<sup>(f)</sup> | 136000000 | 135789681 |
| &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Bill |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.295%, 3/21/23<sup>(f)</sup> | 133800000 | 132999875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.730%, 3/23/23<sup>(f)</sup> | 27500000 | 27330417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.350%, 4/4/23<sup>(f)</sup> | 133900000 | 132872652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.343%, 4/11/23<sup>(f)</sup> | 27500000 | 27265382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.310%, 4/13/23<sup>(f)</sup> | 60000000 | 59465281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.486%, 4/20/23<sup>(f)</sup> | 85500000 | 84660702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.314%, 4/25/23 | 120800000 | 119547861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.431%, 5/9/23 | 88100000 | 87023677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.610%, 5/30/23<sup>(f)</sup> | 65000000 | 64021543 |
| &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Inflation Indexed Bonds, 0.625%, 4/15/23 | 102000000 | 121773888 |
|  |  | 1113167714 |
| **TOTAL GOVERNMENT BONDS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $1,114,517,213)** |  | 1113167714 |

---

---

| | |
|:---|:---|
| | **Value**<br> (Note 2)** |
| **TOTAL INVESTMENTS (89.14%)** |  |
| **(Cost $1,441,601,260)** | $1514797199 |
| **Other Assets In Excess Of Liabilities (10.86%)** | 184586647 |
| **NET ASSETS - 100.00%** | $1699383846 |

---

*<sup>(a)</sup>* *Non-Income Producing Security.*

*<sup>(b)</sup>* *Security exempt from registration under rule 144A of the securities act of 1933. This Security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2023, the market value of those securities was $2,663,274 representing 0.16% of the Fund's net assets.*

*<sup>(c)</sup>* *Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines approved by the Fund's Board of Trustees. As of January 31, 2023 the aggregate market value of those securities was $2,663,274 representing 0.16% of net assets.*

*<sup>(d)</sup>* *Fair valued security; valued by the valuation designee in accordance with the procedures approved by the Fund's Board of Trustees. As of January 31, 2023, these securities had a total value of $1,237 or less than 0.005% of total net assets.*

*<sup>(e)</sup>* *As a result of the use of significant unobservable inputs to determine fair value, these investments have been classified as level 3 assets. See also Note 2 to the Notes to Quarterly Statement of Investments for additional information.*

*<sup>(f)</sup>* *Security, or portion of security, is being held as collateral for total return swap contracts and futures contracts aggregating a total market value of $232,994,716.*

*For Fund compliance purposes, the Fund's industry and geographical classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine sub-classifications for reporting ease. Industries and regions are shown as a percent of net assets.* 

**FUTURES CONTRACTS** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Position** | **Contracts** | **Expiration <br> Date** | **Notional**<br> **Value**<br> **(Note 2)** | **Fair Value/Unrealized<br> Appreciation** |
| Copper Future | Morgan Stanley | Long | 90 | 05/26/23 | $9527625 | $538268 |
| Corn Future | Morgan Stanley | Long | 154 | 03/14/23 | 5234075 | 74556 |
| Frzn Concentrated OJ | Morgan Stanley | Long | 15 | 03/13/23 | 493200 | 39376 |
| Gasoline RBOB Future | Morgan Stanley | Short | (303) | 05/31/23 | (34011508) | 318224 |
| Heating Oil Future | Morgan Stanley | Short | (1) | 02/28/23 | (132082) | 10614 |
| Heating Oil Future | Morgan Stanley | Short | (233) | 05/31/23 | (28276647) | 584628 |
| LME Aluminum Future | Morgan Stanley | Long | 1328 | 03/13/23 | 87266200 | 8289056 |
| LME Aluminum Future | Morgan Stanley | Long | 1029 | 06/19/23 | 68576419 | 5897860 |
| LME Nickel Future | Morgan Stanley | Long | 178 | 02/13/23 | 32237580 | 3057198 |
| LME Nickel Future | Morgan Stanley | Long | 25 | 03/13/23 | 4536900 | 446788 |
| LME Zinc Future | Morgan Stanley | Long | 566 | 02/13/23 | 48212729 | 3369834 |
| Low Su Gasoil G Future | Morgan Stanley | Long | 360 | 02/10/23 | 32949000 | 760981 |
| Natural Gas Future | Morgan Stanley | Short | (54) | 03/29/23 | (1480140) | 1025772 |
| Natural Gas Future | Morgan Stanley | Short | (280) | 04/26/23 | (7960400) | 6206860 |
| Natural Gas Future | Morgan Stanley | Short | (1669) | 05/26/23 | (50737600) | 6252847 |
| Platinum Future | Morgan Stanley | Long | 212 | 04/26/23 | 10823660 | 236987 |
| Silver Future | Morgan Stanley | Long | 462 | 03/29/23 | 55061160 | 6153833 |
| Soybean Future | Morgan Stanley | Long | 920 | 03/14/23 | 44546400 | 2816498 |
| WTI Crude Future | Morgan Stanley | Short | (1794) | 05/22/23 | (142371840) | 2990589 |
|  |  |  |  |  | $134494731 | $49070769 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Position** | **Contracts** | **Expiration <br> Date** | **Notional**<br> **Value**<br> **(Note 2)** | **Fair Value/Unrealized<br> Depreciation** |
| Brent Crude Future | Morgan Stanley | Long | 1196 | 02/28/23 | $102210160 | $(1588329) |
| Cocoa Future | Morgan Stanley | Short | (1824) | 07/14/23 | (48062400) | (98270) |
| Coffee 'C' Future | Morgan Stanley | Short | (37) | 05/18/23 | (2521088) | (243853) |
| Coffee 'C' Future | Morgan Stanley | Short | (146) | 07/19/23 | (9907013) | (1332184) |
| Cotton No.2 Future | Morgan Stanley | Short | (61) | 05/08/23 | (2651975) | (24871) |
| Cotton No.2 Future | Morgan Stanley | Short | (523) | 07/07/23 | (22870790) | (453623) |
| Gasoline RBOB Future | Morgan Stanley | Long | 110 | 03/31/23 | 12636624 | (304070) |
| Gold 100 Oz Future | Morgan Stanley | Long | 238 | 04/29/13 | 46298140 | (7006) |
| Hard Red Winter Wheat Future | Morgan Stanley | Long | 141 | 03/14/23 | 6195188 | (340840) |
| Heating Oil Future | Morgan Stanley | Long | 102 | 03/31/23 | 13015649 | (576269) |
| Lean Hogs Future | Morgan Stanley | Long | 107 | 04/17/23 | 3698990 | (343392) |
| Live Cattle Future | Morgan Stanley | Short | (516) | 04/28/23 | (33648360) | (120082) |
| LME Aluminum Future | Morgan Stanley | Short | (1177) | 03/13/23 | (77343613) | (6844526) |
| LME Aluminum Future | Morgan Stanley | Short | (1229) | 06/19/23 | (81905169) | (8237655) |
| LME Lead Future | Morgan Stanley | Long | 198 | 02/13/23 | 10536075 | (461916) |
| LME Nickel Future | Morgan Stanley | Short | (59) | 03/13/23 | (10707084) | (1912499) |
| Low Su Gasoil G Future | Morgan Stanley | Long | 163 | 03/10/23 | 14665925 | (832806) |
| Natural Gas Future | Morgan Stanley | Long | 3226 | 02/24/23 | 86585840 | (69615684) |
| Soybean Future | Morgan Stanley | Long | 961 | 03/14/23 | 35939478 | (455905) |
| Soybean Future | Morgan Stanley | Short | (171) | 03/14/23 | (13149900) | (484253) |
| Sugar #11 (World) Future | Morgan Stanley | Short | (1187) | 02/28/23 | (28928614) | (4319197) |
| Wheat (CBT) | Morgan Stanley | Long | 1133 | 03/14/23 | 43124813 | (3352073) |
| WTI Crude Future | Morgan Stanley | Long | 468 | 02/21/23 | 36911160 | (65055) |
| WTI Crude Future | Morgan Stanley | Long | 942 | 03/21/23 | 74578140 | (2073582) |
| WTI Crude Future | Morgan Stanley | Short | (1432) | 04/20/23 | (113672160) | (6839447) |
|  |  |  |  |  | $41028016 | $(110927387) |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **TOTAL RETURN SWAP CONTRACTS<sup>(a)</sup>** | **TOTAL RETURN SWAP CONTRACTS<sup>(a)</sup>** | **TOTAL RETURN SWAP CONTRACTS<sup>(a)</sup>** | **TOTAL RETURN SWAP CONTRACTS<sup>(a)</sup>** | | |
| **Swap Counterparty** | **Notional** Amount** | **Floating Rate/Fixed Amount Paid by Fund\*** | **Termination** Date** |<br>**Value** |<br>**Unrealized** Appreciation** |
| Citigroup CRB 3m Fwd TR Index<sup>\*\*</sup> | $281459575 | USB3MTA + 24 bps | 9/29/2023 | $281459584 | $9 |
| UBS Group AG CRB 3m Fwd TR Index<sup>\*\*</sup> | 273014492 | USB3MTA + 25 bps | 11/30/2023 | 273014501 | 9 |
| Bank of America - Merrill Lynch CRB 3m Fwd TR Index<sup>\*\*</sup> | 295787899 | USB3MTA + 25 bps | 6/30/2023 | 295787904 | 5 |
| Goldman Sachs CRB 3m Fwd TR Index<sup>\*\*</sup> | 134499335 | USB3MTA + 25 bps | 9/29/2023 | 134499337 | 2 |
| Societe Generale CRB 3m Fwd TR Index<sup>\*\*</sup> | 122699885 | USB3MTA + 24 bps | 11/30/2023 | 122699887 | 2 |
|  | $1107461186 |  |  | $1107461213 | $27 |

---

*<sup>(a)</sup>* *For long positions in the total return swap, the Fund receives payments based on any positive return of the Reference Obligation less the rate paid by the Fund. The Fund makes payments on any negative return of such Reference Obligations plus the rate paid by the Fund. For the short positions in the total return swap, the Fund makes payments based on any positive return of the Reference Obligation less the rate paid by the Fund. The Fund receives payments on any negative return of such Reference Obligations plus the rate paid by the Fund.*

*<sup>\*</sup>* *United States Auction Results 3 Month Treasury Bill High Discount. Total return swap resets monthly.*

*<sup>\*\*</sup>* *CRB - Commodity Research Bureau*

*See Notes to Quarterly Statement of Investments.*

---

| |
|:---|
| ALPS \| Kotak India ESG Fund |
| **STATEMENT OF INVESTMENTS** |
| ***January 31, 2023 (Unaudited)*** |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value <br> (Note 2)** |
| **COMMON STOCKS (97.93%)** | **COMMON STOCKS (97.93%)** | **COMMON STOCKS (97.93%)** |
| ***Communication Services (3.86%)*** | ***Communication Services (3.86%)*** | ***Communication Services (3.86%)*** |
| *Entertainment (0.95%)* | *Entertainment (0.95%)* | *Entertainment (0.95%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;Nazara Technologies, Ltd.<sup>(a)</sup> | 180526 | $1312148 |
| &nbsp;&nbsp;&nbsp;&nbsp;PVR, Ltd.<sup>(a)</sup> | 98675 | 2051336 |
|  |  | 3363484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Wireless Telecommunication Services (2.91%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bharti Airtel, Ltd. | 1049150 | 9885844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bharti Airtel, Ltd. partly paid | 78914 | 376536 |
|  |  | 10262380 |
| **TOTAL COMMUNICATION SERVICES** |  | 13625864 |
| ***Consumer Discretionary (9.59%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Auto Components (1.90%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MRF, Ltd. | 3487 | 3879510 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sansera Engineering, Ltd.<sup>(b)(c)</sup> | 193310 | 1782430 |
| &nbsp;&nbsp;&nbsp;&nbsp;Varroc Engineering, Ltd.<sup>(a)(b)(c)</sup> | 303677 | 1033932 |
|  |  | 6695872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Automobiles (3.09%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mahindra & Mahindra, Ltd. | 277646 | 4693208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maruti Suzuki India, Ltd. | 56917 | 6204624 |
|  |  | 10897832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Hotels, Restaurants & Leisure (0.50%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jubilant Foodworks, Ltd. | 295959 | 1769515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Household Durables (2.02%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crompton Greaves Consumer Electricals, Ltd. | 1401195 | 5678614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Orient Electric, Ltd. | 458518 | 1475830 |
|  |  | 7154444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Internet & Direct Marketing Retail (0.97%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Cartrade Tech, Ltd.<sup>(a)</sup> | 136844 | 840386 |
| &nbsp;&nbsp;&nbsp;&nbsp;Zomato, Ltd.<sup>(a)</sup> | 4230715 | 2592450 |
|  |  | 3432836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Textiles, Apparel & Luxury Goods (1.11%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Titan Co., Ltd. | 134337 | 3918195 |
| **TOTAL CONSUMER DISCRETIONARY** |  | 33868694 |
| ***Consumer Staples (5.02%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Personal Products (5.02%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dabur India, Ltd. | 679907 | 4642417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Emami, Ltd. | 823442 | 4466140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hindustan Unilever, Ltd. | 273518 | 8629595 |
|  |  | 17738152 |
| **TOTAL CONSUMER STAPLES** |  | 17738152 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| ***Energy (7.50%)*** | ***Energy (7.50%)*** | ***Energy (7.50%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Oil, Gas & Consumable Fuels (7.50%)* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Oil, Gas & Consumable Fuels (7.50%)* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Aegis Logistics, Ltd. | 811223 | $3790735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reliance Industries, Ltd. | 787168 | 22707759 |
|  |  | 26498494 |
| **TOTAL ENERGY** |  | 26498494 |
| ***Financials (32.70%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Banks (21.03%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;AU Small Finance Bank, Ltd.<sup>(b)(c)</sup> | 699340 | 5316735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Axis Bank, Ltd. | 1518206 | 16226173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HDFC Bank, Ltd., ADR | 62825 | 4231892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HDFC Bank, Ltd. | 657523 | 12939162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICICI Bank, Ltd., Sponsored ADR | 591286 | 12316487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICICI Bank, Ltd. | 1317945 | 13484123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State Bank of India | 1433865 | 9737427 |
|  |  | 74251999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consumer Finance (5.55%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bajaj Finance, Ltd. | 138325 | 9999298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mahindra & Mahindra Financial Services, Ltd. | 1266352 | 3616613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Muthoot Finance, Ltd. | 122426 | 1567054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SBI Cards & Payment Services, Ltd. | 498115 | 4411455 |
|  |  | 19594420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Diversified Financial Services (1.80%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Housing Development Finance Corp., Ltd. | 197000 | 6341910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Insurance (2.78%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;HDFC Life Insurance Co., Ltd.<sup>(b)(c)</sup> | 865825 | 6135831 |
| &nbsp;&nbsp;&nbsp;&nbsp;PB Fintech, Ltd.<sup>(a)</sup> | 698454 | 3673078 |
|  |  | 9808909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Thrifts & Mortgage Finance (1.54%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Aavas Financiers, Ltd.<sup>(a)</sup> | 245732 | 5445139 |
| **TOTAL FINANCIALS** |  | 115442377 |
| ***Health Care (7.97%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Health Care Providers & Services (4.87%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Dr Lal PathLabs, Ltd.<sup>(b)(c)</sup> | 59599 | 1535273 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fortis Healthcare, Ltd.<sup>(a)</sup> | 1236363 | 4261835 |
| &nbsp;&nbsp;&nbsp;&nbsp;Max Healthcare Institute, Ltd.<sup>(a)</sup> | 1677604 | 9079249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vijaya Diagnostic Centre Pvt, Ltd. | 459532 | 2322199 |
|  |  | 17198556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Life Sciences Tools & Services (0.42%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Tarsons Products, Ltd.<sup>(a)</sup> | 175456 | 1490872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Pharmaceuticals (2.68%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alkem Laboratories, Ltd. | 97737 | 3599551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cipla, Ltd. | 289931 | 3614208 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value <br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Pharmaceuticals (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dr. Reddy's Laboratories, Ltd. | 42370 | $2247053 |
|  |  | 9460812 |
| **TOTAL HEALTH CARE** |  | 28150240 |
| ***Industrials (7.35%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Air Freight & Logistics (0.60%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Mahindra Logistics, Ltd.<sup>(b)(c)</sup> | 369780 | 2125391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Airlines (0.90%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;InterGlobe Aviation, Ltd.<sup>(a)(b)(c)</sup> | 121781 | 3167056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Building Products (1.82%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apollo Pipes, Ltd. | 397630 | 2475864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kajaria Ceramics, Ltd. | 307296 | 3966751 |
|  |  | 6442615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Construction & Engineering (4.03%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kalpataru Power Transmission, Ltd. | 608875 | 3844864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Larsen & Toubro, Ltd. | 398609 | 10376750 |
|  |  | 14221614 |
| **TOTAL INDUSTRIALS** |  | 25956676 |
| ***Information Technology (14.27%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*IT Services (14.27%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Infosys, Ltd., Sponsored ADR | 590839 | 11107773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Infosys, Ltd. | 915699 | 17247470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Persistent Systems, Ltd. | 134940 | 7784362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tata Consultancy Services, Ltd. | 204560 | 8442943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tech Mahindra, Ltd. | 463298 | 5784980 |
|  |  | 50367528 |
| **TOTAL INFORMATION TECHNOLOGY** |  | 50367528 |
| ***Materials (7.59%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Chemicals (2.71%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kansai Nerolac Paints, Ltd. | 535082 | 2769407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SRF, Ltd. | 254010 | 6800466 |
|  |  | 9569873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Construction Materials (3.97%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;JK Cement, Ltd. | 110636 | 3670819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ramco Cements, Ltd. | 480147 | 3976335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shree Cement, Ltd. | 21891 | 6355892 |
|  |  | 14003046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Containers & Packaging (0.91%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mold-Tek Packaging, Ltd. | 259356 | 3221639 |
| **TOTAL MATERIALS** |  | 26794558 |
| ***Real Estate (2.08%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Real Estate Management & Development (2.08%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brigade Enterprises, Ltd. | 713578 | 4016860 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Real Estate Management & Development (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oberoi Realty, Ltd. | 330190 | $3325196 |
|  |  | 7342056 |
| **TOTAL REAL ESTATE** |  | 7342056 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $298,425,160)** |  | 345784639 |
| **TOTAL INVESTMENTS (97.93%)** |  |  |
| **(Cost $298,425,160)** |  | $345784639 |
| **Assets In Excess Of Other Liabilities (2.07%)** |  | 7298128 |
| **NET ASSETS (100.00%)** |  | $353082767 |

---

*<sup>(a)</sup>* *Non-Income Producing Security.*

*<sup>(b)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2023, the aggregate market value of those securities was $21,096,648, representing 5.97% of net assets.*

*<sup>(c)</sup>* *Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines approved by the Fund's Board of Trustees. As of January 31, 2023 the aggregate market value of those securities was $21,096,648 representing 5.97% of net assets.*

*For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.*

*See Notes to Quarterly Statement of Investments.*

---

| |
|:---|
| ALPS Global Opportunity Fund |
| **STATEMENT OF INVESTMENTS** |
| ***January 31, 2023 (Unaudited)*** |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **CLOSED-END FUNDS (20.58%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Abrdn Private Equity Opportunities Trust Plc | 188777 | $1091520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oakley Capital Investments, Ltd. | 331000 | 1848569 |
| &nbsp;&nbsp;&nbsp;&nbsp;Apax Global Alpha, Ltd.<sup>(a)(b)</sup> | 256579 | 563055 |
| &nbsp;&nbsp;&nbsp;&nbsp;HarbourVest Global Private Equity, Ltd.<sup>(c)</sup> | 96000 | 2620959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HBM Healthcare Investments AG, Class A | 4000 | 938901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HgCapital Trust PLC | 505500 | 2223284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NB Private Equity Partners, Ltd. | 40500 | 798575 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pantheon International PLC Fund<sup>(c)</sup> | 321484 | 1050199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICG Enterprise Trust PLC | 67442 | 959146 |
| **TOTAL CLOSED-END FUNDS** |  |  |
| **(Cost $9,946,625)** |  | 12094208 |
| **COMMON STOCKS (70.76%)** |  |  |
| ***Consumer Discretionary (1.74%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Retail (1.74%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wesfarmers, Ltd. | 29000 | 1022446 |
| **TOTAL CONSUMER DISCRETIONARY** |  | 1022446 |
| ***Consumer Staples (2.50%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Retail (2.50%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Costco Wholesale Corp. | 2870 | 1466972 |
| **TOTAL CONSUMER STAPLES** |  | 1466972 |
| ***Financials (54.71%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Banks (0.85%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;SVB Financial Group<sup>(c)</sup> | 1650 | 499026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Diversified Financial Services (29.06%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apollo Global Management, Inc. | 12200 | 863516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ares Management LP, Class A | 25500 | 2116245 |
| &nbsp;&nbsp;&nbsp;&nbsp;Berkshire Hathaway, Inc., Class B<sup>(c)</sup> | 6450 | 2009304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Blackstone, Inc., Class A | 25700 | 2466172 |
| &nbsp;&nbsp;&nbsp;&nbsp;Cannae Holdings, Inc.<sup>(c)</sup> | 40500 | 989820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carlyle Group, Inc. | 32400 | 1165428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Intermediate Capital Group PLC | 101500 | 1746551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;KKR & Co., Inc., Class A | 40900 | 2282629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mastercard, Inc., Class A | 3000 | 1111800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Partners Group Holding AG | 1880 | 1763999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;StepStone Group, Inc., Class A | 19300 | 563367 |
|  |  | 17078831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Investment Companies (14.31%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3i Group PLC | 117000 | 2282637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ares Capital Corp. | 60500 | 1171885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carlyle Secured Lending, Inc. | 53200 | 800660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FS KKR Capital Corp. | 108700 | 2137042 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Investment Companies (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investor AB, B Shares | 67500 | $1311659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mutares SE & Co. KGaA | 31800 | 707469 |
|  |  | 8411352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Private Equity (10.49%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Altamir | 40300 | 1135168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brederode SA | 21766 | 2542655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brookfield Corp. | 19000 | 706800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Clairvest Group, Inc. | 12700 | 680553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hercules Capital, Inc. | 30800 | 437668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ratos AB, B Shares | 164000 | 661413 |
|  |  | 6164257 |
| **TOTAL FINANCIALS** |  | 32153466 |
| ***Health Care (6.45%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Health Care - Products (1.64%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Danaher Corp. | 3650 | 964987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Healthcare-Products (2.23%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Thermo Fisher Scientific, Inc. | 2300 | 1311759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Healthcare-Services (2.58%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chemed Corp. | 3000 | 1515420 |
| **TOTAL HEALTH CARE** |  | 3792166 |
| ***Industrials (1.64%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Machinery-Diversified (1.64%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nordson Corp. | 3950 | 961035 |
| **TOTAL INDUSTRIALS** |  | 961035 |
| ***Technology (3.72%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Computers (1.62%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Accenture PLC, Class A | 3410 | 951560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Software (2.10%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Constellation Software, Inc. | 700 | 1236736 |
| **TOTAL TECHNOLOGY** |  | 2188296 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $34,863,162)** |  | 41584381 |
| **BUSINESS DEVELOPMENT COMPANIES (1.51%)** |  |  |
| ***Financials (1.51%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Investment Companies (1.51%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Owl Rock Capital Corp. | 68000 | 888760 |
| **TOTAL FINANCIALS** |  | 888760 |
| **TOTAL BUSINESS DEVELOPMENT COMPANIES** |  |  |
| **(Cost $963,615)** |  | 888760 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **PREFERRED STOCK (3.41%)** | **PREFERRED STOCK (3.41%)** | **PREFERRED STOCK (3.41%)** |
| ***Financials (3.41%)*** | ***Financials (3.41%)*** | ***Financials (3.41%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Investment Companies (2.40%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Compass Diversified Holdings, Series B, 3M US L + 4.985%<sup>(d)(e)</sup> | 8425 | $211636 |
| &nbsp;&nbsp;&nbsp;&nbsp;Compass Diversified Holdings, Series C, 7.875%<sup>(e)</sup> | 47400 | 1198746 |
|  |  | 1410382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Private Equity (1.01%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;KKR Group Finance Co. IX LLC, 4.625%<sup>(e)</sup> | 30000 | 593100 |
| **TOTAL FINANCIALS** |  | 2003482 |
| **TOTAL PREFERRED STOCK** |  |  |
| **(Cost $1,983,627)** |  | 2003482 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br> **Yield** | **Shares** | **Value**<br> **(Note 2)** |
| **SHORT-TERM INVESTMENTS (2.48%)** | **SHORT-TERM INVESTMENTS (2.48%)** | **SHORT-TERM INVESTMENTS (2.48%)** | **SHORT-TERM INVESTMENTS (2.48%)** |
| ***Money Market Fund (2.48%)*** | ***Money Market Fund (2.48%)*** | ***Money Market Fund (2.48%)*** | ***Money Market Fund (2.48%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State Street Institutional Treasury Plus Money Market Fund, Premier Class | 4.204% | 1458231 | 1458231 |
| **TOTAL MONEY MARKET FUND** |  |  | 1458231 |
| **TOTAL SHORT-TERM INVESTMENTS** |  |  |  |
| **(Cost $1,458,231)** |  |  | 1458231 |
| **TOTAL INVESTMENTS (98.74%)** |  |  |  |
| **(Cost $49,215,260)** |  |  | $58029062 |
| **Assets In Excess Of Other Liabilities (1.26%)** |  |  | 742260 |
| **NET ASSETS (100.00%)** |  |  | $58771322 |

---

**Investment Abbreviations:**

LIBOR - London Interbank Offered Rate

**Reference Rates:**

3M US L - 3 Month LIBOR as of January 31, 2023 was 4.81%

*<sup>(a)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2023, the aggregate market value of those securities was $563,055, representing 0.96% of net assets.*

*<sup>(b)</sup>* *Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines approved by the Fund's Board of Trustees. As of January 31, 2023 the aggregate market value of those securities was $563,055 representing 0.96% of net assets.*

*<sup>(c)</sup>* *Non-Income Producing Security.*

*<sup>(d)</sup>* *Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2023 is based on the reference rate plus the displayed spread as of the security's last reset date.*

*<sup>(e)</sup>* *Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.*

*For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.*

*See Notes to Quarterly Statement of Investments.*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS** | **OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS** | |
| **Counterparty** | **Settlement<br> Date** | **Fund**<br> **Receiving** | **U.S. $ Value**<br> **at January 31, 2023** | **Fund**<br> **Delivering** | **U.S. $ Value**<br> **at January 31, 2023** | <br>**Unrealized**<br> **Appreciation/**<br> **(Depreciation)** |
| State Street Bank & Trust Company | &nbsp;&nbsp;&nbsp;&nbsp;03/30/23 | USD | $881515 | GBP | $876415 | $5100 |
|  |  |  |  |  |  | $5100 |

---

---

| |
|:---|
| RiverFront Asset Allocation Growth & Income |
| **STATEMENT OF INVESTMENTS** |
| ***January 31, 2023 (Unaudited)*** |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **EXCHANGE TRADED FUNDS (96.07%)** | **EXCHANGE TRADED FUNDS (96.07%)** | **EXCHANGE TRADED FUNDS (96.07%)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Debt (29.89%)* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Debt (29.89%)* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Debt (29.89%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Trust Senior Loan ETF | 44578 | $2031419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> Core U.S. Aggregate Bond ETF | 126312 | 12658989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> Preferred & Income Securities ETF | 22554 | 757814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> 0-5 Year High Yield Corporate Bond ETF | 47778 | 2007154 |
| &nbsp;&nbsp;&nbsp;&nbsp;RiverFront Dynamic Core Income ETF<sup>(a)</sup> | 270612 | 6105007 |
| &nbsp;&nbsp;&nbsp;&nbsp;Riverfront Strategic Income Fund<sup>(a)</sup> | 121825 | 2799965 |
|  |  | 26360348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Equity (66.18%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust RiverFront Dynamic Developed International ETF<sup>(a)</sup> | 220201 | 12390710 |
| &nbsp;&nbsp;&nbsp;&nbsp;First Trust RiverFront Dynamic Emerging Markets ETF<sup>(a)</sup> | 56764 | 3141127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FTHI/First Trust Exchange-Traded Fund VI FirstTrust BuyWrite Income ETF | 183908 | 3729709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> Genomics Immunology and Healthcare ETF | 19403 | 522717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> US Technology ETF | 7587 | 627369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> Core S&P<sup>®</sup> 500<sup>®</sup> ETF | 17060 | 6965769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> MSCI Germany Index Fund | 56675 | 1589167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Equity Premium Income ETF | 121973 | 6765842 |
| &nbsp;&nbsp;&nbsp;&nbsp;RiverFront Dynamic US Dividend Advantage ETF<sup>(a)</sup> | 378591 | 16692267 |
| &nbsp;&nbsp;&nbsp;&nbsp;RiverFront Dynamic US Flex-Cap ETF<sup>(a)</sup> | 118717 | 5063138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;WisdomTree<sup>®</sup> Europe Hedged Equity Fund | 11457 | 885855 |
|  |  | 58373670 |
| **TOTAL EXCHANGE TRADED FUNDS** |  |  |
| **(Cost $81,728,416)** |  | 84734018 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT-TERM INVESTMENTS (4.07%)** | **SHORT-TERM INVESTMENTS (4.07%)** | **SHORT-TERM INVESTMENTS (4.07%)** | **SHORT-TERM INVESTMENTS (4.07%)** |
| ***Money Market Fund (4.07%)*** | ***Money Market Fund (4.07%)*** | ***Money Market Fund (4.07%)*** | ***Money Market Fund (4.07%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State Street Institutional Treasury Plus Money Market Fund, Premier Class | 4.204% | 3587968 | 3587968 |
| **TOTAL MONEY MARKET FUND** |  |  | 3587968 |
| **TOTAL SHORT-TERM INVESTMENTS** |  |  |  |
| **(Cost $3,587,968)** |  |  | 3587968 |

---

---

| | |
|:---|:---|
| | **Value**<br>**(Note 2)** |
| **TOTAL INVESTMENTS (100.14%)** |  |
| **(Cost $85,316,384)** | $88321986 |
| **Liabilities In Excess Of Other Assets (-0.14%)** | (126790) |
| **NET ASSETS (100.00%)** | $88195196 |

---

*<sup>(a)</sup>* *Affiliated Company. See Note 4 in Notes to Quarterly Statement of Investments.*

*For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease. Industries are shown as a percent of net assets.*

*See Notes to Quarterly Statement of Investments.*

**Notes to Quarterly Statements of Investments**

January 31, 2023 **(Unaudited)**

**1. ORGANIZATION**

Financial Investors Trust (the "Trust"), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended ("1940 Act"). The Trust consists of multiple separate portfolios or series. This report includes the statements of investments of the following 4 funds: ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund, ALPS \| Kotak India ESG Fund, ALPS Global Opportunity Fund and RiverFront Asset Allocation Growth & Income (each, a "Fund" and collectively, the "Funds").

The ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund seeks to maximize real returns (returns after inflation), consistent with prudent investment management. ALPS \| Kotak India ESG Fund's investment goal is long-term capital appreciation. The ALPS Global Opportunity Fund seeks to maximize total return, which consists of appreciation on its investments and a variable income stream. RiverFront Asset Allocation Growth & Income seeks to achieve long-term growth and income.

The classes of each Fund differ principally in the applicable distribution and shareholder service fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Fund and earn income and realized gains/losses from the Fund pro rata based on the average daily net assets of each class, without distinction between share classes. Dividends to shareholders are determined separately for each class based on income and expenses allocable to each class. Realized gain distributions to shareholders are allocated to each class pro rata based on the shares outstanding of each class on the date of distribution. Differences in per share dividend rates generally result from differences in separate class expenses, including distribution and shareholder service fees, if applicable.

**Basis of Consolidation for the ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund**

CoreCommodity Management Cayman Commodity Fund Ltd. (the "Subsidiary"), a Cayman Islands exempted company, was incorporated on April 23, 2010 and is a wholly owned subsidiary of the ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund (the "CoreCommodity Fund"). All intercompany transactions have been eliminated upon consolidation. The Subsidiary acts as an investment vehicle for the CoreCommodity Fund in order to effect certain commodity-related investments on behalf of the CoreCommodity Fund. CoreCommodity Fund is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of June 14, 2010, and it is intended that the CoreCommodity Fund will remain the sole shareholder and will continue to wholly own and control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. The CoreCommodity Fund may invest up to 25% of its total assets in shares of the Subsidiary. As a wholly owned subsidiary of the CoreCommodity Fund, the financial statements of the Subsidiary are included in the consolidated financial statements and financial highlights of the CoreCommodity Fund. All investments held by the Subsidiary are disclosed in the accounts of the CoreCommodity Fund. As of January 31, 2023, net assets of the CoreCommodity Fund were $1,699,383,846 of which $366,858,659 or 21.59%, represented the CoreCommodity Fund's ownership of all issued shares and voting rights of the Subsidiary.

**2. SIGNIFICANT ACCOUNTING POLICIES**

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. Each Fund is considered an investment company for financial reporting purposes, and follows accounting policies in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), including policies specific to investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds and subsidiaries, as applicable, in preparation of their financial statements. The Funds are an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification ("ASC") Topic 946 "Financial Services – Investment Companies".

**Investment Valuation:** The Funds generally value their securities based on market prices determined at the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading. For equity securities and mutual funds that are traded on an exchange, the market price is usually the closing sale or official closing price on that exchange.

The market price for debt obligations is generally the price supplied by an independent third-party pricing service approved by the Board of Trustees (the "Board" or "Trustees"), which may use a matrix, formula or other objective method that takes into consideration quotations from dealers, market transactions in comparable investments, market indices and yield curves. If vendors are unable to supply a price, or if the price supplied is deemed to be unreliable, the market price may be determined using quotations received from one or more brokers-dealers that make a market in the security. Investments in non-exchange traded funds are fair valued at their respective net asset values.

Futures contracts that are listed or traded on a national securities exchange, commodities exchange, contract market or comparable over the counter market, and that are freely transferable, are valued at their closing settlement price on the exchange on which they are primarily traded or based upon the current settlement price for a like instrument acquired on the day on which the instrument is being valued. A settlement price may not be used if the market makes a limit move with respect to a particular commodity. Over-the-counter swap contracts are valued based on quotes received from independent pricing services or one or more dealers that make markets in such investments.

Option contracts are valued using the National Best Bid and Offer price ("NBBO"). In the event there is no NBBO price available, option contracts are valued at the mean between the last bid and ask.

For ALPS \| Kotak India ESG Fund and ALPS Global Opportunity Fund, who hold equity securities that are primarily traded on foreign securities exchanges, such securities are valued at the closing values of such securities on their respective foreign exchanges, except when an event occurs subsequent to the close of the foreign exchange and the close of the NYSE that was likely to have changed such value. In such an event, the fair value of those securities are determined in good faith through consideration of other factors in accordance with procedures established by and under the general supervision of the Board. The Funds will use a fair valuation model provided by an independent pricing service, which is intended to reflect fair value when a security's value or a meaningful portion of the Funds' portfolio is believed to have been materially affected by a valuation event that has occurred between the close of the exchange or market on which the security is traded and the close of the regular trading day on the NYSE.

Forward currency exchange contracts have a value determined by the current foreign currency exchange forward rates. The foreign currency exchange forward rates are calculated using an automated system that estimates rates on the basis of the current day foreign currency exchange rates and forward foreign currency exchange rates supplied by a pricing service. Foreign exchange rates and forward foreign currency exchange rates may generally be obtained at the close of the NYSE, normally 4:00 p.m. Eastern Time.

Pursuant to Rule 2a-5 under the Investment Company Act of 1940, the Board has appointed ALPS Advisors, Inc. (the "Adviser") to serve as the valuation designee to perform fair value determinations for investments in the Funds. When such prices or quotations are not available, or when the Valuation Designee appointed by the Board believes that they are unreliable, securities may be priced using fair value procedures approved by the Board. The fair valuation policies and procedures ("FV Procedures") have been adopted by the Board for the fair valuation of portfolio assets held by the Funds in the event that (1) market quotations for the current price of a portfolio security or asset are not readily available, or (2) available market quotations that would otherwise be used to value a portfolio security or asset in accordance with the Fund's Pricing Procedures appear to be unreliable. The Pricing Procedures reflect certain pricing methodologies (or "logics") that are not "readily available market quotations" and thus are viewed and treated as fair valuations. The Valuation Designee routinely meets to discuss fair valuations of portfolio securities and other instruments held by the Funds.

**Fair Value Measurements:** The Funds disclose the classification of their fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.

Various inputs are used in determining the value of each Fund's investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments. These inputs are categorized in the following hierarchy under applicable financial accounting standards:

Level 1 – Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date;

Level 2 – Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 – Significant unobservable prices or inputs (including the Fund's own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.

The following is a summary of each Fund's investments/financial instruments in the fair value hierarchy as of January 31, 2023:

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| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant Observable Inputs** | **Level 3 - Significant Unobservable Inputs** | **Total** |
| **ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund** | **ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund** | **ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund** | **ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund** | **ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund** |
| Common Stocks<sup>(a)</sup> | $401086402 | $– | $1237 | $401087639 |
| Master Limited Partnerships<sup>(a)</sup> | 541846 |  |  | 541846 |
| Government Bonds | – | 1113167714 | – | 1113167714 |
| Total | $401628248 | $1113167714 | $1237 | $1514797199 |
| **Other Financial Instruments** |  |  |  |  |
| **Assets** | **Assets** | **Assets** | **Assets** | **Assets** |
| Futures Contracts | $49070769 | $– | $– | $49070769 |
| Total Return Swap Contracts |  | 27 |  | 27 |
| **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** |
| Futures Contracts | $(110927387) | $– | $– | $(110927387) |
| Total | $(61856618) | $27 | $– | $(61856591) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant Observable Inputs** | **Level 3 - Significant <br> Unobservable Inputs** | **Total** |
| **ALPS \| Kotak India ESG Fund** | **ALPS \| Kotak India ESG Fund** | **ALPS \| Kotak India ESG Fund** | **ALPS \| Kotak India ESG Fund** | **ALPS \| Kotak India ESG Fund** |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Communication Services | $– | $13625864 | $– | $13625864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Discretionary |  | 33868694 |  | 33868694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Staples |  | 17738152 |  | 17738152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Energy |  | 26498494 |  | 26498494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 22890289 | 92552088 |  | 115442377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Health Care |  | 28150240 |  | 28150240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Industrials |  | 25956676 |  | 25956676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Information Technology | 11107773 | 39259755 |  | 50367528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Materials |  | 26794558 |  | 26794558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Real Estate | – | 7342056 | – | 7342056 |
| Total | $33998062 | $311786577 | $– | $345784639 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant Observable Inputs** | **Level 3 - Significant <br> Unobservable Inputs** | **Total** |
| **ALPS Global Opportunity Fund** | **ALPS Global Opportunity Fund** | **ALPS Global Opportunity Fund** | **ALPS Global Opportunity Fund** | **ALPS Global Opportunity Fund** |
| Closed-End Funds | $2411624 | $9682584 | $– | $12094208 |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Discretionary |  | 1022446 |  | 1022446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Staples | 1466972 |  |  | 1466972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 21137083 | 11016383 |  | 32153466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Health Care | 3792166 |  |  | 3792166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Industrials | 961035 |  |  | 961035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Technology | 2188296 |  |  | 2188296 |
| Business Development Companies | 888760 |  |  | 888760 |
| Preferred Stock | 2003482 |  |  | 2003482 |
| Short-Term Investments | 1458231 | – | – | 1458231 |
| Total | $36307649 | $21721413 | $– | $58029062 |
| **Other Financial Instruments** |  |  |  |  |
| **Assets:** | **Assets:** | **Assets:** | **Assets:** | **Assets:** |
| Forward Contracts | – | $5100 | – | $5100 |
| Total | $– | $5100 | $– | $5100 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant Observable Inputs** | **Level 3 - Significant <br> Unobservable Inputs** | **Total** |
| **RiverFront Asset Allocation Growth & Income** | **RiverFront Asset Allocation Growth & Income** | **RiverFront Asset Allocation Growth & Income** | **RiverFront Asset Allocation Growth & Income** | **RiverFront Asset Allocation Growth & Income** |
| Exchange Traded Funds | $84734018 | $– | $– | $84734018 |
| Short-Term Investments | 3587968 | – | – | 3587968 |
| Total | $88321986 | $– | $– | $88321986 |

---

*<sup>(a)</sup>* *For detailed descriptions of country, sector and/or industry, see the accompanying Consolidated Statement of Investments.*

The Funds, except for the ALPS CoreCommodity Management CompleteCommodities® Strategy, did not have any securities that used significant unobservable inputs (Level 3) in determining fair value and there were no transfers into or out of Level 3 during the period ended January 31, 2023. As of January 31, 2023, ALPS CoreCommodity Management CompleteCommodities® Strategy held securities classified as Level 3 in the fair value hierarchy valued at $1,237, which represents less than 0.005% of net assets.

**Fund and Class Expenses:** Some expenses of the Trust can be directly attributed to a Fund or a specific share class of a Fund. Expenses which cannot be directly attributed are apportioned among all Funds in the Trust based on average net assets of each share class within a Fund.

**Federal Income Taxes:** The Funds comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code") applicable to regulated investment companies and intend to distribute substantially all of their net taxable income and net capital gains, if any, each year. The Funds are not subject to income taxes to the extent such distributions are made.

The Funds file U.S. federal, state, and local tax returns as required. The Funds' tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return, but may extend to four years in certain jurisdictions. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

**Distributions to Shareholders:** Each Fund, except the RiverFront Asset Allocation Growth & Income, normally pays dividends and distributes capital gains, if any, on an annual basis. RiverFront Asset Allocation Growth & Income normally pays dividends, if any, on a quarterly basis and distributes capital gains, if any, annually. Income dividend distributions are derived from interest, dividends, and other income a Fund receives from its investments, including distributions of short-term capital gains, if any. Capital gain distributions are derived from gains realized when a Fund sells a security it has owned for more than a year or from long-term capital gain distributions from underlying investments. Each Fund may make additional distributions and dividends at other times if its portfolio manager or managers believe doing so may be necessary for the Fund to avoid or reduce taxes.

**Commodity-Linked Notes:** The ALPS \| CoreCommodity Management CompleteCommodities® Strategy Fund may invest in commodity-linked notes which are derivative instruments that have characteristics of a debt security and of a commodity-linked derivative. A commodity-linked note typically provides for interest payments and a principal payment at maturity linked to the price movement of the underlying commodity, commodity index or commodity futures or option contract. Commodity-linked notes may be principal protected, partially protected, or offer no principal protection. The value of these notes will rise and fall in response to changes in the underlying commodity or related index or investment. These notes are often leveraged, increasing the volatility of each note's value relative to the change in the underlying linked index. Commodity index-linked investments may be more volatile and less liquid than the underlying index and their value may be affected by the performance of the commodities as well as other factors, including liquidity, quality, maturity and other economic variables. Commodity-linked notes are typically issued by a bank or other financial institution and are sometimes referred to as structured notes because the terms of the notes may be structured by the issuer and the purchaser of the notes to accommodate the specific investment requirements of the purchaser.

**Exchange Traded Funds (ETFs):** Each Fund may invest in shares of ETFs and other similar instruments if the investment manager chooses to adjust a Fund's exposure to the general market or industry sectors and to manage a Fund's risk exposure. ETFs differ from traditional index funds in that their shares are listed on a securities exchange and can be traded intraday. ETF shares are shares of exchange traded investment companies that are registered under the 1940 Act and hold a portfolio of common stocks designed to track the performance of a particular index. Limitations of the 1940 Act may prohibit a Fund from acquiring more than 3% of the outstanding shares of certain ETFs. Instruments that are similar to ETFs represent beneficial ownership interests in specific "baskets" of stocks of companies within a particular industry sector or group. These securities may also be exchange traded, but unlike ETFs, the issuers of these securities are not registered as investment companies.

The portfolio manager may decide to purchase or sell short ETF shares or options on ETF shares for the same reasons it would purchase or sell (and as an alternative to purchasing or selling) futures contracts – to obtain exposure to the stock market or a particular segment of the stock market, or to hedge a Fund's portfolio against such exposures. Depending on the market, the holding period and other factors, the use of ETF shares and options thereon can be less costly than the use of index options or stock index futures. In addition, ETF shares and options thereon can typically be purchased in smaller amounts than are available for futures contracts and can offer exposure to market sectors and styles for which there is no suitable or liquid futures contract.

**Investment Transactions and Investment Income:** Investment transactions are accounted for on the date the investments are purchased or sold (trade date basis). Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income, which includes accretion of discounts and amortization of premiums, is accrued and recorded as earned. Dividend income is recognized on the ex-dividend date or for certain foreign securities, as soon as information is available to each Fund.

**Cash Management Transactions:** ALPS \| Kotak India ESG Fund subscribes to the Brown Brothers Harriman & Co. ("BBH") Cash Management Service ("CMS"), whereby cash balances are automatically swept into overnight offshore demand deposits with either the BBH Grand Cayman branch or a branch of a pre-approved commercial bank. This fully automated program allows the Fund to earn interest on cash balances. Excess cash with deposit institutions domiciled outside of the U.S. are subject to sovereign actions in the jurisdiction of the deposit institution including, but not limited to, freeze, seizure or diminution.

**Foreign Securities:** Each Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible reevaluation of currencies, the inability to repatriate foreign currency, less complete financial information about companies and possible future adverse political and economic developments.

Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than those of securities of comparable U.S. issuers.

**Foreign Currency Translation:** Values of investments denominated in foreign currencies are converted into U.S. dollars using the current exchange rates each business day (generally 4:00 p.m. Eastern Time). Purchases and sales of investments and dividend income are translated into U.S. dollars using the current prevailing exchange rate on the transaction date. The effect of changes in foreign exchange rates on realized and unrealized gains or losses on securities is reflected as a component of such gains or losses. Transactions in foreign denominated assets may involve greater risks than domestic transactions.

**Foreign Currency Spot Contracts:** The Funds may enter into foreign currency spot contracts to facilitate transactions in foreign securities or to convert foreign currency receipts into U.S. dollars. A foreign currency spot contract is an agreement between two parties to buy and sell currencies at the current market rate, for settlement generally within two business days. The U.S. dollar value of the contracts is determined using current currency exchange rates supplied by a pricing service. The contract is marked-to-market daily for settlements beyond one day and any change in market value is recorded as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value on the open and close date. Losses may arise from changes in the value of the foreign currency, or if the counterparties do not perform under the contract's terms. The maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened.

**Real Estate Investment Trusts ("REITs"):** The Funds may invest a portion of their assets in REITs and are subject to certain risks associated with direct investment in REITs. REITs may be affected by changes in the value of their underlying properties and by defaults by borrowers or tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareowners, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time. In addition, the performance of a REIT may be affected by its failure to qualify for tax-free pass-through of income under the Code, or its failure to maintain exemption from registration under the 1940 Act. Distributions that the Fund receives from REITs can be classified as ordinary income, capital gain income or return of capital by the REITs that make these distributions to the Fund. However, it is not possible for the Fund to characterize distributions received from REITs during interim periods because the REIT issuers do not report their tax characterizations until subsequent to year end. During interim periods, the REIT distributions are accounted for as ordinary income until the re characterizations are made subsequent to year end.

**Master Limited Partnerships:** Certain Funds may invest in MLPs, which are publicly traded partnerships engaged in the transportation, storage and processing of minerals and natural resources. By confining their operations to these specific activities, their interests, or units, are able to trade on public securities exchanges exactly like the shares of a corporation, without entity level taxation. To qualify as a MLP and to not be taxed as a corporation, a partnership must receive at least 90% of its income from qualifying sources as set forth in Section 7704(d) of the Code. These qualifying sources include natural resource based activities such as the processing, transportation and storage of mineral or natural resources. MLPs generally have two classes of owners, the general partner and limited partners. The general partner of an MLP is typically owned by a major energy company, an investment fund, the direct management of the MLP, or is an entity owned by one or more of such parties. The general partner may be structured as a private or publicly traded corporation or other entity. The general partner typically controls the operations and management of the MLP through an up to 2% equity interest in the MLP plus, in many cases, ownership of common units and subordinated units. Limited partners typically own the remainder of the partnership, through ownership of common units, and have a limited role in the partnership's operations and management. MLPs are typically structured such that common units and general partner interests have first priority to receive quarterly cash distributions up to an established minimum amount ("minimum quarterly distributions" or "MQD"). Common and general partner interests also accrue arrearages in distributions to the extent the MQD is not paid. Once common and general partner interests have been paid, subordinated units receive distributions of up to the MQD; however, subordinated units do not accrue arrearages. Distributable cash in excess of the MQD is paid to both common and subordinated units and is distributed to both common and subordinated units generally on a pro rata basis. The general partner is also eligible to receive incentive distributions if the general partner operates the business in a manner which results in distributions paid per common unit surpassing specified target levels. As the general partner increases cash distributions to the limited partners, the general partner receives an increasingly higher percentage of the incremental cash distributions.

**Libor Risk:** Holding of certain of the Funds' underlying investments may use a floating rate based on the London Interbank Offered Rate ("LIBOR"), which is the offered rate for short-term Eurodollar deposits between major international banks. As of December 31, 2021, the United Kingdom Financial Conduct Authority ("FCA") and LIBOR's administrator, ICE Benchmark Administration, have ceased the publication of all non-U.S. dollar LIBOR and the one-week and two-month U.S. dollar LIBOR rates, but the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, was signed into law in the United States. This legislation establishes a uniform benchmark replacement process for financial contracts that mature after June 30, 2023 that do not contain clearly defined or practicable fallback provisions.

The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve's Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing the Secured Overnight Financing Rate (referred to as "SOFR"), which is their preferred alternative rate for U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are in the process of developing in response to these new rates. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and SOFR, there has been no global consensus as to an alternative rate and the process for amending existing contracts or instruments to transition away from LIBOR remains incomplete.

The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect Fund performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting Fund performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition to alternative rates may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner.

**COVID-19 and Global Economic and Market Conditions:** The impact of the novel coronavirus ("COVID-19") pandemic has rapidly evolved around the globe, causing disruption in the U.S. and global economies. Although the global economy continued reopening in 2022 and robust economic activity has supported a continued recovery, certain geographies, most notably China, have experienced setbacks. The pandemic and the responses thereto have caused various disruptions to the global supply chain, affecting wide swaths of manufacturing, automotive and consumer goods, among other sectors. While the health and economic outlook may improve in the short-term in some markets, such improvements may be uncertain and short-lived due to the rise of potential new variants and increased cases and hospitalizations, as well as potential increased restrictions in the response thereto. Further, the negative economic consequences, including to the global supply chain, caused by the pandemic may be prolonged and take years to resolve, if ever. Issuers that operate in the hospitality, healthcare, travel and entertainment industries may continue to face adverse market conditions due to future restrictions, which could result in adverse performance and potentially bankruptcy. Further, the disruptions caused by the pandemic have contributed to the global and U.S. rise in inflation, which may further increase in the future. Changes in the nature of the pandemic, including any increases in virality and/or lethality, may have negative consequences for the Funds, its service providers and issuers. The uncertainty triggered by the pandemic is likely to continue and may have effects on the overall market and the Funds' performance.

Additionally, certain Funds may operate in, or have dealings with, countries subject to sanctions or embargos imposed by the U.S. government, foreign governments, or the United Nations or other international organizations. In particular, on February 24, 2022, Russian troops began a full-scale invasion of Ukraine and, as of the date hereof, the countries remain in active armed conflict. Around the same time, the U.S., the U.K., the E.U., and several other nations announced a broad array of new or expanded sanctions, export controls, and other measures against Russia, Russian backed separatist regions in Ukraine, and certain banks, companies, government officials, and other individuals in Russia and Belarus, as well as a number of Russian Oligarchs. The U.S. or other countries could also institute broader sanctions on Russia and others supporting Russia' economy or military efforts. The ongoing conflict and the rapidly evolving measures in response could be expected to have a negative impact on the economy and business activity globally (including in the countries in which the Funds invest), and therefore are expected to result in adverse consequences to the Russian economy and could have a material adverse effect on our portfolio companies and our business, financial condition, cash flows and results of operations. The severity and duration of the conflict and its impact on global economic and market conditions are impossible to predict, and as a result, present material uncertainty and risk with respect to the Funds and their portfolio companies and operations, and the ability of the Funds to achieve their investment objectives. Similar risks will exist to the extent that any portfolio companies, service providers, vendors or certain other parties have material operations or assets in Russia, Ukraine, Belarus, or the immediate surrounding areas. Sanctions could also result in Russia taking counter measures or retaliatory actions which could adversely impact the Funds or the business of the the Funds' investments, including, but not limited to, cyberattacks targeting private companies, individuals or other infrastructure upon which the Funds and the companies in which the Funds invest rely.

**3. DERIVATIVE INSTRUMENTS**

As a part of their investment strategy, the Funds are permitted to enter in various types of derivatives contracts. In doing so, the Funds employ strategies in differing combinations to permit them to increase, decrease, or change the level or types of exposure to market factors. Central to those strategies are features inherent in derivatives that make them more attractive for this purpose than equity or debt securities; they require little or no initial cash investment, they focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Funds to pursue their objectives more quickly and efficiently than if they were to make direct purchases or sales of securities capable of affecting a similar response to market factors.

Cash collateral is being pledged to cover derivative obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Statements of Investments or Consolidated Statement of Investments.

**Risk of Investing in Derivatives:** The Funds' use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Funds are using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Funds, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Funds to increase their market value exposure relative to their net assets and can substantially increase the volatility of the Funds' performance.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Funds. Typically, the associated risks are not the risks that the Funds are attempting to increase or decrease exposure to, per their investment objectives, but are the additional risks from investing in derivatives.

Examples of these associated risks are liquidity risk, which is the risk that the Funds will not be able to sell or close out the derivative in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Funds. In addition, use of derivatives may increase or decrease exposure to the following risk factors:

*Equity Risk:* Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.

*Commodity Risk:* Exposure to the commodities markets may subject the Funds to greater volatility than investments in traditional securities. Prices of various commodities may also be affected by factors, such as drought, floods, weather, livestock disease, embargoes, tariffs and other regulatory developments, which are unpredictable. The prices of commodities can also fluctuate widely due to supply and demand disruptions in major producing or consuming regions.

*Foreign Currency Risk:* Currency trading involves significant risks, including market risk, interest rate risk, country risk, counterparty credit risk and short sale risk. Market risk results from the price movement of foreign currency values in response to shifting market supply and demand. Interest rate risk arises whenever a country changes its stated interest rate target associated with its currency. Country risk arises because virtually every country has interfered with international transactions in its currency.

*Interest Rate Risk:* Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. As nominal interest rates rise, the value of fixed income securities held by the Funds are likely to decrease. Securities with longer durations tend to be more sensitive to changes in interest rates, and are usually more volatile than securities.

**Swap Contracts:** Each Fund may enter into swap transactions for hedging purposes or to seek to increase total return. At the present time, the CoreCommodity Fund primarily enters into swap transactions for the purpose of increasing total return. Swap agreements may be executed in a multilateral or other trade facility program, such as a registered exchange ("centrally cleared swaps") or may be privately negotiated in the over-the counter market. The duration of a swap agreement typically ranges from a few weeks to more than one year. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the "CCP") and the Fund's counterparty on the swap agreement becomes the CCP. Risks may arise as a result of the failure of the counterparty to the swap contract to comply with the terms of the swap contract. The loss incurred by the failure of a counterparty is generally limited to the net payment to be received by the Funds and/or the termination value at the end of the contract. Therefore, the Funds consider the creditworthiness of each counterparty to a contract in evaluating potential credit risk. Although centrally cleared swaps typically present less counterparty risk than non-centrally cleared swaps, a Fund that has entered into centrally cleared swaps is subject to the risk of the failure of the CCP.

Additionally, risks may arise from unanticipated movements in interest rates or in the value of the underlying reference asset or index. Entering into these agreements involves, to varying degrees, market risk, liquidity risk and elements of credit, legal and documentation risk that are not directly reflected in the amounts recognized in the Statements of Assets and Liabilities or Consolidated Statement of Assets and Liabilities.

The Funds may pay or receive cash as collateral on these contracts which may be recorded as an asset and/or liability. The Funds must set aside liquid assets, or engage in other appropriate measures, to cover its obligations under these contracts. Swaps are marked to market daily using either pricing vendor quotations, counterparty prices or model prices and the change in value, if any, is recorded as an unrealized gain or loss. Upfront payments made and/or received by the Funds are recorded as an asset and/or liability and realized gains or losses are recognized ratably over the contract's term/event, with the exception of forward starting interest rate swaps, whose realized gains or losses are recognized ratably from the effective start date. Periodic payments received or made on swap contracts are recorded as realized gains or losses. Gains or losses are realized upon termination of a swap contract.

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Funds will receive a payment from or make a payment to the counterparty. Credit default swaps are a type of swap agreement in which the protection "buyer" is generally obligated to pay the protection "seller" an upfront and/ or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. Credit default swaps ("CDS") are typically two-party financial contracts that transfer credit exposure between the two parties. Under a typical CDS, one party (the "seller") receives pre-determined periodic payments from the other party (the "buyer"). The seller agrees to make compensating specific payments to the buyer if a negative credit event occurs, such as the bankruptcy or default by the issuer of the underlying debt instrument. Swap agreements held at January 31, 2023 are disclosed after the Statement of Investments or Consolidated Statement of Investments.

**Futures:** Each Fund may invest in futures contracts in accordance with their investment objectives. Each Fund does so for a variety of reasons including for cash management, hedging or non-hedging purposes in an attempt to achieve the Fund's investment objective. A futures contract provides for the future sale by one party and purchase by another party of a specified quantity of the security or other financial instrument at a specified price and time. A futures contract on an index is an agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to the difference between the value of the index at the close of the last trading day of the contract and the price at which the index contract was originally written. Futures transactions may result in losses in excess of the amount invested in the futures contract. There can be no guarantee that there will be a correlation between price movements in the hedging vehicle and in the portfolio securities being hedged. An incorrect correlation could result in a loss on both the hedged securities in a Fund and the hedging vehicle so that the portfolio return might have been greater had hedging not been attempted. There can be no assurance that a liquid market will exist at a time when a Fund seeks to close out a futures contract or a futures option position. Lack of a liquid market for any reason may prevent a Fund from liquidating an unfavorable position, and the Fund would remain obligated to meet margin requirements until the position is closed. In addition, a Fund could be exposed to risk if the counterparties to the contracts are unable to meet the terms of their contracts. With exchange traded futures, there is minimal counterparty credit risk to the Funds since futures are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. When a purchase or sale of a futures contract is made by a Fund, the Fund is required to deposit with its custodian (or broker, if legally permitted) a specified amount of liquid assets ("initial margin"). The margin required for a futures contract is set by the exchange on which the contract is traded and may be modified during the term of the contract. The initial margin is in the nature of a performance bond or good faith deposit on the futures contract that is returned to a Fund upon termination of the contract, assuming all contractual obligations have been satisfied. These amounts are included in Deposit with broker for futures contracts on the Statement of Assets and Liabilities. Each day a Fund may pay or receive cash, called "variation margin," equal to the daily change in value of the futures contract. Such payments or receipts are recorded for financial statement purposes as unrealized gains or losses by a Fund. Variation margin does not represent a borrowing or loan by a Fund but is instead a settlement between a Fund and the broker of the amount one would owe the other if the futures contract expired. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

**Forward Foreign Currency Contracts:** Each Fund may engage in currency transactions with counterparties to hedge the value of portfolio securities denominated in particular currencies against fluctuations in relative value, to gain or reduce exposure to certain currencies, or to generate income or gains. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through delivery, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.

**Option Contracts:** Each Fund may enter into options transactions for hedging purposes and for non-hedging purposes such as seeking to enhance return. Each Fund may write covered put and call options on any stocks or stock indices, currencies traded on domestic and foreign securities exchanges, or futures contracts on stock indices, interest rates and currencies traded on domestic and, to the extent permitted by the CFTC, foreign exchanges. A call option on an asset written by a Fund obligates the Fund to sell the specified asset to the holder (purchaser) at a stated price (the exercise price) if the option is exercised before a specified date (the expiration date). A put option on an asset written by a Fund obligates the Fund to buy the specified asset from the purchaser at the exercise price if the option is exercised before the expiration date. Premiums received when writing options are recorded as liabilities and are subsequently adjusted to the current value of the options written. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options, which are either exercised or closed, are offset against the proceeds received or amount paid on the transaction to determine realized gains or losses.

**4. AFFILIATED COMPANIES**

Funds may invest in certain securities that are considered securities issued by affiliated companies. As defined by the Investment Company Act of 1940, an affiliated person, including an affiliated company, is one in which a Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The purchases, sales, dividend income, realized gains or losses, change in unrealized gains or losses, shares and value of investments in affiliated companies for the period ended January 31, 2023 were as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **RiverFront Asset Allocation Growth & Income** | **Market Value as of October 31, 2022** | **Purchases** | **Sales** | **Market Value as of January 31, 2023** | **Share Balance as of January 31, 2023** | **Dividends** | **Change in Unrealized Gain (Loss)** | **Realized Gain/Loss** |
| RiverFront Dynamic Core Income ETF | $6509874 |  | $(654999) | $6105007 | 270612 | $46787 | $292602 | $(42470) |
| Riverfront Strategic Income Fund | 3034538 |  | (326247) | 2799965 | 121825 | 22404 | 118739 | (27065) |
| First Trust RiverFront Dynamic Developed International ETF | 11883550 |  | (1205944) | 12390710 | 220201 | 121175 | 1855820 | (142716) |
| First Trust RiverFront Dynamic Emerging Markets ETF | 2969977 |  | (307461) | 3141127 | 56764 | 85244 | 503673 | (25062) |
| RiverFront Dynamic US Dividend Advantage ETF | 17787732 |  | (1773416) | 16692267 | 378591 | 144812 | 131966 | 545985 |
| RiverFront Dynamic US Flex-Cap ETF | 5294793 | - | (495678) | 5063138 | 118717 | 26281 | 280414 | (16391) |
|  | $47480464 | $- | $(4763745) | $46192214 |  | $446703 | $3183214 | $292281 |

---

**Financial Investors Trust**

**Schedules of Investments** 

**(Unaudited)**

**January 31, 2023**

---

| |
|:---|
| ALPS \| Smith Short Duration Bond Fund |
| **STATEMENT OF INVESTMENTS** |
| ***January 31, 2023 (Unaudited)*** |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS (0.13%)** | **COLLATERALIZED MORTGAGE OBLIGATIONS (0.13%)** | |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-184, Class M, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 09/25/2023<sup>(a)</sup> | $1299 | $1284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-189, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10Y US TI + -0.65%, 10/25/2023<sup>(b)</sup> | 987 | 982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-230, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 12/25/2023<sup>(b)</sup> | 7668 | 7672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-255, Class E, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.100%, 12/25/2023 | 7678 | 7688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-27, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.90%, 08/25/2023<sup>(b)</sup> | 49 | 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-31, Class PN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 09/25/2023 | 11486 | 11464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-97, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.25%, 05/25/2023<sup>(b)</sup> | 275 | 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-18, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 02/25/2024<sup>(b)</sup> | 2880 | 2882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-22, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.20%, 01/25/2024<sup>(b)</sup> | 14499 | 14543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-3, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.65%, 01/25/2024<sup>(b)</sup> | 6007 | 6008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-3, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.65%, 03/25/2024<sup>(b)</sup> | 773 | 773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-61, Class E, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.500%, 04/25/2024 | 7843 | 7867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-75, Class K, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 04/25/2024 | 6056 | 6070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-77, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.50%, 04/25/2024<sup>(b)</sup> | 20618 | 20707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-12, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 04/18/2027<sup>(b)</sup> | 15214 | 15308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-49, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 06/17/2027<sup>(b)</sup> | 21377 | 21346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-39, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/25/2023 | 1334 | 1328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-53, Class NC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/25/2024 | 1713 | 1705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-95, Class AK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/25/2025 | 6108 | 6086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-121, Class DY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/25/2026 | 9000 | 8948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-22, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/25/2023 | 2012 | 2000 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-40, Class KA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/25/2026 | $51105 | $50045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-44, Class EB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/25/2026 | 15895 | 15482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-61, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/25/2026 | 27663 | 26922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-80, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/25/2026 | 28117 | 27575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-22, Class ND, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/25/2026 | 32794 | 32141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-47, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 05/25/2027 | 37077 | 35252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-5, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 02/25/2028 | 78046 | 74086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-96, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/25/2026 | 170270 | 164727 |
|  |  | 571214 |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1487, Class O, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.75%, 03/15/2023<sup>(b)</sup> | 162 | 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1534, Class J, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.90%, 06/15/2023<sup>(b)</sup> | 1239 | 1240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1560, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 08/15/2023 | 1840 | 1837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1567, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 08/15/2023<sup>(b)</sup> | 7302 | 7253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1584, Class L, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 09/15/2023 | 3263 | 3266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1602, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 10/15/2023 | 4374 | 4369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1611, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 11/15/2023 | 5271 | 5285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1628, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 12/15/2023 | 1479 | 1481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1630, Class PK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 11/15/2023 | 3396 | 3396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1632, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.20%, 11/15/2023<sup>(b)</sup> | 4196 | 4203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-1636, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.65%, 11/15/2023<sup>(b)</sup> | 1960 | 1960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-21, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 10/25/2023<sup>(b)</sup> | 2939 | 2940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1993-24, Class FJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 11/25/2023<sup>(b)</sup> | 12776 | 12770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-1673, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10Y US TI + -0.50%, 02/15/2024<sup>(b)</sup> | 1319 | 1314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-1699, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 03/15/2024<sup>(b)</sup> | 2312 | 2310 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-1707, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 03/15/2024<sup>(b)</sup> | $3144 | $3148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-1730, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 05/15/2024 | 12314 | 12311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-1744, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.98%, 08/15/2024<sup>(b)</sup> | 13694 | 13814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-32, Class PN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.500%, 04/25/2024 | 31154 | 31162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1994-43, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 10/17/2024 | 9591 | 9601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1996-1810, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 02/15/2026 | 12741 | 12631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1996-1885, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.45%, 09/15/2026<sup>(b)</sup> | 3517 | 3510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-1983, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 12/15/2023 | 2831 | 2836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2332, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.45%, 01/15/2028<sup>(b)</sup> | 74628 | 74454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2595, Class GC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/15/2023 | 1150 | 1147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2634, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/15/2023 | 102 | 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2877, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 10/15/2024 | 921 | 915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3005, Class ED, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/15/2025 | 30267 | 30018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3104, Class DH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/15/2026 | 17648 | 17490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3575, Class EB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/15/2024 | 17663 | 17439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3661, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/15/2025 | 13282 | 13137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3710, Class MG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/15/2025<sup>(c)</sup> | 32021 | 31604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3779, Class KJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.750%, 11/15/2025 | 13226 | 13026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3829, Class BE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/15/2026 | 11484 | 11271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3907, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 05/15/2026<sup>(b)</sup> | 4950 | 4944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4003, Class BG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 10/15/2026 | 23837 | 23230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4177, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 03/15/2028 | 17856 | 16777 |
|  |  | 398353 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-101, Class GU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2025<sup>(c)</sup> | 12323 | 12165 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | **Principal<br> Amount** | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-53, Class KN, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 08/20/2025 | $| 13430 | $12970 |
|  |  |  | 25135 |
| **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |  |  |
| **(Cost $1,023,146)** |  |  | 994702 |
|  |  | **Principal**<br> **Amount**  | **Value**<br> **(Note 2)**  |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES (0.03%)** |  |  |  |
| Fannie Mae-Aces |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-M14, Class A2, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.329%, 10/25/2023<sup>(b)</sup> |  | 34223 | 33624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-M13, Class FA, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.67%, 11/25/2023<sup>(b)</sup> |  | 1289 | 1285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-M7, Class AV2, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.157%, 10/25/2023 |  | 12562 | 12366 |
|  |  |  | 47275 |
| Freddie Mac Multifamily Structured Pass Through Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-KF07, Class A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.29%, 02/25/2025<sup>(b)</sup> |  | 8896 | 8843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-KJ10, Class A2, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.912%, 12/25/2023 |  | 45093 | 44456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-K069, Class A1, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.892%, 06/25/2027 |  | 51009 | 50154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-K728, Class A2, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.064%, 08/25/2024<sup>(b)</sup> |  | 113871 | 111140 |
|  |  |  | 214593 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** |  |  |  |
| **(Cost $266,545)** |  |  | 261868 |
|  | **Principal<br> Amount** | **Principal<br> Amount** | **Value<br> (Note 2)** |
| **MORTGAGE-BACKED SECURITIES (1.04%)** | **MORTGAGE-BACKED SECURITIES (1.04%)** | **MORTGAGE-BACKED SECURITIES (1.04%)** |  |
| Fannie Mae Pool |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-MA0717, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/01/2026 |  | 170536 | 168181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-AM1076, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.920%, 10/01/2024 |  | 226431 | 220172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AM4125, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.740%, 08/01/2023 |  | 230000 | 227791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-AM7158, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.150%, 11/01/2024 |  | 175000 | 170475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AM9288, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.930%, 07/01/2025 |  | 1313090 | 1269143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AL8941, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.932%, 01/01/2024<sup>(b)</sup> |  | 20719 | 20296 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AL9448, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.935%, 07/01/2026<sup>(b)</sup> | $185715 | $178004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN1413, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.490%, 05/01/2026 | 140246 | 133298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN2079, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.910%, 07/01/2026 | 35324 | 33759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN3895, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.470%, 01/01/2024 | 2000000 | 1950563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN8096, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.020%, 06/01/2024 | 305000 | 297446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN8203, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.950%, 01/01/2025 | 2847876 | 2755541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-BL0760, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.790%, 12/01/2025 | 483332 | 475518 |
|  |  | 7900187 |
| Freddie Mac Gold Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-T40090, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/01/2027 | 60084 | 58951 |
| Ginnie Mae I Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-745222, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/15/2025 | 55140 | 55582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AF1057, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/15/2028 | 81192 | 76948 |
|  |  | 132530 |
| Ginnie Mae II Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-4377, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/20/2024 | 59265 | 59495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-4898, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/20/2025 | 49405 | 48125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-4954, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/20/2026 | 44376 | 43333 |
|  |  | 150953 |
| **TOTAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $8,623,777)** |  | 8242621 |
| **CORPORATE BONDS (75.36%)** |  |  |
| *Aerospace & Defense (**2.25%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Boeing Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20%, 02/04/2026 | 5000000 | 4624657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Huntington Ingalls Industries, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.67%, 08/16/2023 | 7500000 | 7323149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 12/15/2025<sup>(d)</sup> | 5841000 | 5961500 |
| **Total *Aerospace & Defense*** |  | 17909306 |
| *Apparel & Textile Products (**0.18%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hanesbrands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 05/15/2024<sup>(d)</sup> | 1421000 | 1397958 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *Auto Parts Manufacturing (**0.12%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Aptiv PLC / Aptiv Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.40%, 02/18/2025 | $1000000 | $954577 |
| *Automobiles Manufacturing (**8.65%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;American Honda Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.65%, 09/08/2023 | 1500000 | 1461752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.30%, 02/10/2025 | 2000000 | 1857015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.38%, 11/13/2025 | 6465000 | 6030746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.95%, 03/06/2026 | 7500000 | 7678237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.35%, 11/04/2027 | 5650000 | 5939563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.80%, 04/07/2025 | 2000000 | 1943385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.05%, 10/10/2025 | 7000000 | 7134875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 1.30%, 04/07/2025<sup>(b)</sup> | 4000000 | 3968255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hyundai Capital America |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.88%, 06/14/2024<sup>(d)</sup> | 4000000 | 3773014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kia Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.00%, 04/16/2024<sup>(d)</sup> | 2850000 | 2709146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mercedes-Benz Finance North America LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 11/26/2025<sup>(d)</sup> | 5000000 | 5080583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 11/27/2024<sup>(d)</sup> | 5000000 | 5070090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nissan Motor Co., Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.04%, 09/15/2023<sup>(d)</sup> | 4685000 | 4611112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.52%, 09/17/2025<sup>(d)</sup> | 4000000 | 3778011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Volkswagen Group of America Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.88%, 11/22/2023<sup>(d)</sup> | 2500000 | 2412859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.95%, 06/07/2024<sup>(b)(d)</sup> | 5000000 | 4996363 |
| **Total *Automobiles Manufacturing*** |  | 68445006 |
| *Banks (**9.16%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bank of Ireland Group PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 2.65%, 09/16/2026<sup>(b)(d)</sup> | 4000000 | 4034207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bank of New York Mellon |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.80%, 11/21/2025<sup>(b)</sup> | 5000000 | 5038138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bank of New Zealand |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.85%, 02/07/2028<sup>(d)</sup> | 2000000 | 2012460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Citizens Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.45%, 10/24/2025<sup>(b)</sup> | 4810000 | 4881429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Danske Bank A/S |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 01/12/2024<sup>(d)</sup> | 250000 | 250127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 2.10%, 01/09/2026<sup>(b)(d)</sup> | 3850000 | 3910068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discover Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.35%, 02/06/2023 | 2110000 | 2109657 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fifth Third Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.23%, 10/27/2025<sup>(b)</sup> | $2000000 | $2032078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Horizon Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.55%, 05/26/2023 | 500000 | 497886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First-Citizens Bank & Trust Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 3.83%, 06/19/2024<sup>(b)</sup> | 6163000 | 6129212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FNB Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20%, 02/24/2023 | 200000 | 199563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;KBC Group NV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 2.10%, 01/19/2029<sup>(b)(d)</sup> | 5000000 | 5076353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;KeyBank NA/Cleveland OH |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.70%, 01/26/2026 | 3900000 | 3906242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;KeyCorp |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.25%, 05/23/2025<sup>(b)</sup> | 1000000 | 982433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Lloyds Banking Group PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.55%, 05/11/2024<sup>(b)</sup> | 2000000 | 1971651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Manufacturers & Traders Trust Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.65%, 01/27/2026 | 4000000 | 3994112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 11/21/2025 | 3750000 | 3815652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;National Bank of Canada |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.40%, 11/15/2024<sup>(b)</sup> | 3000000 | 2891805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NatWest Markets PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.80%, 08/12/2024<sup>(d)</sup> | 1000000 | 936767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Synovus Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.20%, 08/11/2025 | 3450000 | 3449612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Truist Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.30%, 05/15/2026 | 3500000 | 3335645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Truist Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.40%, 06/09/2025<sup>(b)</sup> | 2000000 | 1976684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;UniCredit SpA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.83%, 12/04/2023<sup>(d)</sup> | 3775000 | 3852750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;US Bancorp |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.23%, 02/01/2029<sup>(b)</sup> | 5000000 | 4999722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 08/15/2023 | 300000 | 298789 |
| **Total *Banks*** |  | 72583042 |
| *Biotechnology (**0.13%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Roche Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.24%, 03/05/2024<sup>(b)(d)</sup> | 1000000 | 998092 |
| *Cable & Satellite (**0.69%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Charter Communications Operating LLC / Charter Communications Operating Capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3M US L + 1.65%, 02/01/2024<sup>(b)</sup> | 3530000 | 3556689 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Comcast Corp |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 11/07/2025 | $1900000 | $1941718 |
| **Total *Cable & Satellite*** |  | 5498407 |
| *Casinos & Gaming (**0.36%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MGM Resorts International |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/01/2025 | 2843000 | 2867190 |
| *Chemicals (**3.04%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Avient Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 05/15/2025<sup>(d)</sup> | 3826000 | 3790860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Celanese US Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.90%, 07/05/2024 | 6500000 | 6539139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;International Flavors & Fragrances, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.23%, 10/01/2025<sup>(d)</sup> | 2000000 | 1799449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LG Chem, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.38%, 07/14/2025<sup>(d)</sup> | 1500000 | 1475431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nutrien, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.90%, 11/07/2024 | 4000000 | 4064790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sherwin-Williams Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.05%, 08/08/2024 | 3000000 | 2966762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 08/08/2025 | 3000000 | 2964374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Westlake Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.88%, 08/15/2024 | 500000 | 468288 |
| **Total *Chemicals*** |  | 24069093 |
| *Commercial Finance (**2.18%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AerCap Ireland Capital DAC / AerCap Global Aviation Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 07/15/2025 | 9600000 | 9780251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.68%, 09/29/2023<sup>(b)</sup> | 2272000 | 2259211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Park Aerospace Holdings, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 03/15/2023<sup>(d)</sup> | 5135000 | 5129935 |
| **Total *Commercial Finance*** |  | 17169397 |
| *Construction Materials Manufacturing (**0.93%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carlisle Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.55%, 09/01/2023 | 1000000 | 974141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Martin Marietta Materials, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.65%, 07/15/2023 | 6540000 | 6407373 |
| **Total *Construction Materials Manufacturing*** |  | 7381514 |
| *Consumer Finance (**2.48%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ally Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.45%, 10/02/2023 | 4730000 | 4619180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;American Express Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.25%, 03/04/2025 | 3000000 | 2855325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.38%, 05/03/2024 | 3000000 | 2949082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 0.23%, 11/03/2023<sup>(b)</sup> | 2000000 | 1997533 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital One Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.60%, 05/11/2023 | $400000 | $397652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.08%, 02/01/2029<sup>(b)</sup> | 3000000 | 3020612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fidelity National Information Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.38%, 03/01/2023 | 2000000 | 1993644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.60%, 03/01/2024 | 2000000 | 1906642 |
| **Total *Consumer Finance*** |  | 19739670 |
| *Consumer Products (**0.55%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GSK Consumer Healthcare Capital UK PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.13%, 03/24/2025 | 4000000 | 3849066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Unilever Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.63%, 08/12/2024 | 500000 | 471223 |
| **Total *Consumer Products*** |  | 4320289 |
| *Consumer Services (**0.06%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cintas Corp. No 2 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.45%, 05/01/2025 | 500000 | 487287 |
| *Containers & Packaging (**0.16%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Owens-Brockway Glass Container, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 08/15/2023<sup>(d)</sup> | 1308000 | 1304444 |
| *Department Stores (**0.59%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nordstrom, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series WI |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.30%, 04/08/2024 | 5000000 | 4751175 |
| *Design, Manufacturing & Distribution (**0.36%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TD SYNNEX Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.25%, 08/09/2024 | 3000000 | 2820405 |
| *Diversified Banks (**7.21%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Banco Santander SA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.45%, 06/30/2024<sup>(b)</sup> | 1000000 | 979269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.65%, 12/06/2025<sup>(b)</sup> | 1000000 | 934889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.69%, 04/22/2025<sup>(b)</sup> | 4000000 | 3980558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.29%, 01/20/2027<sup>(b)</sup> | 4000000 | 4016271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3M BSBY + 0.43%, 05/28/2024<sup>(b)</sup> | 3000000 | 2984040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bank of Nova Scotia |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.45%, 04/11/2025 | 3000000 | 2914388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Barclays PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.80%, 12/10/2024<sup>(b)</sup> | 3000000 | 2887236 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Citigroup, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.669%, 05/01/2025<sup>(b)</sup> | $3000000 | $2841815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HSBC Holdings PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.534%, 08/17/2024<sup>(b)</sup> | 2000000 | 1946640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.58%, 11/22/2024<sup>(b)</sup> | 5000000 | 4921846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.07%, 12/15/2025<sup>(b)</sup> | 7750000 | 7815458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.46%, 06/01/2024<sup>(b)</sup> | 6000000 | 5928625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series FRN |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.58%, 06/23/2025<sup>(b)</sup> | 2000000 | 1983073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mitsubishi UFJ Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.70%, 07/18/2025<sup>(b)</sup> | 3000000 | 2985223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mizuho Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.87% - 1D US SOFR, 09/08/2024<sup>(b)</sup> | 1000000 | 971406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.25% - 1D US SOFR, 07/10/2024<sup>(b)</sup> | 1000000 | 981200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NatWest Group PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 2.15%, 05/22/2024<sup>(b)</sup> | 1000000 | 989284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Standard Chartered PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.93%, 11/23/2025<sup>(b)(d)</sup> | 4000000 | 3926815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 3.10%, 11/16/2025<sup>(b)(d)</sup> | 3000000 | 3130822 |
| **Total *Diversified Banks*** |  | 57118858 |
| *Electrical Equipment Manufacturing (**0.13%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Siemens Financieringsmaatschappij NV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.40%, 03/11/2023<sup>(d)</sup> | 1000000 | 995488 |
| *Entertainment Content (**0.25%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Warnermedia Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.53%, 03/15/2024<sup>(d)</sup> | 2000000 | 1953180 |
| *Entertainment Resources (**0.25%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vail Resorts, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 05/15/2025<sup>(d)</sup> | 2000000 | 2011875 |
| *Exploration & Production (**0.12%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pioneer Natural Resources Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.55%, 05/15/2023 | 1000000 | 987768 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *Financial Services (**8.14%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Credit Suisse Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.044%, 06/05/2026<sup>(b)(d)</sup> | $4234000 | $3721882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 3.34%, 07/15/2026<sup>(b)(d)</sup> | 3000000 | 2913885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.52%, 03/08/2023 | 2000000 | 1991360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.70%, 11/01/2024 | 3800000 | 3857061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.70%, 01/24/2025<sup>(b)</sup> | 3000000 | 2984558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.525%, 05/30/2025<sup>(b)</sup> | 3000000 | 2817580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.625%, 01/24/2025<sup>(b)</sup> | 5000000 | 4973265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.295%, 01/28/2027<sup>(b)</sup> | 2000000 | 2007742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series GMTN |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.509%, 01/22/2025<sup>(b)</sup> | 5000000 | 4770839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;National Securities Clearing Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.40%, 12/07/2023<sup>(d)</sup> | 1980000 | 1908690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.05%, 11/21/2024<sup>(d)</sup> | 7000000 | 7037065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State Street Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.604%, 01/26/2026<sup>(b)</sup> | 3900000 | 3915267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.353%, 11/04/2026<sup>(b)</sup> | 3250000 | 3339288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;UBS AG/London |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.32%, 06/01/2023<sup>(b)(d)</sup> | 1000000 | 1000078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;UBS Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.83%, 07/30/2024<sup>(b)(d)</sup> | 1000000 | 979169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.55%, 05/12/2026<sup>(b)(d)</sup> | 2000000 | 1970802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.55%, 01/12/2027<sup>(b)(d)</sup> | 4000000 | 4052930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.60%, 08/05/2025<sup>(b)(d)</sup> | 5000000 | 4952780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USAA Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.50%, 05/01/2024<sup>(d)</sup> | 2000000 | 1900039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.50%, 05/01/2023<sup>(d)</sup> | 500000 | 495958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.38%, 05/01/2025<sup>(d)</sup> | 3000000 | 2913015 |
| **Total *Financial Services*** |  | 64503253 |
| *Food & Beverage (**2.96%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cargill, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 10/10/2025<sup>(d)</sup> | 1000000 | 1006831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Conagra Brands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.50%, 08/11/2023 | 2000000 | 1952961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Constellation Brands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.60%, 05/09/2024 | 3000000 | 2957441 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Mills, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.24%, 11/18/2025 | $3000000 | $3016193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hormel Foods Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.65%, 06/03/2024 | 2000000 | 1897127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;JDE Peet's NV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.80%, 09/24/2024<sup>(d)</sup> | 1000000 | 924053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Keurig Dr Pepper, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.75%, 03/15/2024 | 1000000 | 955698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mondelez International Holdings Netherlands BV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 09/15/2025<sup>(d)</sup> | 3000000 | 2968388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mondelez International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.13%, 03/17/2024 | 3000000 | 2914288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nestle Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 09/12/2025<sup>(d)</sup> | 5000000 | 4948842 |
| **Total *Food & Beverage*** |  | 23541822 |
| *Forest & Paper Products Manufacturing (**0.21%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Georgia-Pacific LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.63%, 05/15/2024<sup>(d)</sup> | 1750000 | 1659913 |
| *Hardware (**0.74%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Teledyne Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.65%, 04/01/2023 | 3000000 | 2976877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.95%, 04/01/2024 | 3000000 | 2858269 |
| **Total *Hardware*** |  | 5835146 |
| *Health Care Facilities & Services (**0.35%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AmerisourceBergen Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.74%, 03/15/2023 | 885000 | 880706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cigna Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.61%, 03/15/2024 | 2000000 | 1907030 |
| **Total *Health Care Facilities & Services*** |  | 2787736 |
| *Industrial Other (**0.99%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Honeywell International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.85%, 11/01/2024 | 5000000 | 5042139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Parker-Hannifin Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.65%, 06/15/2024 | 1000000 | 983428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Quanta Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.95%, 10/01/2024 | 2000000 | 1862346 |
| **Total *Industrial Other*** |  | 7887913 |
| *Leisure Products Manufacturing (**0.23%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brunswick Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.85%, 08/18/2024 | 2000000 | 1860884 |
| *Life Insurance (**0.50%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jackson National Life Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 01/09/2026<sup>(d)</sup> | 3000000 | 3043082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Security Benefit Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.25%, 05/17/2024<sup>(d)</sup> | 1000000 | 945512 |
| **Total *Life Insurance*** |  | 3988594 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *Managed Care (**0.61%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Humana, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.65%, 08/03/2023 | $5014000 | $4903453 |
| *Mass Merchants (**0.25%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dollar General Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 09/20/2024 | 2000000 | 1982391 |
| *Medical Equipment & Devices Manufacturing (**2.37%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Baxter International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 0.26%, 12/01/2023<sup>(b)</sup> | 2000000 | 1988253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GE HealthCare Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.55%, 11/15/2024<sup>(d)</sup> | 2000000 | 2017764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.60%, 11/15/2025<sup>(d)</sup> | 2000000 | 2033965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Illumina, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.55%, 03/23/2023 | 2000000 | 1988111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PerkinElmer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.55%, 09/15/2023 | 2000000 | 1939515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Thermo Fisher Scientific, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.80%, 10/18/2023 | 5000000 | 4858859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 0.53%, 10/18/2024<sup>(b)</sup> | 2000000 | 1995537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Zimmer Biomet Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.45%, 11/22/2024 | 2000000 | 1886700 |
| **Total *Medical Equipment & Devices Manufacturing*** |  | 18708704 |
| *Metals & Mining (**0.70%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Steel Dynamics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 12/15/2026 | 5592000 | 5553966 |
| *Pipeline (**4.05%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Buckeye Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.15%, 07/01/2023 | 10040000 | 9997179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.35%, 10/15/2024 | 750000 | 726730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 04/15/2024 | 900000 | 892785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gray Oak Pipeline LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.00%, 09/15/2023<sup>(d)</sup> | 3640000 | 3557110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Midwest Connector Capital Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.90%, 04/01/2024<sup>(d)</sup> | 9784000 | 9563178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Targa Resources Partners LP / Targa Resources Partners Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 07/15/2027 | 5786000 | 5929117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TransCanada PipeLines, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.00%, 10/12/2024 | 1500000 | 1403805 |
| **Total *Pipeline*** |  | 32069904 |
| *Power Generation (**1.61%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alexander Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.84%, 11/15/2023<sup>(d)</sup> | 5345000 | 5154286 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 05/13/2024<sup>(d)</sup> | $7735000 | $7643650 |
| **Total *Power Generation*** |  | 12797936 |
| *Railroad (**0.12%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Canadian Pacific Railway Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.35%, 12/02/2024 | 1000000 | 940098 |
| *Real Estate (**2.03%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GLP Capital LP / GLP Financing II, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 11/01/2023 | 1770000 | 1772832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Public Storage |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.47%, 04/23/2024<sup>(b)</sup> | 2000000 | 1994617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VICI Properties LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.38%, 05/15/2025 | 10500000 | 10279028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VICI Properties LP / VICI Note Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 05/01/2024<sup>(d)</sup> | 2000000 | 1998267 |
| **Total *Real Estate*** |  | 16044744 |
| *Refining & Marketing (**0.43%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HF Sinclair Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.63%, 10/01/2023 | 3434000 | 3379276 |
| *Restaurants (**0.13%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Starbucks Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 0.42%, 02/14/2024<sup>(b)</sup> | 1000000 | 997712 |
| *Retail - Consumer Discretionary (**0.12%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Genuine Parts Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.75%, 02/01/2025 | 1000000 | 940557 |
| *Semiconductors (**0.86%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Analog Devices, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.25%, 10/01/2024<sup>(b)</sup> | 2000000 | 1976027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Marvell Technology, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.20%, 06/22/2023 | 2000000 | 1991020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Microchip Technology, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.97%, 02/15/2024 | 1000000 | 957487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Skyworks Solutions, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.90%, 06/01/2023 | 2000000 | 1969260 |
| **Total *Semiconductors*** |  | 6893794 |
| *Software & Services (**1.00%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;International Business Machines Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 02/06/2026 | 5000000 | 5007438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Intuit, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.65%, 07/15/2023 | 1000000 | 980822 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VMware, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.60%, 08/15/2023 | $2000000 | $1954783 |
| **Total *Software & Services*** |  | 7943043 |
| *Supermarkets & Pharmacies (**0.47%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7-Eleven, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.63%, 02/10/2023<sup>(d)</sup> | 500000 | 499477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.80%, 02/10/2024<sup>(d)</sup> | 3350000 | 3203575 |
| **Total *Supermarkets & Pharmacies*** |  | 3703052 |
| *Transportation & Logistics (**0.25%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PACCAR Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.35%, 08/11/2023 | 1000000 | 976350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.80%, 06/08/2023 | 1000000 | 986381 |
| **Total *Transportation & Logistics*** |  | 1962731 |
| *Utilities (**5.32%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;American Electric Power Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.03%, 03/15/2024 | 3000000 | 2899638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Atmos Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.63%, 03/09/2023 | 2550000 | 2539511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3M US L + 0.38%, 03/09/2023<sup>(b)</sup> | 1795000 | 1794943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Black Hills Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.04%, 08/23/2024 | 3000000 | 2819113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CenterPoint Energy Resources Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.70%, 03/02/2023 | 2707000 | 2698605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;DTE Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.22%, 11/01/2024<sup>(c)</sup> | 2000000 | 1977432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Duke Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 12/08/2025 | 6000000 | 6046292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NextEra Energy Capital Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.65%, 03/01/2023 | 5000000 | 4984851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ONE Gas, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.10%, 03/11/2024 | 3311000 | 3174522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pacific Gas and Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 02/16/2024 | 4400000 | 4319660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Southern Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.48%, 08/01/2024<sup>(c)</sup> | 3000000 | 2969226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;WEC Energy Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.80%, 03/15/2024 | 3000000 | 2863226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 01/09/2026 | 3000000 | 3008253 |
| **Total *Utilities*** |  | 42095272 |
| *Waste & Environment Services & Equipment (**0.29%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GFL Environmental, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.13%, 12/15/2026<sup>(d)</sup> | 2340000 | 2278985 |
| *Wireless Telecommunications Services (**0.53%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AT&T, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.90%, 03/25/2024 | 2000000 | 1913737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sprint LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 09/15/2023 | 2239000 | 2274763 |
| **Total *Wireless Telecommunications Services*** |  | 4188500 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *Wireline Telecommunications Services (**0.25%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NTT Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.37%, 03/03/2023<sup>(d)</sup> | $2000000 | $1992774 |
| **TOTAL CORPORATE BONDS** |  |  |
| **(Cost $606,121,100)** |  | 597206174 |
| **GOVERNMENT BONDS (23.43%)** |  |  |
| *U.S. Treasury Bonds (**23.43%**)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.13%, 01/15/2025 | 9286000 | 8752055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.75%, 03/15/2025 | 19831000 | 18880506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.63%, 04/15/2025 | 14440000 | 13992416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.75%, 05/15/2025 | 15576000 | 15131232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 07/31/2024 | 8013000 | 7841628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 07/15/2025 | 13617000 | 13297852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.13%, 08/15/2025 | 7518000 | 7362941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 08/31/2024 | 21195000 | 20816222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 09/15/2025 | 3874000 | 3831098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 09/30/2024 | 22662000 | 22613313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 12/31/2024 | 8875000 | 8875693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.38%, 10/31/2024 | 22650000 | 22661061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 11/30/2024 | 16763000 | 16819968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 11/15/2025 | 4790000 | 4861850 |
| **Total *U.S. Treasury Bonds*** |  | 185737835 |
| **TOTAL GOVERNMENT BONDS** |  |  |
| **(Cost $188,268,952)** |  | 185737835 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day<br> Yield** | **Shares** | **Value<br> (Note 2)** |
| **SHORT TERM INVESTMENTS (0.56%)** | **SHORT TERM INVESTMENTS (0.56%)** | **SHORT TERM INVESTMENTS (0.56%)** | **SHORT TERM INVESTMENTS (0.56%)** |
| ***Money Market Fund (0.56%)*** | ***Money Market Fund (0.56%)*** | ***Money Market Fund (0.56%)*** | ***Money Market Fund (0.56%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 4.14% | 4474146 | 4474146 |
| **TOTAL SHORT TERM INVESTMENTS** |  |  |  |
| **(Cost $4,474,146)** |  |  | 4474146 |
| **TOTAL INVESTMENTS (100.55%)** |  |  |  |
| **(Cost $808,777,666)** |  |  | $796917346 |
| **Liabilities In Excess Of Other Assets (-0.55%)** |  |  | (4327047) |
| **NET ASSETS (100.00%)** |  |  | $792590299 |

---

---

| |
|:---|
| **Investment Abbreviations:** |
| BSBY - Bloomberg Short-Term Bank Yield |
| LIBOR - London Interbank Offered Rate |
| SOFR - Secured Overnight Financing Rate |
| TI – Treasury Index |

---

---

| |
|:---|
| **Reference Rates:** |
| 1M US L - 1 Month LIBOR as of January 31, 2023 was 4.57% |
| 3M US L - 3 Month LIBOR as of January 31, 2023 was 4.81% |
| 3M BSBY – 3 Month BSBY as of January 31, 2023 was 5.05% |
| 1D US SOFR - 1 Day SOFR as of January 31, 2023 was 4.31% |
| 1Y US TI - 1 Year US TI as of January 31, 2023 was 4.68% |
| 10Y US TI - 10 Year US TI as of January 31, 2023 was 3.52% |

---

*<sup>(a)</sup>* *Issued with zero coupon.*

*<sup>(b)</sup>* *Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2023 is based on the reference rate plus the displayed spread as of the security's last reset date.*

*<sup>(c)</sup>* *Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of January 31, 2023.*

*<sup>(d)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2023, the aggregate market value of those securities was $175,665,704, representing 22.16% of net assets.*

*See Notes to Quarterly Statement of Investments.*

---

| |
|:---|
| ALPS \| Smith Total Return Bond Fund |
| **STATEMENT OF INVESTMENTS** |
| ***January 31, 2023 (Unaudited)*** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS (9.45%)** | **COLLATERALIZED MORTGAGE OBLIGATIONS (9.45%)** | **COLLATERALIZED MORTGAGE OBLIGATIONS (9.45%)** |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;Series 1993-31, Class PN, |  |  |
| &nbsp;&nbsp;&nbsp;7.000%, 09/25/2023 | $22973 | $22930 |
| &nbsp;&nbsp;&nbsp;Series 1997-76, Class FO, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 09/17/2027<sup>(a)</sup> | 11814 | 11820 |
| &nbsp;&nbsp;&nbsp;Series 1999-58, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 11/18/2029<sup>(a)</sup> | 36011 | 35824 |
| &nbsp;&nbsp;&nbsp;Series 2000-40, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 07/25/2030<sup>(a)</sup> | 14416 | 14411 |
| &nbsp;&nbsp;&nbsp;Series 2000-45, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.45%, 12/25/2030<sup>(a)</sup> | 13108 | 13052 |
| &nbsp;&nbsp;&nbsp;Series 2001-27, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 06/25/2031<sup>(a)</sup> | 9758 | 9574 |
| &nbsp;&nbsp;&nbsp;Series 2001-29, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 07/25/2031 | 58488 | 61000 |
| &nbsp;&nbsp;&nbsp;Series 2001-51, Class OD, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 10/25/2031 | 12700 | 12708 |
| &nbsp;&nbsp;&nbsp;Series 2001-52, Class XZ, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 10/25/2031 | 21568 | 22679 |
| &nbsp;&nbsp;&nbsp;Series 2001-59, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 11/25/2031<sup>(a)</sup> | 95809 | 96019 |
| &nbsp;&nbsp;&nbsp;Series 2001-60, Class OF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.95%, 10/25/2031<sup>(a)</sup> | 11018 | 11157 |
| &nbsp;&nbsp;&nbsp;Series 2001-63, Class TC, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 12/25/2031 | 19008 | 19399 |
| &nbsp;&nbsp;&nbsp;Series 2001-63, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 12/18/2031<sup>(a)</sup> | 11756 | 11783 |
| &nbsp;&nbsp;&nbsp;Series 2001-68, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 12/25/2031 | 14978 | 15431 |
| &nbsp;&nbsp;&nbsp;Series 2001-71, Class FS, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 11/25/2031<sup>(a)</sup> | 56587 | 56711 |
| &nbsp;&nbsp;&nbsp;Series 2001-71, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.65%, 11/25/2031<sup>(a)</sup> | 69194 | 69451 |
| &nbsp;&nbsp;&nbsp;Series 2001-81, Class GE, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 01/25/2032 | 13165 | 13640 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2002-11, Class JF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.73%, 03/25/2032<sup>(a)</sup> | $41421 | $41683 |
| &nbsp;&nbsp;&nbsp;Series 2002-12, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.05%, 01/25/2032<sup>(a)</sup> | 46035 | 46599 |
| &nbsp;&nbsp;&nbsp;Series 2002-13, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.90%, 03/25/2032<sup>(a)</sup> | 46378 | 46715 |
| &nbsp;&nbsp;&nbsp;Series 2002-16, Class TM, |  |  |
| &nbsp;&nbsp;&nbsp;7.000%, 04/25/2032 | 11962 | 12675 |
| &nbsp;&nbsp;&nbsp;Series 2002-17, Class JF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.00%, 04/25/2032<sup>(a)</sup> | 26115 | 26503 |
| &nbsp;&nbsp;&nbsp;Series 2002-18, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.80%, 02/25/2032<sup>(a)</sup> | 43413 | 43693 |
| &nbsp;&nbsp;&nbsp;Series 2002-23, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.90%, 04/25/2032<sup>(a)</sup> | 38412 | 38862 |
| &nbsp;&nbsp;&nbsp;Series 2002-34, Class EO, |  |  |
| &nbsp;&nbsp;&nbsp;–%, 05/18/2032<sup>(b)</sup> | 36544 | 33944 |
| &nbsp;&nbsp;&nbsp;Series 2002-36, Class FS, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 06/25/2032<sup>(a)</sup> | 22977 | 22983 |
| &nbsp;&nbsp;&nbsp;Series 2002-44, Class FJ, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.00%, 04/25/2032<sup>(a)</sup> | 67083 | 67947 |
| &nbsp;&nbsp;&nbsp;Series 2002-47, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 11/25/2031<sup>(a)</sup> | 13276 | 13267 |
| &nbsp;&nbsp;&nbsp;Series 2002-48, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.00%, 07/25/2032<sup>(a)</sup> | 41290 | 41822 |
| &nbsp;&nbsp;&nbsp;Series 2002-49, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.00%, 11/18/2031<sup>(a)</sup> | 37455 | 37912 |
| &nbsp;&nbsp;&nbsp;Series 2002-60, Class FV, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.00%, 04/25/2032<sup>(a)</sup> | 96935 | 98375 |
| &nbsp;&nbsp;&nbsp;Series 2002-63, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 10/25/2032 | 6461 | 6734 |
| &nbsp;&nbsp;&nbsp;Series 2002-64, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 10/25/2032 | 53536 | 54903 |
| &nbsp;&nbsp;&nbsp;Series 2002-68, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.00%, 10/25/2032<sup>(a)</sup> | 18191 | 18464 |
| &nbsp;&nbsp;&nbsp;Series 2002-7, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.75%, 01/25/2032<sup>(a)</sup> | 53960 | 54332 |
| &nbsp;&nbsp;&nbsp;Series 2002-71, Class AQ, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 11/25/2032 | 35936 | 35230 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2002-8, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.75%, 03/18/2032<sup>(a)</sup> | $16355 | $16467 |
| &nbsp;&nbsp;&nbsp;Series 2002-80, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 09/25/2032 | 99328 | 97281 |
| &nbsp;&nbsp;&nbsp;Series 2002-9, Class FW, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.55%, 03/25/2032<sup>(a)</sup> | 13151 | 12984 |
| &nbsp;&nbsp;&nbsp;Series 2002-91, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.55%, 01/25/2033<sup>(a)</sup> | 19545 | 19555 |
| &nbsp;&nbsp;&nbsp;Series 2003-107, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 11/25/2033<sup>(a)</sup> | 12360 | 12342 |
| &nbsp;&nbsp;&nbsp;Series 2003-110, Class CK, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 11/25/2033 | 23482 | 22420 |
| &nbsp;&nbsp;&nbsp;Series 2003-116, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 11/25/2033<sup>(a)</sup> | 26399 | 26293 |
| &nbsp;&nbsp;&nbsp;Series 2003-119, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 12/25/2033 | 61286 | 58901 |
| &nbsp;&nbsp;&nbsp;Series 2003-119, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 12/25/2033<sup>(a)</sup> | 40174 | 40112 |
| &nbsp;&nbsp;&nbsp;Series 2003-128, Class MF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 01/25/2034<sup>(a)</sup> | 51142 | 51252 |
| &nbsp;&nbsp;&nbsp;Series 2003-131, Class CH, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 01/25/2034 | 74632 | 76152 |
| &nbsp;&nbsp;&nbsp;Series 2003-134, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 12/25/2032<sup>(a)</sup> | 29344 | 29408 |
| &nbsp;&nbsp;&nbsp;Series 2003-14, Class AP, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 03/25/2033 | 67116 | 66025 |
| &nbsp;&nbsp;&nbsp;Series 2003-14, Class AN, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 03/25/2033 | 44744 | 43927 |
| &nbsp;&nbsp;&nbsp;Series 2003-19, Class MB, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 05/25/2031 | 34820 | 34156 |
| &nbsp;&nbsp;&nbsp;Series 2003-21, Class OG, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 01/25/2033 | 25945 | 25463 |
| &nbsp;&nbsp;&nbsp;Series 2003-22, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 04/25/2033 | 24294 | 25232 |
| &nbsp;&nbsp;&nbsp;Series 2003-27, Class EK, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 04/25/2033 | 27767 | 28336 |
| &nbsp;&nbsp;&nbsp;Series 2003-30, Class JQ, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 04/25/2033 | 27832 | 28367 |
| &nbsp;&nbsp;&nbsp;Series 2003-32, Class UJ, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 05/25/2033 | 42547 | 43292 |
| &nbsp;&nbsp;&nbsp;Series 2003-41, Class OB, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 05/25/2033 | 100571 | 97281 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2003-41, Class OZ, |  |  |
| &nbsp;&nbsp;&nbsp;3.750%, 05/25/2033 | $130927 | $121464 |
| &nbsp;&nbsp;&nbsp;Series 2003-42, Class JH, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 05/25/2033 | 69202 | 69283 |
| &nbsp;&nbsp;&nbsp;Series 2003-46, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 06/25/2033 | 32605 | 33449 |
| &nbsp;&nbsp;&nbsp;Series 2003-47, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;5.750%, 06/25/2033 | 43354 | 45142 |
| &nbsp;&nbsp;&nbsp;Series 2003-64, Class JK, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 07/25/2033 | 49966 | 47660 |
| &nbsp;&nbsp;&nbsp;Series 2003-64, Class ZC, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 07/25/2033 | 29438 | 29693 |
| &nbsp;&nbsp;&nbsp;Series 2003-71, Class HD, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 08/25/2033 | 138838 | 140448 |
| &nbsp;&nbsp;&nbsp;Series 2003-76, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 08/25/2033 | 139363 | 140583 |
| &nbsp;&nbsp;&nbsp;Series 2003-94, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 10/25/2033 | 8627 | 8586 |
| &nbsp;&nbsp;&nbsp;Series 2004-101, Class TB, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 01/25/2035 | 118508 | 121302 |
| &nbsp;&nbsp;&nbsp;Series 2004-14, Class QB, |  |  |
| &nbsp;&nbsp;&nbsp;5.250%, 03/25/2034 | 166737 | 169993 |
| &nbsp;&nbsp;&nbsp;Series 2004-17, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 04/25/2034 | 118388 | 124642 |
| &nbsp;&nbsp;&nbsp;Series 2004-17, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 04/25/2034 | 20066 | 20257 |
| &nbsp;&nbsp;&nbsp;Series 2004-26, Class CG, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 08/25/2033 | 2248 | 2225 |
| &nbsp;&nbsp;&nbsp;Series 2004-36, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 05/25/2034 | 95795 | 96769 |
| &nbsp;&nbsp;&nbsp;Series 2004-36, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 05/25/2034<sup>(a)</sup> | 27387 | 27276 |
| &nbsp;&nbsp;&nbsp;Series 2004-53, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.45%, 07/25/2034<sup>(a)</sup> | 188456 | 187758 |
| &nbsp;&nbsp;&nbsp;Series 2004-54, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 07/25/2034<sup>(a)</sup> | 130481 | 130128 |
| &nbsp;&nbsp;&nbsp;Series 2004-60, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 04/25/2034 | 108000 | 107976 |
| &nbsp;&nbsp;&nbsp;Series 2004-68, Class LC, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 09/25/2029 | 38324 | 38469 |
| &nbsp;&nbsp;&nbsp;Series 2004-77, Class AY, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 10/25/2034 | 17278 | 17352 |
| &nbsp;&nbsp;&nbsp;Series 2004-82, Class HK, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 11/25/2034 | 49578 | 51030 |
| &nbsp;&nbsp;&nbsp;Series 2004-92, Class TB, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 12/25/2034 | 84324 | 87118 |
| &nbsp;&nbsp;&nbsp;Series 2005-110, Class MP, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 12/25/2035 | 19671 | 20111 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2005-120, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.52%, 01/25/2036<sup>(a)</sup> | $23055 | $22948 |
| &nbsp;&nbsp;&nbsp;Series 2005-122, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 01/25/2036 | 261254 | 270526 |
| &nbsp;&nbsp;&nbsp;Series 2005-17, Class EX, |  |  |
| &nbsp;&nbsp;&nbsp;5.250%, 03/25/2035 | 25000 | 25120 |
| &nbsp;&nbsp;&nbsp;Series 2005-17, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 03/25/2035 | 156528 | 149111 |
| &nbsp;&nbsp;&nbsp;Series 2005-29, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 04/25/2035 | 65280 | 68249 |
| &nbsp;&nbsp;&nbsp;Series 2005-3, Class CH, |  |  |
| &nbsp;&nbsp;&nbsp;5.250%, 02/25/2035 | 75733 | 77605 |
| &nbsp;&nbsp;&nbsp;Series 2005-35, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 04/25/2035 | 135124 | 137092 |
| &nbsp;&nbsp;&nbsp;Series 2005-48, Class TD, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 06/25/2035 | 128991 | 133479 |
| &nbsp;&nbsp;&nbsp;Series 2005-59, Class DF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.20%, 05/25/2035<sup>(a)</sup> | 35 | 35 |
| &nbsp;&nbsp;&nbsp;Series 2005-62, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;5.750%, 07/25/2035 | 431146 | 447392 |
| &nbsp;&nbsp;&nbsp;Series 2005-62, Class JC, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 05/25/2035 | 120 | 119 |
| &nbsp;&nbsp;&nbsp;Series 2005-62, Class ZD, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 06/25/2035 | 120225 | 119246 |
| &nbsp;&nbsp;&nbsp;Series 2005-62, Class JE, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 06/25/2035 | 1119 | 1116 |
| &nbsp;&nbsp;&nbsp;Series 2005-64, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 07/25/2035 | 78383 | 79840 |
| &nbsp;&nbsp;&nbsp;Series 2005-68, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 08/25/2035 | 317529 | 322437 |
| &nbsp;&nbsp;&nbsp;Series 2005-68, Class BE, |  |  |
| &nbsp;&nbsp;&nbsp;5.250%, 08/25/2035 | 87096 | 87288 |
| &nbsp;&nbsp;&nbsp;Series 2005-68, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 08/25/2035 | 30542 | 31178 |
| &nbsp;&nbsp;&nbsp;Series 2005-69, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 08/25/2035 | 28131 | 27369 |
| &nbsp;&nbsp;&nbsp;Series 2005-7, Class MZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.750%, 02/25/2035 | 42616 | 42043 |
| &nbsp;&nbsp;&nbsp;Series 2005-70, Class NA, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 08/25/2035 | 12574 | 12898 |
| &nbsp;&nbsp;&nbsp;Series 2005-70, Class KP, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 06/25/2035 | 54805 | 55612 |
| &nbsp;&nbsp;&nbsp;Series 2005-72, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.25%, 08/25/2035<sup>(a)</sup> | 14378 | 14264 |
| &nbsp;&nbsp;&nbsp;Series 2005-79, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 09/25/2035 | 76876 | 78121 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2005-83, Class QP, |  |  |
| &nbsp;&nbsp;&nbsp;17.394% - 1M US L, 11/25/2034<sup>(a)</sup> | $102166 | $99101 |
| &nbsp;&nbsp;&nbsp;Series 2005-84, Class XM, |  |  |
| &nbsp;&nbsp;&nbsp;5.750%, 10/25/2035 | 70310 | 71602 |
| &nbsp;&nbsp;&nbsp;Series 2005-89, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.30%, 10/25/2035<sup>(a)</sup> | 21490 | 21276 |
| &nbsp;&nbsp;&nbsp;Series 2005-99, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.30%, 11/25/2035<sup>(a)</sup> | 25696 | 25609 |
| &nbsp;&nbsp;&nbsp;Series 2005-99, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 12/25/2035 | 541000 | 565023 |
| &nbsp;&nbsp;&nbsp;Series 2005-99, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 12/25/2035 | 115431 | 123335 |
| &nbsp;&nbsp;&nbsp;Series 2006-112, Class QC, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 11/25/2036 | 20526 | 21189 |
| &nbsp;&nbsp;&nbsp;Series 2006-114, Class HE, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 12/25/2036 | 91994 | 94760 |
| &nbsp;&nbsp;&nbsp;Series 2006-115, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.36%, 12/25/2036<sup>(a)</sup> | 16098 | 15907 |
| &nbsp;&nbsp;&nbsp;Series 2006-16, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 03/25/2036 | 241463 | 246149 |
| &nbsp;&nbsp;&nbsp;Series 2006-39, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 05/25/2036<sup>(a)</sup> | 15605 | 15473 |
| &nbsp;&nbsp;&nbsp;Series 2006-46, Class UD, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 06/25/2036 | 33000 | 33934 |
| &nbsp;&nbsp;&nbsp;Series 2006-48, Class TF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 06/25/2036<sup>(a)</sup> | 38522 | 38140 |
| &nbsp;&nbsp;&nbsp;Series 2006-48, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 06/25/2036 | 160047 | 176464 |
| &nbsp;&nbsp;&nbsp;Series 2006-56, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.30%, 07/25/2036<sup>(a)</sup> | 12057 | 11967 |
| &nbsp;&nbsp;&nbsp;Series 2006-63, Class QH, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 07/25/2036 | 30395 | 31414 |
| &nbsp;&nbsp;&nbsp;Series 2006-70, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 08/25/2036<sup>(a)</sup> | 88818 | 87976 |
| &nbsp;&nbsp;&nbsp;Series 2006-71, Class ZH, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 07/25/2036 | 41231 | 43346 |
| &nbsp;&nbsp;&nbsp;Series 2006-95, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.45%, 10/25/2036<sup>(a)</sup> | 83151 | 82475 |
| &nbsp;&nbsp;&nbsp;Series 2007-100, Class YF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.55%, 10/25/2037<sup>(a)</sup> | 15715 | 15643 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2007-109, Class GF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.68%, 12/25/2037<sup>(a)</sup> | $47146 | $47030 |
| &nbsp;&nbsp;&nbsp;Series 2007-111, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 12/25/2037<sup>(a)</sup> | 33235 | 33213 |
| &nbsp;&nbsp;&nbsp;Series 2007-117, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.70%, 01/25/2038<sup>(a)</sup> | 49755 | 49870 |
| &nbsp;&nbsp;&nbsp;Series 2007-12, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 03/25/2037 | 433810 | 451635 |
| &nbsp;&nbsp;&nbsp;Series 2007-12, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 03/25/2037 | 157279 | 156528 |
| &nbsp;&nbsp;&nbsp;Series 2007-14, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 03/25/2037 | 166811 | 171843 |
| &nbsp;&nbsp;&nbsp;Series 2007-18, Class MZ, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 03/25/2037 | 151923 | 154908 |
| &nbsp;&nbsp;&nbsp;Series 2007-22, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.42%, 03/25/2037<sup>(a)</sup> | 72260 | 71018 |
| &nbsp;&nbsp;&nbsp;Series 2007-26, Class ZB, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 04/25/2037 | 274472 | 280900 |
| &nbsp;&nbsp;&nbsp;Series 2007-30, Class MB, |  |  |
| &nbsp;&nbsp;&nbsp;4.250%, 04/25/2037 | 65788 | 65392 |
| &nbsp;&nbsp;&nbsp;Series 2007-33, Class HE, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 04/25/2037 | 40394 | 41554 |
| &nbsp;&nbsp;&nbsp;Series 2007-34, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.39%, 04/25/2037<sup>(a)</sup> | 24672 | 24273 |
| &nbsp;&nbsp;&nbsp;Series 2007-41, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 05/25/2037<sup>(a)</sup> | 11349 | 11210 |
| &nbsp;&nbsp;&nbsp;Series 2007-5, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 02/25/2037 | 75938 | 75344 |
| &nbsp;&nbsp;&nbsp;Series 2007-51, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 06/25/2037 | 32000 | 31754 |
| &nbsp;&nbsp;&nbsp;Series 2007-51, Class CP, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 06/25/2037 | 25982 | 26627 |
| &nbsp;&nbsp;&nbsp;Series 2007-55, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 06/25/2047 | 314899 | 332084 |
| &nbsp;&nbsp;&nbsp;Series 2007-57, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.23%, 06/25/2037<sup>(a)</sup> | 23706 | 23406 |
| &nbsp;&nbsp;&nbsp;Series 2007-6, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.42%, 02/25/2037<sup>(a)</sup> | 40230 | 39576 |
| &nbsp;&nbsp;&nbsp;Series 2007-63, Class VZ, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 07/25/2037 | 191421 | 197413 |
| &nbsp;&nbsp;&nbsp;Series 2007-63, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.35%, 07/25/2037<sup>(a)</sup> | 23622 | 23297 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2007-65, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 07/25/2037 | $89448 | $91391 |
| &nbsp;&nbsp;&nbsp;Series 2007-65, Class KF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.38%, 07/25/2037<sup>(a)</sup> | 46971 | 46389 |
| &nbsp;&nbsp;&nbsp;Series 2007-70, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.35%, 07/25/2037<sup>(a)</sup> | 27063 | 26635 |
| &nbsp;&nbsp;&nbsp;Series 2007-77, Class JE, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 08/25/2037 | 333986 | 337852 |
| &nbsp;&nbsp;&nbsp;Series 2007-85, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.54%, 09/25/2037<sup>(a)</sup> | 110419 | 110086 |
| &nbsp;&nbsp;&nbsp;Series 2007-85, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.54%, 09/25/2037<sup>(a)</sup> | 31144 | 30991 |
| &nbsp;&nbsp;&nbsp;Series 2007-86, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.45%, 09/25/2037<sup>(a)</sup> | 30959 | 30752 |
| &nbsp;&nbsp;&nbsp;Series 2007-9, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.35%, 03/25/2037<sup>(a)</sup> | 30213 | 29796 |
| &nbsp;&nbsp;&nbsp;Series 2008-18, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.90%, 03/25/2038<sup>(a)</sup> | 210921 | 212071 |
| &nbsp;&nbsp;&nbsp;Series 2008-24, Class WD, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 02/25/2038 | 153997 | 158088 |
| &nbsp;&nbsp;&nbsp;Series 2008-25, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.95%, 04/25/2038<sup>(a)</sup> | 43225 | 43785 |
| &nbsp;&nbsp;&nbsp;Series 2008-27, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 04/25/2038 | 691255 | 719123 |
| &nbsp;&nbsp;&nbsp;Series 2008-46, Class LA, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 06/25/2038 | 11605 | 11756 |
| &nbsp;&nbsp;&nbsp;Series 2008-66, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.95%, 08/25/2038<sup>(a)</sup> | 23935 | 24152 |
| &nbsp;&nbsp;&nbsp;Series 2008-86, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.10%, 12/25/2038<sup>(a)</sup> | 178032 | 181420 |
| &nbsp;&nbsp;&nbsp;Series 2009-10, Class AB, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 03/25/2024 | 5388 | 5361 |
| &nbsp;&nbsp;&nbsp;Series 2009-103, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.70%, 11/25/2039<sup>(a)</sup> | 40175 | 40171 |
| &nbsp;&nbsp;&nbsp;Series 2009-104, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.80%, 12/25/2039<sup>(a)</sup> | 41085 | 41367 |
| &nbsp;&nbsp;&nbsp;Series 2009-11, Class MP, |  |  |
| &nbsp;&nbsp;&nbsp;7.000%, 03/25/2049 | 103837 | 109794 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2009-110, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.75%, 01/25/2040<sup>(a)</sup> | $100539 | $100979 |
| &nbsp;&nbsp;&nbsp;Series 2009-111, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 03/25/2038 | 133000 | 131536 |
| &nbsp;&nbsp;&nbsp;Series 2009-12, Class LA, |  |  |
| &nbsp;&nbsp;&nbsp;15.773%, 03/25/2039<sup>(a)</sup> | 297573 | 382868 |
| &nbsp;&nbsp;&nbsp;Series 2009-12, Class LD, |  |  |
| &nbsp;&nbsp;&nbsp;18.193%, 03/25/2039<sup>(a)</sup> | 397458 | 594863 |
| &nbsp;&nbsp;&nbsp;Series 2009-36, Class MX, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 06/25/2039 | 58000 | 60818 |
| &nbsp;&nbsp;&nbsp;Series 2009-39, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 06/25/2039 | 2072419 | 2175576 |
| &nbsp;&nbsp;&nbsp;Series 2009-42, Class TZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 03/25/2039 | 250337 | 245208 |
| &nbsp;&nbsp;&nbsp;Series 2009-47, Class BN, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 07/25/2039 | 37263 | 37016 |
| &nbsp;&nbsp;&nbsp;Series 2009-62, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;5.580%, 08/25/2039<sup>(a)</sup> | 139025 | 141085 |
| &nbsp;&nbsp;&nbsp;Series 2009-68, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.25%, 09/25/2039<sup>(a)</sup> | 50220 | 51280 |
| &nbsp;&nbsp;&nbsp;Series 2009-70, Class CO, |  |  |
| &nbsp;&nbsp;&nbsp;–%, 01/25/2037<sup>(b)</sup> | 75618 | 64320 |
| &nbsp;&nbsp;&nbsp;Series 2009-70, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 1.20%, 09/25/2039<sup>(a)</sup> | 27931 | 28062 |
| &nbsp;&nbsp;&nbsp;Series 2009-86, Class OT, |  |  |
| &nbsp;&nbsp;&nbsp;–%, 10/25/2037<sup>(b)</sup> | 33487 | 27649 |
| &nbsp;&nbsp;&nbsp;Series 2009-87, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.75%, 11/25/2039<sup>(a)</sup> | 73391 | 73682 |
| &nbsp;&nbsp;&nbsp;Series 2009-90, Class UZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 11/25/2039 | 634646 | 624842 |
| &nbsp;&nbsp;&nbsp;Series 2010-1, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;6.220%, 02/25/2040<sup>(a)</sup> | 18789 | 19481 |
| &nbsp;&nbsp;&nbsp;Series 2010-1, Class EL, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 02/25/2040 | 282690 | 266270 |
| &nbsp;&nbsp;&nbsp;Series 2010-102, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 09/25/2050 | 60954 | 59082 |
| &nbsp;&nbsp;&nbsp;Series 2010-103, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 09/25/2040 | 213092 | 212181 |
| &nbsp;&nbsp;&nbsp;Series 2010-103, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 09/25/2040 | 34589 | 34817 |
| &nbsp;&nbsp;&nbsp;Series 2010-111, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.52%, 10/25/2040<sup>(a)</sup> | 50537 | 49945 |
| &nbsp;&nbsp;&nbsp;Series 2010-118, Class GF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.55%, 10/25/2039<sup>(a)</sup> | 20935 | 20926 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2010-118, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.750%, 10/25/2040 | $35569 | $35798 |
| &nbsp;&nbsp;&nbsp;Series 2010-122, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;7.000%, 07/25/2040 | 16857 | 17370 |
| &nbsp;&nbsp;&nbsp;Series 2010-123, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.43%, 11/25/2040<sup>(a)</sup> | 20492 | 20267 |
| &nbsp;&nbsp;&nbsp;Series 2010-123, Class KU, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 11/25/2040 | 163486 | 170884 |
| &nbsp;&nbsp;&nbsp;Series 2010-129, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 11/25/2040 | 33460 | 32533 |
| &nbsp;&nbsp;&nbsp;Series 2010-130, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 11/25/2040 | 1265635 | 1193820 |
| &nbsp;&nbsp;&nbsp;Series 2010-137, Class XP, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 10/25/2040 | 3408 | 3390 |
| &nbsp;&nbsp;&nbsp;Series 2010-14, Class FJ, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 03/25/2040<sup>(a)</sup> | 137558 | 137652 |
| &nbsp;&nbsp;&nbsp;Series 2010-141, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 12/25/2040 | 673381 | 679173 |
| &nbsp;&nbsp;&nbsp;Series 2010-141, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 12/25/2040 | 346705 | 336773 |
| &nbsp;&nbsp;&nbsp;Series 2010-141, Class MN, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 12/25/2040 | 90000 | 87539 |
| &nbsp;&nbsp;&nbsp;Series 2010-141, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.47%, 12/25/2040<sup>(a)</sup> | 48297 | 47623 |
| &nbsp;&nbsp;&nbsp;Series 2010-142, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.47%, 12/25/2040<sup>(a)</sup> | 16849 | 16599 |
| &nbsp;&nbsp;&nbsp;Series 2010-154, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 11/25/2040 | 325375 | 311743 |
| &nbsp;&nbsp;&nbsp;Series 2010-16, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 03/25/2040 | 71000 | 74241 |
| &nbsp;&nbsp;&nbsp;Series 2010-19, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 03/25/2040 | 322844 | 329843 |
| &nbsp;&nbsp;&nbsp;Series 2010-33, Class KN, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 03/25/2040 | 43782 | 42875 |
| &nbsp;&nbsp;&nbsp;Series 2010-37, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 04/25/2040 | 37116 | 37853 |
| &nbsp;&nbsp;&nbsp;Series 2010-38, Class KD, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 09/25/2039 | 1273 | 1263 |
| &nbsp;&nbsp;&nbsp;Series 2010-39, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.52%, 06/25/2037<sup>(a)</sup> | 38482 | 38378 |
| &nbsp;&nbsp;&nbsp;Series 2010-45, Class WD, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 05/25/2040 | 180000 | 179729 |
| &nbsp;&nbsp;&nbsp;Series 2010-54, Class LX, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 06/25/2040 | 272000 | 281450 |
| &nbsp;&nbsp;&nbsp;Series 2010-57, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 02/25/2040 | 37981 | 37347 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2010-58, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.73%, 06/25/2040<sup>(a)</sup> | $50444 | $50323 |
| &nbsp;&nbsp;&nbsp;Series 2010-64, Class DM, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 06/25/2040 | 42203 | 42675 |
| &nbsp;&nbsp;&nbsp;Series 2010-67, Class BD, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 06/25/2040 | 549959 | 546273 |
| &nbsp;&nbsp;&nbsp;Series 2010-68, Class WB, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 07/25/2040 | 85000 | 81034 |
| &nbsp;&nbsp;&nbsp;Series 2010-82, Class WZ, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 08/25/2040 | 373164 | 378416 |
| &nbsp;&nbsp;&nbsp;Series 2010-9, Class ME, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 02/25/2040 | 1080187 | 1107755 |
| &nbsp;&nbsp;&nbsp;Series 2011-114, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 11/25/2041 | 169810 | 164774 |
| &nbsp;&nbsp;&nbsp;Series 2011-121, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 12/25/2041 | 115984 | 117370 |
| &nbsp;&nbsp;&nbsp;Series 2011-128, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 12/25/2041 | 800000 | 783421 |
| &nbsp;&nbsp;&nbsp;Series 2011-130, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 12/25/2041 | 39547 | 38204 |
| &nbsp;&nbsp;&nbsp;Series 2011-132, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 12/25/2041 | 24094 | 24490 |
| &nbsp;&nbsp;&nbsp;Series 2011-145, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 12/25/2041 | 8988 | 8933 |
| &nbsp;&nbsp;&nbsp;Series 2011-15, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.51%, 03/25/2041<sup>(a)</sup> | 23834 | 23677 |
| &nbsp;&nbsp;&nbsp;Series 2011-17, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 03/25/2041 | 8453 | 8323 |
| &nbsp;&nbsp;&nbsp;Series 2011-26, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 04/25/2041 | 106958 | 107043 |
| &nbsp;&nbsp;&nbsp;Series 2011-27, Class ZD, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 09/25/2040 | 163948 | 144814 |
| &nbsp;&nbsp;&nbsp;Series 2011-3, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.68%, 02/25/2041<sup>(a)</sup> | 159733 | 158798 |
| &nbsp;&nbsp;&nbsp;Series 2011-30, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 04/25/2041 | 585524 | 584988 |
| &nbsp;&nbsp;&nbsp;Series 2011-43, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 05/25/2031 | 21575 | 21032 |
| &nbsp;&nbsp;&nbsp;Series 2011-45, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 05/25/2031 | 19977 | 19385 |
| &nbsp;&nbsp;&nbsp;Series 2011-47, Class GF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.57%, 06/25/2041<sup>(a)</sup> | 117615 | 116898 |
| &nbsp;&nbsp;&nbsp;Series 2011-5, Class PO, |  |  |
| &nbsp;&nbsp;&nbsp;–%, 09/25/2040<sup>(b)</sup> | 9508 | 6923 |
| &nbsp;&nbsp;&nbsp;Series 2011-55, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 06/25/2041 | 214078 | 205896 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2011-74, Class UB, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 07/25/2040 | $141571 | $134537 |
| &nbsp;&nbsp;&nbsp;Series 2011-75, Class HP, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 07/25/2040 | 4089 | 4055 |
| &nbsp;&nbsp;&nbsp;Series 2011-86, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 02/25/2040<sup>(a)</sup> | 28821 | 28692 |
| &nbsp;&nbsp;&nbsp;Series 2011-86, Class NF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.55%, 09/25/2041<sup>(a)</sup> | 41847 | 41410 |
| &nbsp;&nbsp;&nbsp;Series 2011-93, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 04/25/2039 | 24862 | 24207 |
| &nbsp;&nbsp;&nbsp;Series 2011-93, Class ST, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 09/25/2041 | 21082 | 20823 |
| &nbsp;&nbsp;&nbsp;Series 2012-100, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 09/25/2042 | 144705 | 134256 |
| &nbsp;&nbsp;&nbsp;Series 2012-103, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 09/25/2042 | 109000 | 95611 |
| &nbsp;&nbsp;&nbsp;Series 2012-106, Class QN, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 10/25/2042 | 59213 | 55512 |
| &nbsp;&nbsp;&nbsp;Series 2012-108, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 10/25/2042 | 374668 | 343575 |
| &nbsp;&nbsp;&nbsp;Series 2012-110, Class JB, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 10/25/2042 | 204000 | 160054 |
| &nbsp;&nbsp;&nbsp;Series 2012-111, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;7.000%, 10/25/2042 | 86997 | 93221 |
| &nbsp;&nbsp;&nbsp;Series 2012-112, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 10/25/2042 | 126952 | 117768 |
| &nbsp;&nbsp;&nbsp;Series 2012-115, Class DY, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 10/25/2042 | 225000 | 184731 |
| &nbsp;&nbsp;&nbsp;Series 2012-120, Class AH, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 02/25/2032 | 32857 | 31662 |
| &nbsp;&nbsp;&nbsp;Series 2012-125, Class GY, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 11/25/2042 | 269000 | 209584 |
| &nbsp;&nbsp;&nbsp;Series 2012-128, Class NP, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 11/25/2042 | 8144 | 6364 |
| &nbsp;&nbsp;&nbsp;Series 2012-129, Class HT, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 12/25/2032 | 34208 | 30608 |
| &nbsp;&nbsp;&nbsp;Series 2012-13, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 02/25/2042 | 439174 | 421870 |
| &nbsp;&nbsp;&nbsp;Series 2012-131, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.35%, 09/25/2042<sup>(a)</sup> | 12842 | 12589 |
| &nbsp;&nbsp;&nbsp;Series 2012-137, Class CF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.30%, 08/25/2041<sup>(a)</sup> | 17676 | 17575 |
| &nbsp;&nbsp;&nbsp;Series 2012-139, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 12/25/2042 | 235000 | 171555 |
| &nbsp;&nbsp;&nbsp;Series 2012-139, Class GB, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 12/25/2042 | 210538 | 150269 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2012-14, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.45%, 12/25/2040<sup>(a)</sup> | $4756 | $4748 |
| &nbsp;&nbsp;&nbsp;Series 2012-149, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;1.750%, 01/25/2043 | 31510 | 29010 |
| &nbsp;&nbsp;&nbsp;Series 2012-149, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 01/25/2041 | 57795 | 54965 |
| &nbsp;&nbsp;&nbsp;Series 2012-149, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 01/25/2043 | 144000 | 137286 |
| &nbsp;&nbsp;&nbsp;Series 2012-151, Class NX, |  |  |
| &nbsp;&nbsp;&nbsp;1.500%, 01/25/2043 | 389323 | 336928 |
| &nbsp;&nbsp;&nbsp;Series 2012-151, Class WC, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 01/25/2043 | 138000 | 104469 |
| &nbsp;&nbsp;&nbsp;Series 2012-152, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 01/25/2043 | 55000 | 53024 |
| &nbsp;&nbsp;&nbsp;Series 2012-17, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 12/25/2041 | 199730 | 190086 |
| &nbsp;&nbsp;&nbsp;Series 2012-20, Class TD, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 02/25/2042 | 46665 | 46315 |
| &nbsp;&nbsp;&nbsp;Series 2012-26, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 03/25/2042 | 131264 | 124253 |
| &nbsp;&nbsp;&nbsp;Series 2012-27, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 03/25/2042 | 150407 | 114552 |
| &nbsp;&nbsp;&nbsp;Series 2012-33, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.52%, 04/25/2042<sup>(a)</sup> | 31132 | 30903 |
| &nbsp;&nbsp;&nbsp;Series 2012-37, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 12/25/2035<sup>(a)</sup> | 54868 | 54590 |
| &nbsp;&nbsp;&nbsp;Series 2012-46, Class YB, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 05/25/2042 | 62106 | 52707 |
| &nbsp;&nbsp;&nbsp;Series 2012-46, Class CD, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 04/25/2041 | 93246 | 90310 |
| &nbsp;&nbsp;&nbsp;Series 2012-47, Class HF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 05/25/2027<sup>(a)</sup> | 78604 | 78549 |
| &nbsp;&nbsp;&nbsp;Series 2012-49, Class TG, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 07/25/2041 | 59018 | 56727 |
| &nbsp;&nbsp;&nbsp;Series 2012-50, Class HC, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 03/25/2042 | 31653 | 29138 |
| &nbsp;&nbsp;&nbsp;Series 2012-51, Class ZX, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 05/25/2042 | 1963386 | 1567659 |
| &nbsp;&nbsp;&nbsp;Series 2012-51, Class HJ, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 05/25/2042 | 364384 | 324520 |
| &nbsp;&nbsp;&nbsp;Series 2012-53, Class AP, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 04/25/2041 | 66079 | 63840 |
| &nbsp;&nbsp;&nbsp;Series 2012-56, Class WB, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 05/25/2042 | 68727 | 64406 |
| &nbsp;&nbsp;&nbsp;Series 2012-56, Class UB, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 06/25/2042 | 416000 | 384325 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2012-64, Class NA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 08/25/2041 | $42596 | $41656 |
| &nbsp;&nbsp;&nbsp;Series 2012-69, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 01/25/2042 | 136939 | 131964 |
| &nbsp;&nbsp;&nbsp;Series 2012-70, Class WC, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 07/25/2042 | 172000 | 141849 |
| &nbsp;&nbsp;&nbsp;Series 2012-80, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 08/25/2042 | 413654 | 384322 |
| &nbsp;&nbsp;&nbsp;Series 2012-82, Class E, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 04/25/2042 | 26952 | 25117 |
| &nbsp;&nbsp;&nbsp;Series 2012-83, Class LD, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 04/25/2041 | 14880 | 14716 |
| &nbsp;&nbsp;&nbsp;Series 2012-83, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 08/25/2042 | 50000 | 44375 |
| &nbsp;&nbsp;&nbsp;Series 2012-90, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 01/25/2042 | 84369 | 79380 |
| &nbsp;&nbsp;&nbsp;Series 2012-90, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 01/25/2042 | 84369 | 80216 |
| &nbsp;&nbsp;&nbsp;Series 2012-93, Class TL, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 09/25/2042 | 279000 | 241579 |
| &nbsp;&nbsp;&nbsp;Series 2012-98, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 09/25/2042 | 652869 | 749131 |
| &nbsp;&nbsp;&nbsp;Series 2013-100, Class DH, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 09/25/2031 | 19766 | 19495 |
| &nbsp;&nbsp;&nbsp;Series 2013-104, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 10/25/2043 | 50000 | 51201 |
| &nbsp;&nbsp;&nbsp;Series 2013-108, Class GU, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 10/25/2033 | 46351 | 44334 |
| &nbsp;&nbsp;&nbsp;Series 2013-114, Class LM, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 03/25/2042 | 222113 | 214105 |
| &nbsp;&nbsp;&nbsp;Series 2013-127, Class NA, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 09/25/2039 | 7491 | 7447 |
| &nbsp;&nbsp;&nbsp;Series 2013-129, Class WL, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 12/25/2027 | 752 | 749 |
| &nbsp;&nbsp;&nbsp;Series 2013-130, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.45%, 01/25/2044<sup>(a)</sup> | 37515 | 36849 |
| &nbsp;&nbsp;&nbsp;Series 2013-136, Class QB, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 03/25/2042 | 178973 | 170132 |
| &nbsp;&nbsp;&nbsp;Series 2013-17, Class YM, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 03/25/2033 | 15006 | 14818 |
| &nbsp;&nbsp;&nbsp;Series 2013-2, Class QF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 02/25/2043<sup>(a)</sup> | 16486 | 16156 |
| &nbsp;&nbsp;&nbsp;Series 2013-20, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 01/25/2043 | 190226 | 174189 |
| &nbsp;&nbsp;&nbsp;Series 2013-35, Class CV, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 02/25/2043 | 200000 | 183226 |
| &nbsp;&nbsp;&nbsp;Series 2013-4, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 02/25/2043 | 120000 | 93207 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2013-40, Class KD, |  |  |
| &nbsp;&nbsp;&nbsp;1.750%, 04/25/2042 | $718 | $713 |
| &nbsp;&nbsp;&nbsp;Series 2013-52, Class GM, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 06/25/2043 | 89000 | 93300 |
| &nbsp;&nbsp;&nbsp;Series 2013-53, Class CV, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 05/25/2030 | 107227 | 104882 |
| &nbsp;&nbsp;&nbsp;Series 2013-68, Class LE, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 04/25/2043 | 84699 | 77329 |
| &nbsp;&nbsp;&nbsp;Series 2013-68, Class P, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 10/25/2042 | 157900 | 154036 |
| &nbsp;&nbsp;&nbsp;Series 2013-72, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.25%, 11/25/2042<sup>(a)</sup> | 8769 | 8722 |
| &nbsp;&nbsp;&nbsp;Series 2013-72, Class YA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 06/25/2033 | 2612 | 2402 |
| &nbsp;&nbsp;&nbsp;Series 2013-9, Class BC, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 07/25/2042 | 245437 | 264277 |
| &nbsp;&nbsp;&nbsp;Series 2013-9, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;5.500%, 04/25/2042 | 12311 | 12705 |
| &nbsp;&nbsp;&nbsp;Series 2013-91, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 09/25/2043 | 100000 | 89211 |
| &nbsp;&nbsp;&nbsp;Series 2014-20, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 08/25/2036 | 72832 | 71041 |
| &nbsp;&nbsp;&nbsp;Series 2014-21, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 09/25/2041 | 81367 | 76645 |
| &nbsp;&nbsp;&nbsp;Series 2014-23, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 05/25/2044 | 530248 | 497138 |
| &nbsp;&nbsp;&nbsp;Series 2014-26, Class YW, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 04/25/2044 | 50538 | 48337 |
| &nbsp;&nbsp;&nbsp;Series 2014-3, Class BM, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 06/25/2043 | 50000 | 45567 |
| &nbsp;&nbsp;&nbsp;Series 2014-43, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 07/25/2043 | 249037 | 213674 |
| &nbsp;&nbsp;&nbsp;Series 2014-49, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 08/25/2044 | 96872 | 91930 |
| &nbsp;&nbsp;&nbsp;Series 2014-52, Class LM, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 09/25/2044 | 1089776 | 974350 |
| &nbsp;&nbsp;&nbsp;Series 2014-63, Class LN, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 10/25/2044 | 125000 | 95644 |
| &nbsp;&nbsp;&nbsp;Series 2014-73, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.35%, 11/25/2044<sup>(a)</sup> | 14626 | 14278 |
| &nbsp;&nbsp;&nbsp;Series 2014-80, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 12/25/2044 | 2978784 | 2711701 |
| &nbsp;&nbsp;&nbsp;Series 2014-81, Class GC, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 03/25/2038 | 33823 | 32731 |
| &nbsp;&nbsp;&nbsp;Series 2014-88, Class ER, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 02/25/2036 | 30265 | 28845 |
| &nbsp;&nbsp;&nbsp;Series 2015-51, Class CD, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 07/25/2044 | 127639 | 121462 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2015-56, Class MH, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 08/25/2045 | $1041744 | $956551 |
| &nbsp;&nbsp;&nbsp;Series 2015-75, Class LB, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 10/25/2045 | 125000 | 93633 |
| &nbsp;&nbsp;&nbsp;Series 2016-14, Class NC, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 03/25/2046 | 291959 | 277904 |
| &nbsp;&nbsp;&nbsp;Series 2016-23, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 11/25/2045 | 298685 | 244073 |
| &nbsp;&nbsp;&nbsp;Series 2016-27, Class HK, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 01/25/2041 | 307010 | 289338 |
| &nbsp;&nbsp;&nbsp;Series 2016-31, Class TM, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 12/25/2045 | 260000 | 226909 |
| &nbsp;&nbsp;&nbsp;Series 2016-33, Class LE, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 11/25/2033 | 43816 | 41108 |
| &nbsp;&nbsp;&nbsp;Series 2016-48, Class UF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 08/25/2046<sup>(a)</sup> | 81089 | 80107 |
| &nbsp;&nbsp;&nbsp;Series 2016-52, Class MZ, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 08/25/2046 | 243003 | 188848 |
| &nbsp;&nbsp;&nbsp;Series 2016-55, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;1.750%, 07/25/2043 | 844408 | 732064 |
| &nbsp;&nbsp;&nbsp;Series 2016-75, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 10/25/2046<sup>(a)</sup> | 39467 | 38938 |
| &nbsp;&nbsp;&nbsp;Series 2016-8, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 03/25/2046 | 733000 | 691204 |
| &nbsp;&nbsp;&nbsp;Series 2016-83, Class KL, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 11/25/2046 | 109243 | 74063 |
| &nbsp;&nbsp;&nbsp;Series 2016-85, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 11/25/2046 | 5543 | 5385 |
| &nbsp;&nbsp;&nbsp;Series 2016-9, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 06/25/2045 | 194212 | 182266 |
| &nbsp;&nbsp;&nbsp;Series 2016-9, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 03/25/2046 | 33571 | 31316 |
| &nbsp;&nbsp;&nbsp;Series 2017-1, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 04/25/2045 | 112237 | 108466 |
| &nbsp;&nbsp;&nbsp;Series 2017-10, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.40%, 03/25/2047<sup>(a)</sup> | 29075 | 28643 |
| &nbsp;&nbsp;&nbsp;Series 2017-107, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 08/25/2045 | 10269 | 10175 |
| &nbsp;&nbsp;&nbsp;Series 2017-15, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 04/25/2046 | 52004 | 50275 |
| &nbsp;&nbsp;&nbsp;Series 2017-19, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 01/25/2047 | 69591 | 64626 |
| &nbsp;&nbsp;&nbsp;Series 2017-22, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 08/25/2044 | 11865 | 11681 |
| &nbsp;&nbsp;&nbsp;Series 2017-24, Class H, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 08/25/2043 | 119182 | 115967 |
| &nbsp;&nbsp;&nbsp;Series 2017-35, Class AH, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 04/25/2053 | 14371 | 14024 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2017-38, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 03/25/2047 | $118342 | $109720 |
| &nbsp;&nbsp;&nbsp;Series 2017-40, Class GL, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 03/25/2043 | 1830 | 1808 |
| &nbsp;&nbsp;&nbsp;Series 2017-46, Class P, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 06/25/2047 | 2811332 | 2570895 |
| &nbsp;&nbsp;&nbsp;Series 2017-56, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 03/25/2045 | 99740 | 95316 |
| &nbsp;&nbsp;&nbsp;Series 2017-56, Class BY, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 07/25/2047 | 128765 | 108778 |
| &nbsp;&nbsp;&nbsp;Series 2017-68, Class HQ, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 07/25/2046 | 118743 | 112614 |
| &nbsp;&nbsp;&nbsp;Series 2017-90, Class WB, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 11/25/2047 | 99232 | 83233 |
| &nbsp;&nbsp;&nbsp;Series 2017-96, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 12/25/2054 | 138386 | 131583 |
| &nbsp;&nbsp;&nbsp;Series 2018-19, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 04/25/2046 | 66682 | 63702 |
| &nbsp;&nbsp;&nbsp;Series 2018-2, Class HD, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 02/25/2047 | 28659 | 27334 |
| &nbsp;&nbsp;&nbsp;Series 2018-24, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 09/25/2045 | 25767 | 25426 |
| &nbsp;&nbsp;&nbsp;Series 2018-38, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 06/25/2047 | 63799 | 61810 |
| &nbsp;&nbsp;&nbsp;Series 2018-39, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.25%, 11/25/2033<sup>(a)</sup> | 105194 | 103356 |
| &nbsp;&nbsp;&nbsp;Series 2018-41, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 06/25/2048 | 940989 | 843483 |
| &nbsp;&nbsp;&nbsp;Series 2018-43, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.25%, 09/25/2038<sup>(a)</sup> | 106280 | 104150 |
| &nbsp;&nbsp;&nbsp;Series 2018-45, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 06/25/2048 | 40479 | 36123 |
| &nbsp;&nbsp;&nbsp;Series 2018-5, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 09/25/2047 | 46990 | 43386 |
| &nbsp;&nbsp;&nbsp;Series 2018-50, Class DY, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 10/25/2047 | 580000 | 527904 |
| &nbsp;&nbsp;&nbsp;Series 2018-56, Class CH, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 08/25/2048 | 32758 | 30324 |
| &nbsp;&nbsp;&nbsp;Series 2018-60, Class KL, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 08/25/2048 | 96000 | 91704 |
| &nbsp;&nbsp;&nbsp;Series 2018-67, Class DY, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 09/25/2048 | 304029 | 281793 |
| &nbsp;&nbsp;&nbsp;Series 2018-83, Class LH, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 11/25/2048 | 22626 | 21454 |
| &nbsp;&nbsp;&nbsp;Series 2018-9, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 02/25/2048 | 395045 | 364875 |
| &nbsp;&nbsp;&nbsp;Series 2018-94, Class KD, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 12/25/2048 | 53502 | 51136 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2018-94, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 01/25/2049 | $183799 | $172803 |
| &nbsp;&nbsp;&nbsp;Series 2019-10, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 03/25/2049 | 81369 | 75013 |
| &nbsp;&nbsp;&nbsp;Series 2019-13, Class MH, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 03/25/2049 | 307000 | 286967 |
| &nbsp;&nbsp;&nbsp;Series 2019-34, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 07/25/2049 | 112302 | 68744 |
| &nbsp;&nbsp;&nbsp;Series 2019-50, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;2.750%, 09/25/2049 | 171527 | 95466 |
| &nbsp;&nbsp;&nbsp;Series 2019-55, Class MQ, |  |  |
| &nbsp;&nbsp;&nbsp;3.500%, 10/25/2049 | 635401 | 593994 |
| &nbsp;&nbsp;&nbsp;Series 2019-60, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.45%, 10/25/2049<sup>(a)</sup> | 12424 | 12117 |
| &nbsp;&nbsp;&nbsp;Series 2019-65, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 11/25/2049 | 114376 | 102296 |
| &nbsp;&nbsp;&nbsp;Series 2019-81, Class LB, |  |  |
| &nbsp;&nbsp;&nbsp;1.500%, 12/25/2049 | 571622 | 469090 |
| &nbsp;&nbsp;&nbsp;Series 2020-10, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;3.000%, 03/25/2050 | 278685 | 255847 |
| &nbsp;&nbsp;&nbsp;Series 2020-36, Class GD, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 12/25/2037 | 146663 | 133794 |
| &nbsp;&nbsp;&nbsp;Series 2020-47, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 07/25/2050 | 105298 | 67062 |
| &nbsp;&nbsp;&nbsp;Series 2020-73, Class ED, |  |  |
| &nbsp;&nbsp;&nbsp;0.845%, 11/25/2049<sup>(a)</sup> | 862995 | 666371 |
| &nbsp;&nbsp;&nbsp;Series 2021-12, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;1.000%, 07/25/2050 | 143800 | 110204 |
| &nbsp;&nbsp;&nbsp;Series 2021-17, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;1.500%, 04/25/2051 | 158291 | 73068 |
| &nbsp;&nbsp;&nbsp;Series 2021-47, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;1.500%, 07/25/2051 | 872622 | 694165 |
| &nbsp;&nbsp;&nbsp;Series 2021-47, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;1.750%, 07/25/2051 | 872622 | 707952 |
| &nbsp;&nbsp;&nbsp;Series 2021-59, Class H, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 06/25/2048 | 238054 | 203474 |
| &nbsp;&nbsp;&nbsp;Series 2021-6, Class KU, |  |  |
| &nbsp;&nbsp;&nbsp;1.500%, 02/25/2051 | 181291 | 113907 |
| &nbsp;&nbsp;&nbsp;Series 2021-69, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 04/25/2049 | 338888 | 290139 |
| &nbsp;&nbsp;&nbsp;Series 2021-72, Class NL, |  |  |
| &nbsp;&nbsp;&nbsp;1.500%, 10/25/2051 | 316302 | 202146 |
| &nbsp;&nbsp;&nbsp;Series 2021-80, Class KE, |  |  |
| &nbsp;&nbsp;&nbsp;2.000%, 11/25/2051 | 278741 | 242310 |
| &nbsp;&nbsp;&nbsp;Series 2022-17, Class GV, |  |  |
| &nbsp;&nbsp;&nbsp;2.500%, 01/25/2052 | 3569000 | 2774606 |
| &nbsp;&nbsp;&nbsp;Series 2022-37, Class QL, |  |  |
| &nbsp;&nbsp;&nbsp;4.000%, 07/25/2052 | 1683000 | 1652778 |
| &nbsp;&nbsp;&nbsp;Series 2022-4, Class CK, |  |  |
| &nbsp;&nbsp;&nbsp;1.500%, 04/25/2051 | 103750 | 62018 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2022-43, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 07/25/2052 | $229947 | $227996 |
| &nbsp;&nbsp;&nbsp;Series 2022-43, Class AN, |  |  |
| &nbsp;&nbsp;&nbsp;4.250%, 07/25/2052 | 240932 | 226930 |
| &nbsp;&nbsp;&nbsp;Series 2022-64, Class GM, |  |  |
| &nbsp;&nbsp;&nbsp;4.500%, 10/25/2052 | 3161000 | 3078667 |
| &nbsp;&nbsp;&nbsp;Series 2022-68, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;5.000%, 10/25/2052 | 1162586 | 1141214 |
| &nbsp;&nbsp;&nbsp;Series 2022-81, Class DO, |  |  |
| &nbsp;&nbsp;&nbsp;–%, 11/25/2052<sup>(b)</sup> | 1474752 | 691886 |
|  |  | 67993458 |
| Fannie Mae Grantor Trust 2002-T12 |  |  |
| &nbsp;&nbsp;&nbsp;Series 2002-T12, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 05/25/2042 | 143138 | 145425 |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;Series 1994-1665, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 01/15/2024 | 1288 | 1291 |
| &nbsp;&nbsp;&nbsp;Series 1996-1863, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 07/15/2026 | 2617 | 2622 |
| &nbsp;&nbsp;&nbsp;Series 1997-1935, Class FK, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.70%, 02/15/2027<sup>(a)</sup> | 10451 | 10467 |
| &nbsp;&nbsp;&nbsp;Series 1997-1980, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;7.000%, 07/15/2027 | 10393 | 10611 |
| &nbsp;&nbsp;&nbsp;Series 1998-2034, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 02/15/2028 | 18544 | 19039 |
| &nbsp;&nbsp;&nbsp;Series 1998-2035, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;6.950%, 03/15/2028 | 4134 | 4251 |
| &nbsp;&nbsp;&nbsp;Series 1998-2053, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 04/15/2028 | 12625 | 12875 |
| &nbsp;&nbsp;&nbsp;Series 1998-2060, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 05/15/2028 | 7198 | 7416 |
| &nbsp;&nbsp;&nbsp;Series 1998-2079, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 07/17/2028<sup>(a)</sup> | 1376 | 1375 |
| &nbsp;&nbsp;&nbsp;Series 1998-2095, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 11/15/2028 | 14508 | 14823 |
| &nbsp;&nbsp;&nbsp;Series 1998-2102, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 12/15/2028 | 41231 | 42111 |
| &nbsp;&nbsp;&nbsp;Series 1999-2115, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.45%, 01/15/2029<sup>(a)</sup> | 23543 | 23493 |
| &nbsp;&nbsp;&nbsp;Series 1999-2126, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;6.250%, 02/15/2029 | 19697 | 20084 |
| &nbsp;&nbsp;&nbsp;Series 1999-2137, Class TH, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 03/15/2029 | 4834 | 4987 |
| &nbsp;&nbsp;&nbsp;Series 1999-2154, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 05/15/2029 | 159053 | 162244 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Series 2000-2224, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;8.000%, 03/15/2030 | $6056 | $6504 |
| &nbsp;&nbsp;&nbsp;Series 2001-2274, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 01/15/2031 | 9492 | 9718 |
| &nbsp;&nbsp;&nbsp;Series 2001-2279, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;6.000%, 01/15/2031 | 10238 | 10402 |
| &nbsp;&nbsp;&nbsp;Series 2001-2320, Class FI, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 09/15/2029<sup>(a)</sup> | 28933 | 28856 |
| &nbsp;&nbsp;&nbsp;Series 2001-2322, Class FV, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 06/15/2030<sup>(a)</sup> | 25456 | 24944 |
| &nbsp;&nbsp;&nbsp;Series 2001-2324, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 06/15/2031 | 120037 | 126644 |
| &nbsp;&nbsp;&nbsp;Series 2001-2334, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;6.500%, 05/15/2028 | 64175 | 65746 |
| &nbsp;&nbsp;&nbsp;Series 2001-2341, Class FP, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.90%, 07/15/2031<sup>(a)</sup> | 26079 | 26319 |
| &nbsp;&nbsp;&nbsp;Series 2001-2367, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.525%, 06/15/2031<sup>(a)</sup> | 24677 | 24608 |
| &nbsp;&nbsp;&nbsp;Series 2001-2372, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.50%, 10/15/2031<sup>(a)</sup> | 19190 | 19151 |
| &nbsp;&nbsp;&nbsp;Series 2001-2388, Class FR, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.65%, 06/15/2031<sup>(a)</sup> | 21135 | 21151 |
| &nbsp;&nbsp;&nbsp;Series 2001-2388, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 01/15/2029<sup>(a)</sup> | 21029 | 21028 |
| &nbsp;&nbsp;&nbsp;Series 2001-2391, Class HF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.55%, 06/15/2031<sup>(a)</sup> | 8468 | 8450 |
| &nbsp;&nbsp;&nbsp;Series 2001-2396, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.45%, 12/15/2031<sup>(a)</sup> | 31290 | 31280 |
| &nbsp;&nbsp;&nbsp;Series 2001-2396, Class FN, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.65%, 12/15/2031<sup>(a)</sup> | 98945 | 99318 |
| &nbsp;&nbsp;&nbsp;Series 2002-2411, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.55%, 02/15/2032<sup>(a)</sup> | 20688 | 20713 |
| &nbsp;&nbsp;&nbsp;Series 2002-2412, Class OF, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.95%, 12/15/2031<sup>(a)</sup> | 28741 | 29120 |
| &nbsp;&nbsp;&nbsp;Series 2002-2417, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;1M US L + 0.60%, 12/15/2031<sup>(a)</sup> | 8438 | 8431 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2424, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.45%, 03/15/2032<sup>(a)</sup> | $47186 | $46994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2430, Class WF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 03/15/2032 | 8082 | 8547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2433, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.95%, 02/15/2032<sup>(a)</sup> | 32373 | 32800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2460, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 03/15/2032<sup>(a)</sup> | 62646 | 63344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2466, Class FV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.55%, 03/15/2032<sup>(a)</sup> | 55736 | 55769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2470, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 03/15/2032<sup>(a)</sup> | 67159 | 68157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2478, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 02/15/2032<sup>(a)</sup> | 18764 | 18634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2481, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 03/15/2032<sup>(a)</sup> | 18977 | 19259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2488, Class FU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 03/15/2032<sup>(a)</sup> | 64247 | 64253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2494, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.05%, 06/15/2031<sup>(a)</sup> | 32783 | 33165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2495, Class ZB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/15/2032 | 33175 | 32666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2510, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 10/15/2032<sup>(a)</sup> | 14982 | 14850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2513, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 02/15/2032<sup>(a)</sup> | 50157 | 48229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2516, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 02/15/2032<sup>(a)</sup> | 47665 | 48372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2517, Class FR, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 10/15/2032<sup>(a)</sup> | 12309 | 12208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2524, Class DH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 11/15/2032 | 31862 | 32307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2525, Class NU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2032 | 75480 | 75685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2535, Class AW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/15/2032 | 9855 | 10002 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2538, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 12/15/2032<sup>(a)</sup> | $135670 | $134790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2541, Class BL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/15/2032 | 41447 | 42008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2554, Class MN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/15/2033 | 44703 | 45869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2557, Class HL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.300%, 01/15/2033 | 87994 | 89854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2557, Class NU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 03/15/2032 | 54797 | 55887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2557, Class WF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 01/15/2033<sup>(a)</sup> | 33414 | 33275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2568, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/15/2033 | 32562 | 33380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2571, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.75%, 12/15/2032<sup>(a)</sup> | 21072 | 21224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2577, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 02/15/2033<sup>(a)</sup> | 95995 | 95580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2587, Class FW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.47%, 03/15/2033<sup>(a)</sup> | 39257 | 39160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2590, Class OZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/15/2033 | 234013 | 229702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2590, Class QY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.750%, 04/15/2028 | 6828 | 6715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2614, Class FV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.50%, 05/15/2033<sup>(a)</sup> | 210530 | 213581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2624, Class QH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/15/2033 | 12404 | 12633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2626, Class ZX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/15/2033 | 200598 | 186844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2627, Class CN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/15/2033 | 35702 | 36400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2631, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/15/2033 | 148000 | 150068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2647, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 04/15/2032 | 56966 | 55276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2648, Class WZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/15/2033 | 264580 | 274644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2668, Class LH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/15/2033 | 22700 | 23062 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2707, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.65%, 04/15/2032<sup>(a)</sup> | $37795 | $37935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2717, Class LH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/15/2033 | 5821 | 5995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2725, Class TA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/15/2033 | 159000 | 159943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2750, Class TC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 02/15/2034 | 6388 | 6435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2768, Class PW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.250%, 03/15/2034 | 143328 | 139701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2802, Class OH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 05/15/2034 | 19239 | 19661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2835, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/15/2034 | 35821 | 36910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2835, Class TB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/15/2034 | 340661 | 332698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2893, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 11/15/2034 | 235670 | 239587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2896, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 11/15/2034 | 80967 | 81917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2901, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/15/2034 | 37546 | 38017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2916, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/15/2035 | 150000 | 152421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2927, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/15/2035 | 18121 | 18147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2929, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/15/2035 | 25251 | 25565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2933, Class HD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/15/2035 | 27702 | 28194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2942, Class ZN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/15/2035 | 544628 | 552536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2953, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/15/2035 | 17061 | 17626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2962, Class KF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.20%, 04/15/2035<sup>(a)</sup> | 14787 | 14664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2980, Class QA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 05/15/2035 | 38073 | 39526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2996, Class GX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/15/2035 | 72000 | 74726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3012, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 08/15/2035 | 54240 | 55982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3028, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.25%, 09/15/2035<sup>(a)</sup> | 11451 | 11351 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3028, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/15/2035 | $54532 | $55388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3028, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/15/2035 | 855234 | 793170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3033, Class WY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/15/2035 | 81550 | 84201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3036, Class NE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/15/2035 | 94038 | 95615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3042, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 09/15/2035 | 154059 | 168547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3052, Class WH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/15/2035 | 22655 | 23322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3059, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/15/2035 | 91485 | 92687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3062, Class DE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/15/2035 | 130449 | 134684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3068, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/15/2035 | 162884 | 169372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3070, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 11/15/2035<sup>(a)</sup> | 17528 | 17425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3072, Class NF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 11/15/2035<sup>(a)</sup> | 36693 | 36494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3085, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.80%, 08/15/2035<sup>(a)</sup> | 42396 | 42815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3098, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/15/2036 | 63522 | 64965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3122, Class OH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 03/15/2036<sup>(b)</sup> | 11171 | 9639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3123, Class HT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 03/15/2026 | 20362 | 20190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3136, Class KF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.30%, 04/15/2036<sup>(a)</sup> | 19464 | 19334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3137, Class XP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/15/2036 | 21120 | 22274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3143, Class BC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/15/2036 | 94220 | 97632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3145, Class FN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.43%, 04/15/2036<sup>(a)</sup> | 12193 | 12048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3148, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/15/2036 | 21395 | 21983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3153, Class UG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.45%, 05/15/2036<sup>(a)</sup> | 22802 | 22646 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3154, Class PN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/15/2036 | $62910 | $65196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3201, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 08/15/2036<sup>(a)</sup> | 87620 | 87448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3202, Class HF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 08/15/2036<sup>(a)</sup> | 41555 | 41145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3203, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/15/2036 | 198466 | 202812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3204, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/15/2034 | 93172 | 94236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3206, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 08/15/2036<sup>(a)</sup> | 43086 | 42657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3236, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.30%, 11/15/2036<sup>(a)</sup> | 12203 | 12032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3237, Class CD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/15/2036 | 157053 | 157111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3237, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/15/2036 | 59000 | 61472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3240, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.11%, 11/15/2036<sup>(a)</sup> | 227120 | 229766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3249, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.250%, 12/15/2036 | 350274 | 342262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3279, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.32%, 02/15/2037<sup>(a)</sup> | 80620 | 79160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3284, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/15/2037 | 25118 | 24452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3301, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.42%, 04/15/2037<sup>(a)</sup> | 14613 | 14389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3311, Class DF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.34%, 05/15/2037<sup>(a)</sup> | 104952 | 103187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3312, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/15/2037 | 16640 | 17124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3316, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.30%, 08/15/2035<sup>(a)</sup> | 30065 | 29760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3349, Class HG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/15/2037 | 17982 | 18625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3361, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 11/15/2036<sup>(a)</sup> | 69416 | 68570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3367, Class YF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.55%, 09/15/2037<sup>(a)</sup> | 17305 | 17225 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3368, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.72%, 09/15/2037<sup>(a)</sup> | $62924 | $62892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3378, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.58%, 06/15/2037<sup>(a)</sup> | 37327 | 37247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3380, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.59%, 10/15/2037<sup>(a)</sup> | 57575 | 57429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3382, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 11/15/2037<sup>(a)</sup> | 73914 | 74087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3382, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 11/15/2037<sup>(a)</sup> | 31401 | 31340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3387, Class PF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.42%, 11/15/2037<sup>(a)</sup> | 27160 | 26909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3388, Class FJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 11/15/2037<sup>(a)</sup> | 113800 | 113622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3404, Class DC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/15/2038 | 122000 | 128255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3405, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/15/2038 | 45595 | 46357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3409, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/15/2038 | 161565 | 167653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3411, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 02/15/2038<sup>(a)</sup> | 19539 | 19584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3415, Class DF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 08/15/2035<sup>(a)</sup> | 88007 | 88241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3415, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/15/2037 | 33258 | 33504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3415, Class TF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.74%, 08/15/2035<sup>(a)</sup> | 43589 | 43775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3450, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/15/2038 | 51987 | 52093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3469, Class CF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.79%, 07/15/2038<sup>(a)</sup> | 19669 | 19789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3536, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 05/15/2039<sup>(a)</sup> | 27066 | 27372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3539, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/15/2029 | 44000 | 43687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3545, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.85%, 06/15/2039<sup>(a)</sup> | 50886 | 51156 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3548, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/15/2032 | $151212 | $155707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3549, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.20%, 07/15/2039<sup>(a)</sup> | 18117 | 18215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3564, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/15/2039 | 349000 | 355634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3574, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/15/2039 | 76977 | 77701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3584, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 12/15/2036<sup>(a)</sup> | 26044 | 26164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3587, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/15/2039 | 136913 | 134070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3588, Class CW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.145%, 10/15/2037<sup>(a)</sup> | 367547 | 405317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3604, Class PO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 05/15/2036<sup>(b)</sup> | 68660 | 56122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3605, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.86%, 11/15/2039<sup>(a)</sup> | 128188 | 129417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3611, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.75%, 07/15/2034<sup>(a)</sup> | 11702 | 11756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3620, Class EL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/15/2030 | 23963 | 23747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3622, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/15/2040 | 400000 | 408447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3626, Class ME, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/15/2040 | 364615 | 375442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3631, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/15/2040 | 180424 | 179244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3653, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 04/15/2030 | 66152 | 66180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3662, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2040 | 189209 | 193441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3664, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/15/2037 | 85461 | 84236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3704, Class DC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/15/2036 | 49081 | 48691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3737, Class GB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 04/15/2039 | 1336 | 1333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3747, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/15/2040 | 294996 | 295025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3762, Class WP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/15/2039 | 12800 | 12610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3770, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/15/2040 | 335852 | 337596 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3770, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/15/2040 | $8814672 | $8606518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3778, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/15/2040 | 117889 | 115418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3792, Class DF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 11/15/2040<sup>(a)</sup> | 7732 | 7728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3798, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/15/2041 | 57813 | 56952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3800, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 02/15/2041<sup>(a)</sup> | 21850 | 21706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3819, Class ZQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/15/2036 | 15421 | 16273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3822, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 02/15/2033<sup>(a)</sup> | 26132 | 26027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3825, Class BP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/15/2041 | 73746 | 71089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3830, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/15/2039 | 28158 | 28010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3843, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.55%, 04/15/2041<sup>(a)</sup> | 43233 | 42759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3843, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2041 | 632913 | 651628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3852, Class TP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27.50% - 1M US L, 05/15/2041<sup>(a)</sup> | 23701 | 23689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3852, Class QN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27.21053% - 1M US L, 05/15/2041<sup>(a)</sup> | 41156 | 40209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3857, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/15/2041 | 998622 | 1039658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3862, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2041 | 92196 | 92100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3870, Class ME, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/15/2040 | 20486 | 20403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3891, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.55%, 07/15/2041<sup>(a)</sup> | 40482 | 40011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3894, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/15/2041 | 357913 | 361249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3905, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/15/2041 | 168944 | 132633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3919, Class DL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/15/2030 | 298000 | 290248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3934, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 10/15/2041 | 607906 | 624585 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3935, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/15/2041 | $1059135 | $1057868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3939, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/15/2041 | 820634 | 820467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3939, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/15/2041 | 192452 | 184428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3957, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/15/2041 | 619854 | 608002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3958, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/15/2041 | 151140 | 151895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3959, Class MB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/15/2041 | 44199 | 42445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3963, Class JB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/15/2041 | 105229 | 105040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3968, Class LA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/15/2041 | 448797 | 450512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3969, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/15/2041 | 16651 | 16452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3984, Class DF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.55%, 01/15/2042<sup>(a)</sup> | 34985 | 34543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3989, Class JW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 01/15/2042 | 210092 | 201106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3994, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/15/2042 | 834776 | 779866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3997, Class EC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/15/2042 | 50212 | 43553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3997, Class FQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 02/15/2042<sup>(a)</sup> | 40399 | 39747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3998, Class KG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 11/15/2026 | 47362 | 46256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4001, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 02/15/2042<sup>(a)</sup> | 27807 | 27339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4011, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/15/2041 | 205923 | 199269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4012, Class GC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/15/2040 | 34487 | 33759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4020, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/15/2027 | 7706 | 7449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4037, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2027 | 42576 | 40719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4039, Class LT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/15/2042 | 113000 | 100514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4048, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/15/2042 | 611000 | 598489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4050, Class ND, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 09/15/2041 | 14916 | 14465 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4062, Class MZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/15/2042 | $120064 | $115312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4064, Class AY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/15/2027 | 64000 | 61678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4068, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/15/2042 | 279000 | 255248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4075, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/15/2042 | 39365 | 36815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4076, Class MV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2031 | 69000 | 66166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4077, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 08/15/2040 | 74928 | 73239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4088, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/15/2042 | 91641 | 84985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4094, Class CW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 08/15/2042 | 185997 | 163381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4097, Class CU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 08/15/2027 | 25000 | 22508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4097, Class UF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 08/15/2032<sup>(a)</sup> | 54188 | 53986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4101, Class QN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/15/2042 | 233213 | 218752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4102, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/15/2042 | 150000 | 130102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4104, Class AJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 09/15/2027 | 20786 | 19605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4116, Class YB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 05/15/2042 | 132000 | 114399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4120, Class TC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 10/15/2027 | 8169 | 7695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4122, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.041%, 05/15/2040<sup>(a)</sup> | 155436 | 146329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4133, Class TA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/15/2042 | 292836 | 255957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4141, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 12/15/2042 | 100000 | 78638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4160, Class HB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 12/15/2032 | 14094 | 12836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4170, Class FW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.95%, 01/15/2033<sup>(a)</sup> | 17805 | 17410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4171, Class MN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/15/2043 | 103000 | 84337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4176, Class YD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2043 | 50000 | 44187 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4183, Class ME, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 02/15/2042 | $124237 | $117352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4185, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2043 | 450000 | 418905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4203, Class DJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/15/2033 | 48623 | 46470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4218, Class DG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/15/2042 | 128770 | 120653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4220, Class EH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 06/15/2028 | 28874 | 27916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4231, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 10/15/2032<sup>(a)</sup> | 12982 | 12950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4246, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/15/2043 | 493003 | 456976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4257, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/15/2027 | 9811 | 9721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4265, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 01/15/2035<sup>(a)</sup> | 58329 | 57644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4293, Class NM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/15/2043 | 25423 | 25015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4294, Class PF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 01/15/2044<sup>(a)</sup> | 11790 | 11522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4301, Class U, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/15/2032 | 6743 | 6715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4319, Class PM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2043 | 69853 | 67457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4320, Class AP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/15/2039 | 111341 | 108615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4324, Class AY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2029 | 568738 | 534803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4337, Class VJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/15/2027 | 13905 | 13830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4368, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.125%, 06/15/2041<sup>(c)</sup> | 1755461 | 1764661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4370, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 09/15/2041 | 19148 | 18570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4403, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/15/2044 | 147520 | 96919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4419, Class DC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/15/2044 | 240000 | 199357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4457, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2045 | 83451 | 77067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4459, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/15/2034 | 19657 | 19731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4461, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/15/2037 | 85781 | 82048 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4498, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/15/2037 | $126116 | $113428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4508, Class UZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/15/2043 | 52708 | 44362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4531, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/15/2043 | 26717 | 26195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4555, Class CP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2045 | 456350 | 434146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4564, Class QA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/15/2029 | 52694 | 51501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4590, Class AK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/15/2027 | 85367 | 83626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4601, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/15/2045 | 108136 | 70636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4613, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.10%, 11/15/2037<sup>(a)</sup> | 95105 | 95238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4619, Class BE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 12/15/2047 | 30810 | 30573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4629, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/15/2046 | 1000000 | 876243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4630, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/15/2041 | 3653 | 3642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4639, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 04/15/2053<sup>(c)</sup> | 681551 | 579603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4656, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/15/2047 | 126652 | 121222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4664, Class UE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/15/2043 | 72642 | 71217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4670, Class TY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2047 | 346000 | 295862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4672, Class QD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/15/2045 | 37437 | 36163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4707, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/15/2047 | 119182 | 89478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4710, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2045 | 129690 | 124246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4714, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/15/2047 | 1000000 | 935687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4748, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/15/2045 | 65454 | 63144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4767, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/15/2047 | 35920 | 24262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4787, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/15/2048 | 48292 | 46720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4800, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/15/2047 | 13540 | 13444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4808, Class DG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/15/2045 | 1154265 | 1126125 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4813, Class CJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/15/2048 | $203609 | $181639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4821, Class VA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/15/2029 | 98443 | 96104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4821, Class YZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/15/2042 | 1550748 | 1446549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4839, Class AE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/15/2051 | 257784 | 252012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4846, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 06/15/2047 | 8011 | 7861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4857, Class HM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 11/15/2046 | 108899 | 106195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4863, Class AJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/15/2038 | 50694 | 48626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4863, Class H, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 03/15/2049 | 145250 | 161532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4911, Class HG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.250%, 04/15/2049 | 1804867 | 1589510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4926, Class BP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2049 | 609604 | 557756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4954, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 02/25/2050 | 119861 | 65327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4989, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 10/15/2040<sup>(a)</sup> | 150393 | 146426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4989, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 08/15/2040<sup>(a)</sup> | 151550 | 147276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5007, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 08/25/2050 | 218000 | 103188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5013, Class NH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 09/25/2050 | 173581 | 106922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5039, Class ZK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 11/25/2050 | 147034 | 81031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5049, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 11/25/2050 | 137934 | 67872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5068, Class UB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.500%, 01/25/2051 | 109000 | 60953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5085, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 03/25/2051 | 124070 | 74721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5092, Class BC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 06/25/2036 | 43326 | 42015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5103, Class LQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 04/25/2050 | 199891 | 112780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5103, Class LM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 05/25/2041 | 119098 | 70267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5119, Class LM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 05/25/2041 | 202779 | 116098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5121, Class KE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 06/25/2051 | 301427 | 166835 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5171, Class KY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 12/25/2051 | $172000 | $93805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5178, Class LY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 12/25/2051 | 178029 | 83818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5182, Class M, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 05/25/2049 | 396930 | 359639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5198, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/25/2052 | 610521 | 469868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5200, Class WK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/25/2052 | 217000 | 148990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5201, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/25/2048 | 184748 | 168492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5208, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/25/2042 | 1386302 | 1071789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5230, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/25/2051 | 600000 | 486051 |
|  |  | 52029197 |
| Freddie Mac Strips |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-299, Class 300, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/15/2043 | 125636 | 115861 |
| Freddie Mac Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-32, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.26%, 08/25/2031<sup>(a)</sup> | 91420 | 90878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-55, Class 1A3A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 03/25/2043<sup>(a)</sup> | 302680 | 300009 |
|  |  | 390887 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-72, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 10/20/2032<sup>(a)</sup> | 20749 | 20747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-25, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 08/26/2023<sup>(a)</sup> | 5844 | 5842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-98, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 09/20/2033<sup>(a)</sup> | 27398 | 27378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-1, Class TE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/20/2033 | 25637 | 25763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-15, Class AY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/20/2034 | 113673 | 115914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-22, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/20/2034 | 159484 | 165370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-26, Class ED, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/16/2034 | 72076 | 73581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-34, Class QL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/16/2034 | 125625 | 128936 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-55, Class MC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/20/2034 | $32019 | $32721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-7, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/16/2034 | 1418309 | 1440023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-87, Class BC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/20/2034 | 14337 | 14196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-11, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2035 | 33476 | 34011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-13, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2035 | 12335 | 12514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-13, Class BG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2035 | 165174 | 167537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3, Class JL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/16/2034 | 81527 | 81841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3, Class JM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 01/20/2035 | 57397 | 57289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3, Class OC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/20/2035 | 181902 | 183965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3, Class QB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/16/2035 | 75202 | 75576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-45, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.30%, 06/20/2035<sup>(a)</sup> | 38413 | 38008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-49, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/20/2035 | 82425 | 84807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-51, Class DC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/20/2035 | 127373 | 130245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-56, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/17/2035 | 13707 | 13756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-56, Class BD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/20/2035 | 43824 | 44391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-69, Class WD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/18/2035 | 46663 | 46835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-73, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/20/2035 | 120662 | 120706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-92, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/20/2035 | 166779 | 174441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-10, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/20/2036 | 45162 | 45941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-38, Class OH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 08/20/2036 | 28000 | 28596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-18, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/20/2035 | 137000 | 142349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-18, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2035 | 81618 | 83283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-35, Class TE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/20/2037 | 108114 | 112794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-35, Class NE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/16/2037 | 51908 | 53862 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-40, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.33%, 07/16/2037<sup>(a)</sup> | $37213 | $36952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-44, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 07/20/2037 | 127664 | 133419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-57, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/20/2037 | 600352 | 633779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-6, Class LE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/20/2037 | 173973 | 177360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-7, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/16/2037 | 27005 | 27306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-79, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.44%, 12/20/2037<sup>(a)</sup> | 128293 | 128136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-13, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 02/20/2038<sup>(a)</sup> | 25369 | 25335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-20, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/16/2037 | 76089 | 77562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-31, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/20/2038 | 51551 | 52624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-33, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/20/2038 | 62162 | 63513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-37, Class L, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/20/2038 | 42093 | 43265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-38, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2038 | 224413 | 229634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-38, Class PN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2038 | 43159 | 44578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-38, Class BG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/16/2038 | 65361 | 66439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-40, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 05/16/2038 | 118000 | 124168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-41, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2038 | 73505 | 74974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-47, Class ML, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 06/16/2038 | 28896 | 29447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-49, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 06/20/2038 | 29354 | 29371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-50, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/20/2038 | 235554 | 243852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-51, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.77%, 06/16/2038<sup>(a)</sup> | 82861 | 83464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-51, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 06/20/2038 | 44608 | 44987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-55, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/20/2038 | 33090 | 33607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-58, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/16/2038 | 87430 | 89713 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-60, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/20/2038 | $78000 | $79432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-60, Class JN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/20/2038 | 122642 | 124179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-65, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/20/2038 | 224417 | 227744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-66, Class FN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.95%, 08/20/2038<sup>(a)</sup> | 52587 | 53090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-7, Class PQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2038 | 79853 | 79712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-76, Class QE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 09/20/2038 | 58000 | 59903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-77, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 09/20/2038<sup>(a)</sup> | 62159 | 62282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-85, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 10/20/2038 | 34541 | 34446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-89, Class JC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/20/2038 | 41901 | 41798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-89, Class JD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/20/2038 | 16438 | 16462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-9, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 02/20/2038<sup>(a)</sup> | 17345 | 17334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-1, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.05%, 01/20/2039<sup>(a)</sup> | 72454 | 73428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-10, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/20/2039 | 30000 | 30166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-10, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/16/2039 | 79093 | 80823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-118, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/16/2039 | 20193 | 20590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-12, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 03/20/2039 | 56403 | 56628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-13, Class E, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/16/2039 | 98180 | 98469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-15, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.04%, 03/20/2039<sup>(a)</sup> | 57829 | 58342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-24, Class WB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 03/20/2039 | 106539 | 107049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-32, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2039 | 306194 | 321669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-40, Class AD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/20/2039 | 309000 | 310505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-47, Class LT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/20/2039 | 114931 | 116777 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-55, Class FN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 07/20/2039<sup>(a)</sup> | $24810 | $25100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-58, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/20/2039 | 82970 | 81828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-61, Class MP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/20/2039 | 36387 | 36721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-61, Class AP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2039 | 39983 | 39637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-69, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/16/2039 | 92000 | 96914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-75, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2039 | 98909 | 98526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-76, Class XA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/16/2039 | 425664 | 456449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-76, Class JB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/20/2039 | 25468 | 25316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-83, Class TF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.90%, 08/20/2039<sup>(a)</sup> | 42780 | 43219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-94, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 10/16/2039<sup>(a)</sup> | 72234 | 72568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-105, Class BH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/16/2040 | 80953 | 78201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-111, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 09/20/2040<sup>(a)</sup> | 46582 | 46201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-14, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/16/2039 | 30596 | 30375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-14, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/16/2040 | 143205 | 143673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-147, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/20/2040 | 62145 | 59684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-157, Class OP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 12/20/2040<sup>(b)</sup> | 9763 | 8256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-167, Class WL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2040 | 764000 | 765775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-169, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/20/2040 | 218080 | 211064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-19, Class GW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 02/20/2040 | 108305 | 102903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-62, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.45%, 04/16/2034<sup>(a)</sup> | 19294 | 19293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-76, Class NC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/20/2040 | 113194 | 110993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-84, Class YB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 07/20/2040 | 21783 | 21371 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H01, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.82%, 01/20/2060<sup>(a)</sup> | $29316 | $29335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H10, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 05/20/2060<sup>(a)</sup> | 152581 | 153042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H20, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.33%, 10/20/2060<sup>(a)</sup> | 163561 | 162506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H22, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 05/20/2059<sup>(a)</sup> | 2567 | 2555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H27, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.38%, 12/20/2060<sup>(a)</sup> | 51414 | 51106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-100, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 07/20/2041 | 102659 | 102112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-128, Class MD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/20/2040 | 140000 | 137599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-137, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.596%, 07/20/2040<sup>(a)</sup> | 109672 | 115036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-18, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2040 | 39396 | 38952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-43, Class ZQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/16/2033 | 65704 | 65524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-59, Class QC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/20/2040 | 101248 | 98884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-66, Class UA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/16/2041 | 123570 | 118112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-71, Class ZC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/16/2034 | 206704 | 210301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-97, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.109%, 11/20/2038<sup>(a)</sup> | 38384 | 40388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H01, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.45%, 11/20/2060<sup>(a)</sup> | 173795 | 173088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H11, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 04/20/2061<sup>(a)</sup> | 87646 | 87325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H11, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 03/20/2061<sup>(a)</sup> | 170079 | 169408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H15, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.45%, 06/20/2061<sup>(a)</sup> | 40354 | 40154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-116, Class BY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/16/2042 | 242000 | 206151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-127, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 09/16/2042 | 158118 | 142365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-32, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/16/2042 | 89000 | 82968 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-38, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 01/20/2041 | $57519 | $56434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-51, Class VM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/16/2025 | 61998 | 60831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-56, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2040 | 1262000 | 1166415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-68, Class GE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2042 | 4247 | 3604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-76, Class GF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.30%, 06/16/2042<sup>(a)</sup> | 26338 | 26117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H08, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.57%, 04/20/2062<sup>(a)</sup> | 377271 | 376080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H14, Class FK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.58%, 07/20/2062<sup>(a)</sup> | 92303 | 92038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H20, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.386%, 07/20/2062<sup>(a)</sup> | 65472 | 65306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H24, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 10/20/2062<sup>(a)</sup> | 2530 | 2503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-100, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2043 | 39683 | 38843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-115, Class PM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2043 | 400000 | 388034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-169, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 11/16/2043 | 107721 | 99404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-22, Class GB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 08/20/2042 | 115781 | 108074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-54, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.871%, 11/20/2042<sup>(a)</sup> | 420221 | 426984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-69, Class NA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/20/2042 | 174910 | 156311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-70, Class LA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 05/20/2043 | 111377 | 94989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-93, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/20/2043 | 1124279 | 1183963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-98, Class KF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.30%, 11/20/2041<sup>(a)</sup> | 12517 | 12468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-99, Class MF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.30%, 07/20/2043<sup>(a)</sup> | 68664 | 67411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H01, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.650%, 01/20/2063 | 131 | 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H04, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.650%, 02/20/2063 | 2220 | 2077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H07, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.47%, 03/20/2063<sup>(a)</sup> | 115127 | 114622 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H09, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.650%, 04/20/2063 | $5292 | $4952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H18, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 07/20/2063<sup>(a)</sup> | 43765 | 43645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-53, Class JM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.013%, 04/20/2039<sup>(a)</sup> | 220298 | 232973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-98, Class HE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2044 | 53984 | 46978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-98, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/16/2044 | 231687 | 189692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H10, Class TA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 04/20/2064<sup>(a)</sup> | 330166 | 329006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H15, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 07/20/2064<sup>(a)</sup> | 22012 | 21888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H16, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.47%, 07/20/2064<sup>(a)</sup> | 427824 | 422197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H19, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/20/2064 | 315955 | 309130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-190, Class LE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2045 | 11457 | 11255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-63, Class KA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/20/2040 | 33494 | 29680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-84, Class QA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2045 | 242338 | 235673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H09, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.62%, 04/20/2065<sup>(a)</sup> | 247474 | 243035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H12, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 05/20/2065<sup>(a)</sup> | 79410 | 78369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H15, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.58%, 06/20/2065<sup>(a)</sup> | 111825 | 110208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H22, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 09/20/2065<sup>(a)</sup> | 46874 | 46158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H26, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.52%, 10/20/2065<sup>(a)</sup> | 50721 | 50455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H26, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.52%, 10/20/2065<sup>(a)</sup> | 252049 | 248633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H27, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.75%, 09/20/2065<sup>(a)</sup> | 2458140 | 2425776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H29, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 10/20/2065<sup>(a)</sup> | 3425 | 3398 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H30, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 11/20/2065<sup>(a)</sup> | $52467 | $52290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H31, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.65%, 11/20/2065<sup>(a)</sup> | 59454 | 59308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H32, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.66%, 12/20/2065<sup>(a)</sup> | 183571 | 183194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-116, Class GV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2026 | 37370 | 36093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-120, Class KA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/20/2046 | 4738 | 4147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-46, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/20/2046 | 118743 | 93478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-82, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/20/2045 | 56948 | 55115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H06, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.92%, 02/20/2066<sup>(a)</sup> | 147332 | 145470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H08, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.72%, 02/20/2066<sup>(a)</sup> | 232001 | 231448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H11, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.80%, 05/20/2066<sup>(a)</sup> | 3847705 | 3805741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H13, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.58%, 05/20/2066<sup>(a)</sup> | 21955 | 21909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H14, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.80%, 06/20/2066<sup>(a)</sup> | 650079 | 644318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H15, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.80%, 07/20/2066<sup>(a)</sup> | 558247 | 553610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H17, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.83%, 08/20/2066<sup>(a)</sup> | 210726 | 208677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H17, Class FK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.85%, 07/20/2066<sup>(a)</sup> | 68922 | 68323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H17, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.250%, 03/20/2066 | 281689 | 270984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H20, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.468%, 09/20/2066<sup>(a)</sup> | 523901 | 537248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H23, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.75%, 10/20/2066<sup>(a)</sup> | 189780 | 188862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H23, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.152%, 09/20/2066<sup>(a)</sup> | 364971 | 372121 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H24, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.75%, 10/20/2066<sup>(a)</sup> | $557545 | $551006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H26, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 12/20/2066<sup>(a)</sup> | 116148 | 115128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-150, Class JE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2047 | 64675 | 61209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-170, Class MC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2047 | 66146 | 60791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-36, Class MJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/20/2047 | 37878 | 34274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-56, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/20/2047 | 113495 | 98342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-73, Class JT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.750%, 09/20/2046 | 3713 | 3670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-80, Class BJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/20/2047 | 94439 | 87177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-80, Class LO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 05/20/2047<sup>(b)</sup> | 118769 | 83772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H06, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.55%, 02/20/2067<sup>(a)</sup> | 83864 | 83517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H14, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.47%, 06/20/2067<sup>(a)</sup> | 123765 | 122668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H15, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.47%, 06/20/2067<sup>(a)</sup> | 233924 | 232598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H16, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.767%, 05/20/2066<sup>(a)</sup> | 25891 | 25788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H17, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 08/20/2067<sup>(a)</sup> | 32587 | 32445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H22, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12M US L + 0.22%, 11/20/2067<sup>(a)</sup> | 266669 | 263891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-160, Class AD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2048 | 259245 | 249673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-36, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/20/2048 | 269525 | 256542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-37, Class C, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/20/2046 | 165606 | 155928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H07, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.30%, 05/20/2068<sup>(a)</sup> | 191585 | 191203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H09, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12M US L + 0.50%, 04/20/2068<sup>(a)</sup> | 434768 | 427999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1, Class EY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/20/2048 | 1066499 | 1020935 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-103, Class EK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/20/2049 | $2921162 | $2814666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-111, Class TE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/20/2049 | 47389 | 42343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-128, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2049 | 300000 | 224066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-15, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 07/20/2048<sup>(a)</sup> | 300226 | 192267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-61, Class K, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/20/2048 | 41619 | 40712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-H01, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 10/20/2068<sup>(a)</sup> | 83532 | 83211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-H04, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/20/2069 | 135004 | 130819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-H05, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.43%, 04/20/2069<sup>(a)</sup> | 124305 | 124381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-H08, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.65%, 05/20/2069<sup>(a)</sup> | 1891316 | 1842497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-122, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/20/2050 | 251572 | 162511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-125, Class GC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 08/20/2050 | 43770 | 38047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-125, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/20/2050 | 362069 | 316344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-127, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 08/20/2050 | 554737 | 250413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-134, Class ZU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/20/2050 | 108806 | 67736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-148, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 10/20/2050 | 222796 | 110405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-149, Class LU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 10/20/2050 | 199998 | 90752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-187, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/20/2050 | 161589 | 75221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-32, Class UM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/20/2050 | 1317422 | 1151385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5, Class LC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/2049 | 181152 | 173092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-61, Class AB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2048 | 81768 | 79892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-62, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2050 | 499844 | 453931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-62, Class WD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.603%, 05/20/2050<sup>(a)</sup> | 488945 | 297417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-83, Class ML, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/20/2050 | 142227 | 133259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-98, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2050 | 1334378 | 1224498 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H01, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.50%, 01/20/2070<sup>(a)</sup> | $94187 | $93861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H04, Class FP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 06/20/2069<sup>(a)</sup> | 246844 | 244530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H12, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.10%, 06/20/2070<sup>(a)</sup> | 1031001 | 1038833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H13, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.45%, 07/20/2070<sup>(a)</sup> | 129884 | 126091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-104, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 06/20/2051 | 120000 | 62903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-116, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/20/2051 | 326338 | 226076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-116, Class WZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/20/2051 | 368768 | 238397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-142, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.750%, 08/20/2051 | 303204 | 174109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-146, Class PO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 07/20/2051<sup>(b)</sup> | 338715 | 117602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-177, Class GW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2051 | 166577 | 140648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-205, Class NK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 11/20/2051 | 215000 | 168978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-25, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 02/20/2051 | 816375 | 684598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-8, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 01/20/2051 | 151953 | 69969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-H01, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.25%, 11/20/2070<sup>(a)</sup> | 2910891 | 2927883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-H12, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.599%, 07/20/2071<sup>(a)</sup> | 276621 | 273693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-100, Class EB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/20/2052 | 1729475 | 1426438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-112, Class BM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/20/2052 | 344718 | 259585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-126, Class BY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2052 | 960094 | 691287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-127, Class UL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/20/2052 | 309557 | 176912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-127, Class WC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/20/2052 | 329622 | 250293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-20, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/20/2052 | 106630 | 53781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-51, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/20/2052 | 290331 | 171069 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-68, Class MD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/20/2052 | $223000 | $178124 |
|  |  | 54380654 |
| **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |  |
| **(Cost $180,529,962)** |  | 175055482 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES (3.41%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (3.41%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (3.41%)** |
| Fannie Mae-Aces |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-M1, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.460%, 02/25/2031<sup>(a)</sup> | 102786 | 102559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-M2, Class A3F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.345%, 09/25/2031<sup>(a)</sup> | 234825 | 232835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-M6, Class 1AC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.352%, 02/25/2043<sup>(a)</sup> | 11318139 | 10824068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-M11, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.944%, 07/25/2039 | 168512 | 153544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-M12, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.546%, 08/25/2030 | 2096275 | 2054260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-M15, Class 1A2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.700%, 01/25/2036 | 370000 | 347044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-M10, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 04/25/2030 | 1379245 | 1269964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-M14, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.304%, 06/25/2029 | 38367 | 37116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-M24, Class 2XA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.141%, 03/25/2031<sup>(a)(d)</sup> | 4226962 | 182005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-M1, Class A2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.444%, 10/25/2029 | 300000 | 272440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-M10, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.780%, 12/25/2030<sup>(a)(d)</sup> | 785401 | 78468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-M10, Class X4, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.885%, 07/25/2032<sup>(a)(d)</sup> | 47029704 | 2845640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-M13, Class X2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.231%, 09/25/2030<sup>(a)(d)</sup> | 7678882 | 276276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-M5, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.368%, 01/01/2034<sup>(a)</sup> | 305019 | 278181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-M5, Class A3, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.368%, 01/01/2034<sup>(a)</sup> | 1395000 | 1182419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-M8, Class A2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.937%, 12/25/2031<sup>(a)</sup> | 100000 | 82509 |
|  |  | 20219328 |
| Freddie Mac Multifamily Structured Pass Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-KS07, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.018%, 09/25/2025 | 2759432 | 2656733 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-KS07, Class X, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.625%, 09/25/2025<sup>(a)(d)</sup> | $66316600 | $985783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-K153, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.275%, 10/25/2031<sup>(a)(d)</sup> | 100864709 | 1634624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-J19L, Class AFL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.23%, 11/25/2027<sup>(a)</sup> | 31014 | 30794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-K154, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.297%, 11/25/2032<sup>(a)(d)</sup> | 137093418 | 2857808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-K156, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.071%, 06/25/2033<sup>(a)(d)</sup> | 625072780 | 5005208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-K158, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.071%, 10/25/2033<sup>(a)(d)</sup> | 351267233 | 3206508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-KL4F, Class A2AS, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.683%, 10/25/2025<sup>(a)</sup> | 256000 | 250924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-KLU2, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.954%, 08/25/2029<sup>(a)(d)</sup> | 86938534 | 4009188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-Q013, Class APT2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.168%, 04/25/2027<sup>(a)</sup> | 3419651 | 3062183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-KLU3, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.937%, 01/25/2031<sup>(a)(d)</sup> | 177075877 | 19241489 |
|  |  | 42941242 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $67,564,390)** |  | 63160570 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| **MORTGAGE-BACKED SECURITIES (7.23%)** | **MORTGAGE-BACKED SECURITIES (7.23%)** | **MORTGAGE-BACKED SECURITIES (7.23%)** |
| Fannie Mae Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-386375, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.790%, 08/01/2028 | 716618 | 714252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-843080, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/01/2034 | 118932 | 119401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 02/01/2036 | 117000 | 117997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-943003, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/01/2047 | 77711 | 76846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/01/2039 | 376458 | 368241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-463331, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 08/01/2029 | 550213 | 568949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-930895, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/01/2039 | 163761 | 160084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-931707, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/01/2039 | 110059 | 107658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-958348, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.440%, 04/01/2027 | 132940 | 131596 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-958878, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 07/01/2027 | $1316442 | $1331799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.210%, 12/01/2029 | 222560 | 228647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-468477, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.590%, 08/01/2026 | 396778 | 401445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-469013, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.470%, 08/01/2026 | 998857 | 1033311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-AH9290, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/01/2041 | 40161 | 38240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/01/2042 | 108286 | 100009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/01/2043 | 134360 | 124276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.040%, 12/01/2030 | 1196123 | 1122409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/01/2042 | 62171 | 58082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-470020, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.200%, 01/01/2030 | 1557772 | 1567758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-AM0279, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.210%, 08/01/2027 | 290224 | 289253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-AM1387, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.260%, 11/01/2032 | 109491 | 105835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-MA1214, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/01/2042 | 640680 | 591698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/01/2043 | 123906 | 114607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/01/2043 | 385119 | 355646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/01/2043 | 240575 | 222161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/01/2043 | 189791 | 175418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.380%, 05/01/2028 | 265464 | 258033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.410%, 09/01/2028 | 86148 | 87855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AM3154, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 05/01/2028 | 354468 | 350971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AM4329, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.870%, 10/01/2025 | 193516 | 191539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AM4781, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.180%, 11/01/2028 | 1199806 | 1213988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AM4991, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.970%, 12/01/2025 | 159180 | 157890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AR2289, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/01/2033 | 224698 | 210664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AT9663, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/01/2043 | 480958 | 421105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-MA1586, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/01/2043 | 193127 | 178634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.300%, 11/01/2026 | 259764 | 253184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.730%, 07/01/2034 | 620295 | 606135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.060%, 03/01/2030 | 457872 | 459540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-AM4198, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.550%, 03/01/2024 | 94184 | 92687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-AM7274, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/01/2024 | 1200000 | 1164508 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.100%, 09/01/2025 | $155404 | $150614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.390%, 07/01/2035 | 202720 | 191074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.600%, 02/01/2040 | 239887 | 232150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.610%, 08/01/2030 | 300000 | 293438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/01/2041 | 129766 | 127823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/01/2045 | 153712 | 154950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AM8666, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.960%, 06/01/2030 | 174759 | 164385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AM8918, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 09/01/2030 | 731000 | 694345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AM9173, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.110%, 06/01/2027 | 237448 | 229216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.160%, 07/01/2036<sup>(a)</sup> | 1686764 | 1535736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AL8405, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/01/2041 | 180884 | 178264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN0665, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.070%, 02/01/2026 | 192737 | 186381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN0774, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.210%, 01/01/2026 | 173300 | 168713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN2228, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.520%, 08/01/2026 | 185382 | 175007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN3542, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.410%, 11/01/2046 | 355973 | 317436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN3749, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.520%, 12/01/2026 | 451830 | 426838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-BC0943, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/01/2046 | 380959 | 365378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.010%, 07/01/2027 | 262382 | 252686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.160%, 07/01/2027 | 148936 | 143437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.210%, 11/01/2032 | 100000 | 92126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/01/2047 | 327187 | 305689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN4431, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.220%, 01/01/2027 | 85000 | 82575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN4469, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.640%, 01/01/2029 | 679066 | 664461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN4529, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.620%, 01/01/2027 | 815346 | 803729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN4606, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.510%, 02/01/2027 | 779178 | 759756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN4833, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.320%, 04/01/2027 | 95000 | 92629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN5279, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.340%, 04/01/2029 | 451285 | 431151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN5742, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.190%, 05/01/2030 | 136305 | 129074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN5796, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.030%, 06/01/2027 | 268198 | 257516 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN6304, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.100%, 10/01/2027 | $275000 | $263960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN6670, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.210%, 09/01/2027 | 1897962 | 1824043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7060, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.930%, 10/01/2027 | 1780000 | 1695537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7234, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.010%, 12/01/2027 | 998735 | 954998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7384, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.880%, 12/01/2027 | 48194 | 45824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7547, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.370%, 11/01/2027 | 1089282 | 1047386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7823, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.890%, 12/01/2027 | 235000 | 223388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-CA0522, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/01/2047 | 239640 | 219823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/01/2033 | 49405 | 46897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/01/2048 | 520661 | 470146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/01/2028 | 130000 | 126567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.660%, 05/01/2033 | 700000 | 680356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.740%, 07/01/2028 | 175000 | 171673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.940%, 10/01/2036 | 327361 | 316536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.010%, 12/01/2030 | 300000 | 298795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/01/2041 | 355239 | 361908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-109435, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.890%, 08/01/2028 | 1873267 | 1851797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-387770, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.625%, 07/01/2028 | 2570000 | 2512775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-387853, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.455%, 08/01/2025 | 175000 | 170634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-387983, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.630%, 08/01/2028 | 2000000 | 1952007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN8272, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.170%, 02/01/2028 | 100000 | 96243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN8486, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.330%, 04/01/2030 | 323199 | 306387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN8493, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.300%, 02/01/2030 | 421250 | 396016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN8982, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.440%, 05/01/2028 | 1000000 | 969821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN9038, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.460%, 05/01/2028 | 135000 | 131020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN924, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.210%, 05/01/2033 | 569184 | 575395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN9976, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.960%, 02/01/2030 | 470000 | 464763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-BL0212, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.820%, 07/01/2027 | 43690 | 43314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.520%, 11/01/2029 | 144296 | 131273 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/01/2049 | $97862 | $88368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.710%, 04/01/2031 | 1900000 | 1843173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 07/01/2048 | 717821 | 708325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.070%, 11/01/2026 | 133365 | 132719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/01/2058 | 496884 | 495002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/01/2049 | 208109 | 217932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BI2928, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.410%, 07/01/2027 | 814339 | 796328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL1188, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.480%, 02/01/2026 | 197115 | 192570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL1300, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.200%, 01/01/2029 | 1375000 | 1381470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL1451, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.760%, 02/01/2029 | 685000 | 672383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL1567, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.590%, 02/01/2029 | 1775000 | 1731135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL1596, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.480%, 03/01/2029 | 164064 | 159524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL2236, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.640%, 10/01/2029 | 1091433 | 1053745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL2356, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.020%, 05/01/2026 | 165000 | 158294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL2460, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.400%, 05/01/2029 | 575638 | 555580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL3182, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.980%, 07/01/2029 | 249127 | 234796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BM6011, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.285%, 11/01/2026<sup>(a)</sup> | 58603 | 57062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BM6152, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/01/2044 | 1117203 | 1077158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-MA3784, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/01/2049 | 2611745 | 2437556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.400%, 11/01/2032 | 7945000 | 6217454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.150%, 09/01/2029 | 500000 | 443606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/01/2050 | 187646 | 174375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.030%, 12/01/2028 | 100000 | 89117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.910%, 06/01/2032 | 1181000 | 1156984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.110%, 09/01/2032 | 1815000 | 1781883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.140%, 08/01/2032 | 2038000 | 2005584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.240%, 07/01/2032 | 1687000 | 1681952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 10/01/2032 | 7898000 | 8296351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.300%, 10/01/2032 | 8632000 | 8963078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.440%, 12/01/2032 | 2122000 | 2208574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.620%, 11/01/2032 | 2901983 | 3021668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.730%, 11/01/2032 | 16500000 | 17297288 |
|  |  | 111159244 |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2936, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 03/15/2029<sup>(a)</sup> | 19624 | 19507 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5129, Class KC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/25/2049 | $165443 | $146447 |
|  |  | 165954 |
| Freddie Mac Gold Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/01/2035 | 173805 | 169524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/01/2036 | 52205 | 53128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/01/2037 | 65386 | 65395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/01/2042 | 103098 | 96938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-G80393, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/20/2036 | 137643 | 137952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-T65180, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/01/2043 | 115356 | 106634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-U49046, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/01/2029 | 42712 | 42903 |
|  |  | 672474 |
| Freddie Mac Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/01/2045 | 56832 | 53089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.190%, 06/01/2034 | 147602 | 123090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/01/2046 | 4100644 | 3786485 |
|  |  | 3962664 |
| Ginnie Mae I Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/15/2040 | 338911 | 337860 |
| Ginnie Mae II Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 04/20/2038 | 146803 | 144202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2040 | 82548 | 80645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/20/2040 | 93725 | 91565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/20/2040 | 160148 | 157889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/20/2040 | 270363 | 270406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 2.071%, 08/20/2060<sup>(a)</sup> | 376112 | 385995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2041 | 257365 | 255562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/20/2041 | 204942 | 204606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/20/2042 | 343027 | 322209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/20/2042 | 78448 | 73687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/20/2042 | 135546 | 127319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2042 | 86388 | 81147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/20/2042 | 92439 | 86850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/20/2042 | 73546 | 69092 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/2042 | $87362 | $82059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/20/2042 | 95766 | 89952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/20/2042 | 25433 | 24853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/20/2042 | 103053 | 100704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2042 | 94498 | 93165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-5302, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2042 | 219243 | 205936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 02/20/2043 | 140563 | 125509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 04/20/2033 | 316614 | 303098 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/20/2043 | 228985 | 215083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-MA1149, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2043 | 13261 | 12116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2035 | 255997 | 249182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.750%, 05/20/2045 | 104187 | 101365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/20/2046 | 225541 | 209819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2046 | 244608 | 224995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2046 | 481195 | 459034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2045 | 228329 | 228695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/20/2046 | 165530 | 166529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-MA3588, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/20/2046 | 264630 | 248619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-MA3793, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/20/2046 | 753636 | 707892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-MA3865, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/20/2046 | 472627 | 443912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/20/2032 | 300722 | 274184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/20/2047 | 782602 | 740772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 01/20/2048 | 69361 | 66508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2048 | 2548812 | 2484512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2048 | 2832593 | 2761389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2048 | 306872 | 308457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/20/2048 | 465357 | 474908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/20/2049 | 149009 | 138742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/20/2049 | 104950 | 100438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2049 | 423871 | 423307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/20/2049 | 199605 | 204006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/20/2049 | 314761 | 325323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-784688, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2049 | 920936 | 932127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-MA5864, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/20/2049 | 21969 | 20270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-MA5920, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2049 | 15842 | 14376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-MA5936, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/20/2049 | 51034 | 54731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/20/2050 | 197718 | 172547 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/20/2050 | $529463 | $516338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/20/2050 | 868286 | 830660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2050 | 167130 | 160048 |
|  |  | 17647334 |
| **TOTAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $137,632,642)** |  | 133945530 |
| **CORPORATE BONDS (43.38%)** |  |  |
| *Aerospace & Defense (**1.70%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Boeing Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20%, 02/04/2026 | 10030000 | 9277061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.95%, 08/01/2059 | 7777000 | 5794089 |
| &nbsp;&nbsp;&nbsp;TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 12/15/2025<sup>(e)</sup> | 16061000 | 16392338 |
| **Total *Aerospace & Defense*** |  | 31463488 |
| *Airlines (**1.37%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Alaska Airlines 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.80%, 08/15/2027<sup>(e)</sup> | 5310621 | 5175610 |
| &nbsp;&nbsp;&nbsp;Alaska Airlines 2020-1 Class B Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 08/15/2025<sup>(e)</sup> | 4442363 | 4460853 |
| &nbsp;&nbsp;&nbsp;British Airways 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 11/15/2032<sup>(e)</sup> | 1203332 | 1111996 |
| &nbsp;&nbsp;&nbsp;Southwest Airlines Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 05/04/2025 | 7540000 | 7593191 |
| &nbsp;&nbsp;&nbsp;United Airlines 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 20-1 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 10/15/2027 | 6907753 | 6999670 |
| **Total *Airlines*** |  | 25341320 |
| *Apparel & Textile Products (**0.24%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Hanesbrands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 05/15/2026<sup>(e)</sup> | 4750000 | 4428449 |
| *Automobiles Manufacturing (**2.83%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.38%, 11/13/2025 | 6500000 | 6063395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/13/2030 | 3483000 | 3046598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.35%, 03/06/2030 | 8700000 | 9142656 |
| &nbsp;&nbsp;&nbsp;General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.40%, 01/09/2033 | 8646000 | 8996577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 1.30%, 04/07/2025<sup>(a)</sup> | 14607000 | 14491075 |
| &nbsp;&nbsp;&nbsp;Nissan Motor Co., Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.81%, 09/17/2030<sup>(e)</sup> | 7650000 | 6921325 |
| &nbsp;&nbsp;&nbsp;Volkswagen Group of America Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.88%, 11/22/2023<sup>(e)</sup> | 995000 | 960318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.95%, 06/06/2025<sup>(e)</sup> | 3000000 | 2929074 |
| **Total *Automobiles Manufacturing*** |  | 52551018 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *Banks (**4.17%**)* | *Banks (**4.17%**)* | *Banks (**4.17%**)* |
| &nbsp;&nbsp;&nbsp;Associated Bank NA/Green Bay WI |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 01/15/2025 | $934000 | $912037 |
| &nbsp;&nbsp;&nbsp;Citizens Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.45%, 10/24/2025<sup>(a)</sup> | 5154000 | 5230537 |
| &nbsp;&nbsp;&nbsp;Cooperatieve Rabobank UA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.75%, 07/21/2026 | 4500000 | 4304129 |
| &nbsp;&nbsp;&nbsp;Danske Bank A/S |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 01/12/2024<sup>(e)</sup> | 1000000 | 1000508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.35%, 09/11/2026<sup>(a)(e)</sup> | 6500000 | 5844389 |
| &nbsp;&nbsp;&nbsp;First Horizon Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.55%, 05/26/2023 | 2500000 | 2489432 |
| &nbsp;&nbsp;&nbsp;First-Citizens Bank & Trust Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 3.83%, 06/19/2024<sup>(a)</sup> | 16202000 | 16113174 |
| &nbsp;&nbsp;&nbsp;FNB Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20%, 02/24/2023 | 1800000 | 1796066 |
| &nbsp;&nbsp;&nbsp;Intesa Sanpaolo SpA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 2.75%, 06/01/2042<sup>(a)(e)</sup> | 1800000 | 1304775 |
| &nbsp;&nbsp;&nbsp;M&T Bank Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.85%, 01/27/2034<sup>(a)</sup> | 9059000 | 9042834 |
| &nbsp;&nbsp;&nbsp;Manufacturers & Traders Trust Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 11/21/2025 | 3250000 | 3306898 |
| &nbsp;&nbsp;&nbsp;Truist Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.30%, 05/15/2026 | 4316000 | 4113327 |
| &nbsp;&nbsp;&nbsp;UniCredit SpA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.20%, 06/03/2027<sup>(a)(e)</sup> | 14303000 | 12617687 |
| &nbsp;&nbsp;&nbsp;US Bancorp |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.60%, 02/01/2034<sup>(a)</sup> | 9000000 | 8957589 |
| **Total *Banks*** |  | 77033382 |
| *Cable & Satellite (**0.90%**)* |  |  |
| &nbsp;&nbsp;&nbsp;CCO Holdings LLC / CCO Holdings Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 05/01/2032 | 4000000 | 3315080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 06/01/2033<sup>(e)</sup> | 5978000 | 4865793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 02/01/2032<sup>(e)</sup> | 5300000 | 4512447 |
| &nbsp;&nbsp;&nbsp;Charter Communications Operating LLC / Charter Communications Operating Capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.85%, 04/01/2061 | 6363000 | 4045888 |
| **Total *Cable & Satellite*** |  | 16739208 |
| *Casinos & Gaming (**1.09%**)* |  |  |
| &nbsp;&nbsp;&nbsp;MGM Resorts International |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/01/2025 | 12855000 | 12964378 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;Penn Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 01/15/2027<sup>(e)</sup> | $7595000 | $7146894 |
| **Total *Casinos & Gaming*** |  | 20111272 |
| *Chemicals (**1.06%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Avient Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 05/15/2025<sup>(e)</sup> | 4130000 | 4092068 |
| &nbsp;&nbsp;&nbsp;Celanese US Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.17%, 07/15/2027 | 4973000 | 5040536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.38%, 07/15/2032 | 6175000 | 6225965 |
| &nbsp;&nbsp;&nbsp;International Flavors & Fragrances, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.83%, 10/15/2027<sup>(e)</sup> | 4966000 | 4300467 |
| **Total *Chemicals*** |  | 19659036 |
| *Commercial Finance (**1.80%**)* |  |  |
| &nbsp;&nbsp;&nbsp;AerCap Ireland Capital DAC / AerCap Global Aviation Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 07/15/2025 | 17268000 | 17592229 |
| &nbsp;&nbsp;&nbsp;Avolon Holdings Funding, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.53%, 11/18/2027<sup>(e)</sup> | 2830000 | 2444262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 04/15/2026<sup>(e)</sup> | 3100000 | 2945476 |
| &nbsp;&nbsp;&nbsp;Park Aerospace Holdings, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 03/15/2023<sup>(e)</sup> | 10304000 | 10293836 |
| **Total *Commercial Finance*** |  | 33275803 |
| *Consumer Finance (**1.98%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Ally Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.45%, 10/02/2023 | 990000 | 966805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 11/01/2031 | 4000000 | 4409938 |
| &nbsp;&nbsp;&nbsp;Capital One Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.60%, 02/01/2034<sup>(a)</sup> | 8680000 | 8753167 |
| &nbsp;&nbsp;&nbsp;Discover Financial Services |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.70%, 11/29/2032 | 12930000 | 13816974 |
| &nbsp;&nbsp;&nbsp;Synchrony Financial |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.70%, 08/04/2026 | 3192000 | 2971280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 08/15/2024 | 1700000 | 1668495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.25%, 02/02/2033 | 4000000 | 4009350 |
| **Total *Consumer Finance*** |  | 36596009 |
| *Consumer Products (**0.57%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Church & Dwight Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.60%, 11/15/2032 | 4500000 | 4841421 |
| &nbsp;&nbsp;&nbsp;GSK Consumer Healthcare Capital UK PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.13%, 03/24/2025 | 2983000 | 2870441 |
| &nbsp;&nbsp;&nbsp;GSK Consumer Healthcare Capital US LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.38%, 03/24/2027 | 2983000 | 2825174 |
| **Total *Consumer Products*** |  | 10537036 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *Containers & Packaging (**0.16%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Owens-Brockway Glass Container, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 08/15/2023<sup>(e)</sup> | $2957000 | $2948961 |
| *Department Stores (**0.21%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Nordstrom, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series WI |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.30%, 04/08/2024 | 4000000 | 3800940 |
| *Diversified Banks (**3.31%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.37%, 10/24/2031<sup>(a)</sup> | 17418000 | 14028464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.99%, 11/10/2028<sup>(a)</sup> | 5000000 | 5276028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 1.20%, 09/21/2036<sup>(a)</sup> | 5649000 | 4413001 |
| &nbsp;&nbsp;&nbsp;Citigroup, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.30%, 11/20/2026 | 11435000 | 11241855 |
| &nbsp;&nbsp;&nbsp;HSBC Holdings PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.51%, 12/09/2025<sup>(a)</sup> | 3750000 | 3677549 |
| &nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.07%, 12/15/2025<sup>(a)</sup> | 17162000 | 17306949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.56%, 04/26/2028<sup>(a)</sup> | 4972000 | 4875681 |
| **Total *Diversified Banks*** |  | 60819527 |
| *Electrical Equipment Manufacturing (**0.17%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Trimble, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 12/01/2024 | 3254000 | 3231755 |
| *Entertainment Content (**0.48%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Discovery Communications LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 09/15/2055 | 2709000 | 1867240 |
| &nbsp;&nbsp;&nbsp;Warnermedia Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.28%, 03/15/2032<sup>(e)</sup> | 5000000 | 4454063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.14%, 03/15/2052<sup>(e)</sup> | 3205000 | 2666225 |
| **Total *Entertainment Content*** |  | 8987528 |
| *Entertainment Resources (**0.40%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 05/01/2025<sup>(e)</sup> | 4484000 | 4456233 |
| &nbsp;&nbsp;&nbsp;Vail Resorts, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 05/15/2025<sup>(e)</sup> | 2983000 | 3000712 |
| **Total *Entertainment Resources*** |  | 7456945 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *Exploration & Production (**0.69%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Hilcorp Energy I LP / Hilcorp Finance Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 04/15/2030<sup>(e)</sup> | $1682000 | $1565645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 11/01/2028<sup>(e)</sup> | 5537000 | 5325016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 04/15/2032<sup>(e)</sup> | 1682000 | 1554399 |
| &nbsp;&nbsp;&nbsp;Occidental Petroleum Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 09/15/2031 | 4000000 | 4535180 |
| **Total *Exploration & Production*** |  | 12980240 |
| *Financial Services (**3.08%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Carlyle Finance Subsidiary LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 09/19/2029<sup>(e)</sup> | 2000000 | 1756256 |
| &nbsp;&nbsp;&nbsp;Credit Suisse Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.044%, 06/05/2026<sup>(a)(e)</sup> | 3000000 | 2637139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 3.92%, 08/12/2033<sup>(a)(e)</sup> | 7000000 | 6726399 |
| &nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.50%, 09/10/2024<sup>(a)</sup> | 3976000 | 3964511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.114%, 02/24/2028<sup>(a)</sup> | 7952000 | 7294939 |
| &nbsp;&nbsp;&nbsp;Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.00%, 01/21/2028<sup>(a)</sup> | 4970000 | 4533697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.36%, 09/16/2036<sup>(a)</sup> | 12446000 | 9656411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.73%, 02/01/2029<sup>(a)</sup> | 2985000 | 3019803 |
| &nbsp;&nbsp;&nbsp;Raymond James Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.65%, 04/01/2030 | 9000000 | 8958399 |
| &nbsp;&nbsp;&nbsp;UBS Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.83%, 07/30/2024<sup>(a)(e)</sup> | 1000000 | 979169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.75%, 05/12/2028<sup>(a)(e)</sup> | 2983000 | 2933915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 2.20%, 01/12/2034<sup>(a)(e)</sup> | 5000000 | 5270311 |
| **Total *Financial Services*** |  | 57730949 |
| *Food & Beverage (**0.54%**)* |  |  |
| &nbsp;&nbsp;&nbsp;JDE Peet's NV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.80%, 09/24/2024<sup>(e)</sup> | 1984000 | 1833320 |
| &nbsp;&nbsp;&nbsp;Kraft Heinz Foods Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.88%, 05/15/2027 | 4255000 | 4147932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 03/01/2031 | 4226000 | 4083810 |
| **Total *Food & Beverage*** |  | 10065062 |
| *Hardware (**0.47%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Teledyne Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.60%, 04/01/2026 | 4201000 | 3838020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.75%, 04/01/2031 | 5969000 | 5079079 |
| **Total *Hardware*** |  | 8917099 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *Health Care Facilities & Services (**0.84%**)* |  |  |
| &nbsp;&nbsp;&nbsp;HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.38%, 07/15/2031 | $11927000 | $9697741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 02/01/2025 | 3000000 | 3012638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 09/01/2028 | 3000000 | 3054835 |
| **Total *Health Care Facilities & Services*** |  | 15765214 |
| *Homebuilders (**0.42%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Shea Homes LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 04/01/2029 | 3500000 | 3031683 |
| &nbsp;&nbsp;&nbsp;Tri Pointe Homes, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.70%, 06/15/2028 | 5000000 | 4695950 |
| **Total *Homebuilders*** |  | 7727633 |
| *Industrial Other (**0.51%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Honeywell International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.95%, 02/15/2028 | 4000000 | 4158951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 02/15/2033 | 3207000 | 3379692 |
| &nbsp;&nbsp;&nbsp;Quanta Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.95%, 10/01/2024 | 1984000 | 1847447 |
| **Total *Industrial Other*** |  | 9386090 |
| *Managed Care (**0.23%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Humana, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.65%, 08/03/2023 | 4265000 | 4170967 |
| *Medical Equipment & Devices Manufacturing (**0.82%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Alcon Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 12/06/2032<sup>(e)</sup> | 8670000 | 9082997 |
| &nbsp;&nbsp;&nbsp;PerkinElmer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.55%, 09/15/2023 | 3347000 | 3245778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.85%, 09/15/2024 | 2977000 | 2786998 |
| **Total *Medical Equipment & Devices Manufacturing*** |  | 15115773 |
| *Metals & Mining (**0.53%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Steel Dynamics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 12/15/2026 | 9805000 | 9738312 |
| *Pipeline (**4.17%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Buckeye Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 12/01/2027 | 2040000 | 1847822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.15%, 07/01/2023 | 3800000 | 3783793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 03/01/2028<sup>(e)</sup> | 8958000 | 8186338 |
| &nbsp;&nbsp;&nbsp;Cheniere Energy Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 01/31/2032 | 8000000 | 6689280 |
| &nbsp;&nbsp;&nbsp;Flex Intermediate Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.36%, 06/30/2031<sup>(e)</sup> | 12936000 | 10561499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.32%, 12/30/2039<sup>(e)</sup> | 9061000 | 6969415 |
| &nbsp;&nbsp;&nbsp;Midwest Connector Capital Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.90%, 04/01/2024<sup>(e)</sup> | 7311000 | 7145993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 04/01/2029<sup>(e)</sup> | 6974000 | 6529655 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;Targa Resources Partners LP / Targa Resources Partners Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 07/15/2027 | $16103000 | $16501307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 01/15/2029 | 8740000 | 8985768 |
| **Total *Pipeline*** |  | 77200870 |
| *Power Generation (**1.15%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Alexander Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.84%, 11/15/2023<sup>(e)</sup> | 6118000 | 5899705 |
| &nbsp;&nbsp;&nbsp;Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.13%, 05/13/2025<sup>(e)</sup> | 6961000 | 6835470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 09/01/2026<sup>(e)</sup> | 8626000 | 8411839 |
| **Total *Power Generation*** |  | 21147014 |
| *Property & Casualty Insurance (**0.11%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Fairfax US, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 08/13/2024<sup>(e)</sup> | 2000000 | 1968942 |
| *Publishing & Broadcasting (**1.21%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Gray Television, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 05/15/2027<sup>(e)</sup> | 4200000 | 3826683 |
| &nbsp;&nbsp;&nbsp;Nexstar Media, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 11/01/2028<sup>(e)</sup> | 8000000 | 7231639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 07/15/2027<sup>(e)</sup> | 4376000 | 4174616 |
| &nbsp;&nbsp;&nbsp;Scripps Escrow II, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.88%, 01/15/2029<sup>(e)</sup> | 2888000 | 2415962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 01/15/2031<sup>(e)</sup> | 5478000 | 4427594 |
| **Total *Publishing & Broadcasting*** |  | 22076494 |
| *Real Estate (**0.75%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Cushman & Wakefield US Borrower LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/15/2028<sup>(e)</sup> | 2000000 | 1933370 |
| &nbsp;&nbsp;&nbsp;VICI Properties LP / VICI Note Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 06/15/2025<sup>(e)</sup> | 5500000 | 5329245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 05/01/2024<sup>(e)</sup> | 6649000 | 6643240 |
| **Total *Real Estate*** |  | 13905855 |
| *Refining & Marketing (**0.65%**)* |  |  |
| &nbsp;&nbsp;&nbsp;HF Sinclair Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 10/01/2030 | 9494000 | 8623050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 04/01/2026 | 3177000 | 3206561 |
| **Total *Refining & Marketing*** |  | 11829611 |
| *Retail - Consumer Discretionary (**0.26%**)* |  |  |
| &nbsp;&nbsp;&nbsp;AutoZone, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 02/01/2033 | 4975000 | 4951157 |
| *Semiconductors (**0.21%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Microchip Technology, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.97%, 02/15/2024 | 3985000 | 3815584 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *Software & Services (**0.46%**)* |  |  |
| &nbsp;&nbsp;&nbsp;CoStar Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.80%, 07/15/2030<sup>(e)</sup> | $10000000 | $8458650 |
| *Transportation & Logistics (**0.32%**)* |  |  |
| &nbsp;&nbsp;&nbsp;FedEx Corp. 2020-1 Class AA Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.88%, 02/20/2034 | 7060491 | 5861571 |
| *Utilities (**1.85%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Atmos Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.63%, 03/09/2023 | 5062000 | 5041178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3M US L + 0.38%, 03/09/2023<sup>(a)</sup> | 1993000 | 1992937 |
| &nbsp;&nbsp;&nbsp;Dominion Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.07%, 08/15/2024<sup>(c)</sup> | 1500000 | 1455981 |
| &nbsp;&nbsp;&nbsp;National Rural Utilities Cooperative Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3M US L + 2.91%, 04/30/2043<sup>(a)</sup> | 4331000 | 4159036 |
| &nbsp;&nbsp;&nbsp;ONE Gas, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.10%, 03/11/2024 | 7521000 | 7210986 |
| &nbsp;&nbsp;&nbsp;Pacific Gas and Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 02/16/2024 | 2984000 | 2929515 |
| &nbsp;&nbsp;&nbsp;Sempra Energy |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 2.868%, 04/01/2052<sup>(a)</sup> | 4268000 | 3742380 |
| &nbsp;&nbsp;&nbsp;Southern California Edison Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.10%, 04/01/2024 | 2899000 | 2769868 |
| &nbsp;&nbsp;&nbsp;Southern Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.11%, 08/01/2027 | 4972000 | 5061390 |
| **Total *Utilities*** |  | 34363271 |
| *Waste & Environment Services & Equipment (**0.35%**)* |  |  |
| &nbsp;&nbsp;&nbsp;GFL Environmental, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.13%, 12/15/2026<sup>(e)</sup> | 6644000 | 6470758 |
| *Wireless Telecommunications Services (**1.27%**)* |  |  |
| &nbsp;&nbsp;&nbsp;AT&T, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.35%, 11/01/2066 | 691884 | 16612135 |
| &nbsp;&nbsp;&nbsp;Sprint LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 09/15/2023 | 6792000 | 6900489 |
| **Total *Wireless Telecommunications Services*** |  | 23512624 |
| *Wireline Telecommunications Services (**0.05%**)* |  |  |
| &nbsp;&nbsp;&nbsp;NTT Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.37%, 03/03/2023<sup>(e)</sup> | 996000 | 992401 |
| **TOTAL CORPORATE BONDS** |  |  |
| **(Cost $842,598,845)** |  | 803133818 |
| **GOVERNMENT BONDS (31.19%)** |  |  |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| *U.S. Treasury Bonds (**31.19%**)* |  |  |
| &nbsp;&nbsp;&nbsp;United States Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.38%, 02/15/2042 | $47412000 | $38370384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.75%, 08/15/2032 | 25376000 | 23879212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 08/15/2052 | 52787000 | 46720619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 05/15/2042 | 52853000 | 49054191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.38%, 08/15/2042 | 49862000 | 47154649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/2042 | 34772000 | 35940122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/2052 | 88436000 | 94585065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 11/15/2032 | 13840000 | 14562275 |
| &nbsp;&nbsp;&nbsp;United States Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.75%, 08/31/2026 | 51299000 | 46161085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.13%, 01/15/2025 | 8300000 | 7822750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.25%, 12/31/2026 | 45295000 | 41250298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.50%, 01/31/2027 | 46625000 | 42828523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.63%, 05/31/2027 | 27785000 | 26626387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.88%, 11/30/2027 | 4089000 | 4136279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.88%, 12/31/2027 | 4684000 | 4737427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 12/31/2024 | 49344000 | 49347854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 11/15/2025 | 4270000 | 4334050 |
| **Total *U.S. Treasury Bonds*** |  | 577511170 |
| **TOTAL GOVERNMENT BONDS** |  |  |
| **(Cost $587,704,702)** |  | 577511170 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **PREFERRED STOCK (3.65%)** | **PREFERRED STOCK (3.65%)** | **PREFERRED STOCK (3.65%)** |
| ***Energy (0.27%)*** | ***Energy (0.27%)*** | ***Energy (0.27%)*** |
| &nbsp;&nbsp;&nbsp;*Pipeline (0.27%)* | &nbsp;&nbsp;&nbsp;*Pipeline (0.27%)* | &nbsp;&nbsp;&nbsp;*Pipeline (0.27%)* |
| &nbsp;&nbsp;&nbsp;Energy Transfer LP, Series B, 6.625%<sup>(f)</sup> | 2506000 | 2102359 |
| &nbsp;&nbsp;&nbsp;Energy Transfer LP, Series F, 6.750%<sup>(f)</sup> | 2985000 | 2832018 |
| **Total *Energy*** |  | 4934377 |
| ***Financials (3.38%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Banks (1.39%)* |  |  |
| &nbsp;&nbsp;&nbsp;Bank of Hawaii, Series A, 4.375%<sup>(f)</sup> | 13534 | 256469 |
| &nbsp;&nbsp;&nbsp;PNC Financial Services Group, Inc., Series O, 3M US L + 3.678%<sup>(a)(f)</sup> | 21627000 | 21682610 |
| &nbsp;&nbsp;&nbsp;PNC Financial Services Group, Inc., Series T, 3.400%<sup>(f)</sup> | 4533000 | 3875715 |
|  |  | 25814794 |
| &nbsp;&nbsp;&nbsp;*Commercial Finance (0.47%)* |  |  |
| &nbsp;&nbsp;&nbsp;AerCap Holdings NV, 5.875%<sup>(f)</sup> | 4960000 | 4757830 |
| &nbsp;&nbsp;&nbsp;Air Lease Corp., Series C, 4.125%<sup>(f)</sup> | 4960000 | 3886160 |
|  |  | 8643990 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;*Consumer Finance (0.61%)* |  |  |
| &nbsp;&nbsp;&nbsp;Ally Financial, Inc., Series C, 4.700%<sup>(f)</sup> | 2982000 | $2296140 |
| &nbsp;&nbsp;&nbsp;American Express Co., 3.550%<sup>(f)</sup> | 4674000 | 4147239 |
| &nbsp;&nbsp;&nbsp;Discover Financial Services, Series D, 6.125%<sup>(f)</sup> | 5000000 | 4969252 |
|  |  | 11412631 |
| &nbsp;&nbsp;&nbsp;*Diversified Banks (0.43%)* |  |  |
| &nbsp;&nbsp;&nbsp;Citigroup, Inc., 5.900%<sup>(f)</sup> | 7941000 | 7995879 |
| &nbsp;&nbsp;&nbsp;*Financial Services (0.48%)* |  |  |
| &nbsp;&nbsp;&nbsp;Credit Suisse Group AG, 6.375%<sup>(e)(f)</sup> | 10875000 | 8835938 |
| **Total *Financials*** |  | 62703232 |
| **TOTAL PREFERRED STOCK** |  |  |
| **(Cost $72,765,047)** |  | 67637609 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT TERM INVESTMENTS (0.76%)** | **SHORT TERM INVESTMENTS (0.76%)** | **SHORT TERM INVESTMENTS (0.76%)** | **SHORT TERM INVESTMENTS (0.76%)** |
| ***Money Market Fund (0.76%)*** | ***Money Market Fund (0.76%)*** | ***Money Market Fund (0.76%)*** | ***Money Market Fund (0.76%)*** |
| &nbsp;&nbsp;&nbsp;Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 4.14% | 14041001 | 14041001 |
| **TOTAL SHORT TERM INVESTMENTS** |  |  |  |
| **(Cost $14,041,001)** |  |  | 14041001 |

---

---

| | |
|:---|:---|
| | **Value**<br>**(Note 2)** |
| **TOTAL INVESTMENTS (99.07%)** |  |
| **(Cost $1,902,836,589)** | $1834485180 |
| **Other Assets In Excess Of Liabilities (0.93%)** | 17149445 |
| **NET ASSETS (100.00%)** | $1851634625 |

---

---

| |
|:---|
| **Investment Abbreviations:** |
| LIBOR - London Interbank Offered Rate |
| SOFR - Secured Overnight Financing Rate |
| TI – Treasury Index |
| **Reference Rates:** |
| 1M US L - 1 Month LIBOR as of January 31, 2023 was 4.57% |
| 3M US L - 3 Month LIBOR as of January 31, 2023 was 4.81% |
| 12M US L - 12 Month LIBOR as of January 31, 2023 was 5.33% |
| 1D US SOFR - 1 Day SOFR as of January 31, 2023 was 4.31% |

---

---

| |
|:---|
| 1Y US TI - 1 Year US TI as of January 31, 2023 was 4.68% |
| 5Y US TI - 5 Year US TI as of January 31, 2023 was 3.63% |

---

*<sup>(a)</sup>* *Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2023 is based on the reference rate plus the displayed spread as of the security's last reset date.*

*<sup>(b)</sup>* *Issued with zero coupon.*

*<sup>(c)</sup>* *Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of January 31, 2023.*

*<sup>(d)</sup>* *Interest only security.*

*<sup>(e)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2023, the aggregate market value of those securities was $284,188,277, representing 15.35% of net assets.*

*<sup>(f)</sup>* *Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.*

*See Notes to Quarterly Statement of Investments.*

---

| |
|:---|
| ALPS \| Smith Credit Opportunities Fund |
| **STATEMENT OF INVESTMENTS** |
| ***January 31, 2023 (Unaudited)*** |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| **COMMON STOCKS (2.71%)** |  |  |
| ***Domestic Fixed Income (1.96%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*High Yield (1.96%)* |  |  |
| &nbsp;&nbsp;&nbsp;iShares 0-5 Year High Yield Corporate Bond ETF | 130000 | $5461300 |
| **Total *Domestic Fixed Income*** |  | 5461300 |
| ***Energy (0.54%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Oil & Gas (0.54%)* |  |  |
| &nbsp;&nbsp;&nbsp;Cheniere Energy Partners LP | 27491 | 1500184 |
| **Total *Energy*** |  | 1500184 |
| ***Technology (0.21%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Tech Hardware & Semiconductors (0.21%)* |  |  |
| &nbsp;&nbsp;&nbsp;Texas Instruments, Inc. | 3234 | 573097 |
| **Total *Technology*** |  | 573097 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $7,157,315)** |  | 7534581 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| **BANK LOAN (0.23%)** |  |  |
| *Publishing & Broadcasting (**0.23%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Nexstar Media, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;09/18/2026<sup>(a)</sup> | 650187 | 651270 |
| **TOTAL BANK LOAN** |  |  |
| **(Cost $650,187)** |  | 651270 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS (0.47%)** |  |  |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-71, Class AP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 11/25/2032 | $12758 | $12700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-90, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 06/25/2042 | 57372 | 60128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-8, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.82%, 02/25/2038<sup>(a)</sup> | 137890 | 131591 |
|  |  | 204419 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2455, Class GK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/15/2032 | $16037 | $16514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2505, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/15/2032 | 31860 | 32812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2990, Class GO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 02/15/2035<sup>(b)</sup> | 34435 | 29240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3907, Class KG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/15/2040 | 2596 | 2586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4537, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/15/2045 | 23637 | 21815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4579, Class W, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.472%, 01/15/2038<sup>(a)</sup> | 87433 | 90627 |
|  |  | 193594 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-93, Class HG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/16/2039 | 15392 | 15187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-139, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2041 | 46354 | 38732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H05, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 12/20/2060<sup>(a)</sup> | 27011 | 26893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H14, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 05/20/2061<sup>(a)</sup> | 51428 | 51229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H20, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.56%, 09/20/2062<sup>(a)</sup> | 26205 | 26123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H29, Class SA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.515%, 10/20/2062<sup>(a)</sup> | 51578 | 51351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H07, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.47%, 03/20/2063<sup>(a)</sup> | 26568 | 26451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H10, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 03/20/2063<sup>(a)</sup> | 17646 | 17552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H22, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.65%, 04/20/2063<sup>(a)</sup> | 21349 | 21327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H23, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.30%, 09/20/2063<sup>(a)</sup> | 18656 | 18745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H03, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 01/20/2064<sup>(a)</sup> | 13956 | 13922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-43, Class DM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/20/2045 | 87182 | 80075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H29, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 11/20/2065<sup>(a)</sup> | 57387 | 56730 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H09, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.65%, 03/20/2066<sup>(a)</sup> | $43637 | $43535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H07, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 02/20/2068<sup>(a)</sup> | 54753 | 54493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-134, Class XB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 07/20/2048 | 125000 | 77372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-160, Class QD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 10/20/2050 | 162035 | 94255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H09, Class NF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.25%, 04/20/2070<sup>(a)</sup> | 59743 | 60250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-215, Class TZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/20/2051 | 129162 | 119896 |
|  |  | 894118 |
| **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |  |
| **(Cost $1,231,157)** |  | 1292131 |

---

---

| | | |
|:---|:---|:---|
| | **Principal<br> Amount** | **Value<br> (Note 2)** |
| **MORTGAGE-BACKED SECURITIES (1.47%)** |  |  |
| Fannie Mae Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1998-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 08/01/2028 | 25784 | 26737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.500%, 08/01/2028 | 25022 | 24994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.500%, 06/01/2027 | 15569 | 15567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1999-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.000%, 04/01/2029 | 24109 | 24075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 06/01/2031 | 27782 | 27765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/01/2032 | 39869 | 40715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/01/2028 | 37322 | 36848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 09/01/2033 | 42112 | 42153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/01/2033 | 21990 | 21816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/01/2033 | 38207 | 38897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/01/2035 | 19937 | 19592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 01/01/2036 | 28810 | 29652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 01/01/2036 | 30043 | 29571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/01/2037 | 18976 | 19083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 07/01/2037 | 36627 | 36926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 09/01/2037 | 35119 | 36394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 11/01/2037 | 45272 | 46917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/01/2037 | 30257 | 30136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/01/2038 | 22466 | 22959 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/01/2038 | $27385 | $27554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 07/01/2038 | 46444 | 48131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/01/2039 | 45988 | 46027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/01/2040 | 5444 | 5265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/01/2038 | 45866 | 46849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/01/2041 | 70764 | 69739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/01/2043 | 96795 | 87401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/01/2045 | 57690 | 55630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/01/2044 | 21117 | 21803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/01/2046 | 36831 | 34410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.734%, 02/01/2048<sup>(a)</sup> | 50777 | 46899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.730%, 11/01/2032 | 1500000 | 1572480 |
|  |  | 2632985 |
| Freddie Mac Gold Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/01/2034 | 29200 | 29112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 01/01/2036 | 11785 | 11715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/01/2034 | 29549 | 29935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/01/2036 | 19914 | 19518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 05/01/2036 | 56188 | 57833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/01/2038 | 60104 | 59221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/01/2038 | 34309 | 35965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/01/2040 | 23893 | 24650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/01/2033 | 58643 | 55184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/01/2044 | 41314 | 38635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/01/2044 | 34019 | 33542 |
|  |  | 395310 |
| Freddie Mac Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/01/2042 | 50707 | 48892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 01/01/2036 | 74702 | 74988 |
|  |  | 123880 |
| Ginnie Mae I Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/15/2033 | 58401 | 61567 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/15/2040 | $41361 | $42365 |
|  |  | 103932 |
| Ginnie Mae II Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/20/2039 | 51209 | 50767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 11/20/2039 | 32480 | 34614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/20/2041 | 33452 | 32685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2041 | 35451 | 34634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/20/2041 | 14403 | 14071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 01/20/2042 | 95511 | 90980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/20/2042 | 96778 | 91997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/20/2043 | 84661 | 80122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/20/2035 | 93161 | 97632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.750%, 04/20/2044 | 78448 | 76324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2044 | 68851 | 67682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/20/2046 | 16918 | 15669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2051 | 157461 | 149931 |
|  |  | 837108 |
| **TOTAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $4,184,629)** |  | 4093215 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| **CORPORATE BONDS (82.94%)** |  |  |
| *Advertising & Marketing (**1.01%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Outfront Media Capital LLC / Outfront Media Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 08/15/2027<sup>(c)</sup> | 3052000 | 2811572 |
| *Aerospace & Defense (**2.97%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Boeing Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20%, 02/04/2026 | 1450000 | 1341150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.95%, 08/01/2059 | 2170000 | 1616712 |
| &nbsp;&nbsp;&nbsp;TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 12/15/2025<sup>(c)</sup> | 5185000 | 5291968 |
| **Total *Aerospace & Defense*** |  | 8249830 |
| *Airlines (**2.69%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Alaska Airlines 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.80%, 08/15/2027<sup>(c)</sup> | 632418 | 616340 |
| &nbsp;&nbsp;&nbsp;Alaska Airlines 2020-1 Class B Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 08/15/2025<sup>(c)</sup> | 1688606 | 1695635 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;British Airways 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 11/15/2032<sup>(c)</sup> | $1327426 | $1226671 |
| &nbsp;&nbsp;&nbsp;United Airlines 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 20-1 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 10/15/2027 | 3885847 | 3937553 |
| **Total *Airlines*** |  | 7476199 |
| *Apparel & Textile Products (**0.49%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Hanesbrands, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 05/15/2026<sup>(c)</sup> | 1450000 | 1351842 |
| *Automobiles Manufacturing (**3.17%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.81%, 01/09/2024 | 250000 | 245156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.58%, 03/18/2024 | 650000 | 646075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.35%, 11/04/2027 | 1500000 | 1576875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.35%, 03/06/2030 | 1300000 | 1366144 |
| &nbsp;&nbsp;&nbsp;General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.40%, 01/09/2033 | 1310000 | 1363118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 1.30%, 04/07/2025<sup>(a)</sup> | 1300000 | 1289683 |
| &nbsp;&nbsp;&nbsp;Nissan Motor Co., Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.35%, 09/17/2027<sup>(c)</sup> | 1400000 | 1319028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.81%, 09/17/2030<sup>(c)</sup> | 1100000 | 995223 |
| **Total *Automobiles Manufacturing*** |  | 8801302 |
| *Banks (**5.63%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Bank of Ireland Group PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 2.65%, 09/16/2026<sup>(a)(c)</sup> | 1500000 | 1512828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Danske Bank A/S |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.35%, 09/11/2026<sup>(a)(c)</sup> | 3400000 | 3057064 |
| &nbsp;&nbsp;&nbsp;Fifth Third Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.23%, 10/27/2025<sup>(a)</sup> | 1000000 | 1016039 |
| &nbsp;&nbsp;&nbsp;Intesa Sanpaolo SpA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 11/21/2025<sup>(c)</sup> | 2000000 | 2066541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 4.40%, 11/21/2033<sup>(a)(c)</sup> | 1000000 | 1095092 |
| &nbsp;&nbsp;&nbsp;M&T Bank Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.85%, 01/27/2034<sup>(a)</sup> | 1350000 | 1347591 |
| &nbsp;&nbsp;&nbsp;Synovus Bank/Columbus GA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 3.63%, 10/29/2030<sup>(a)</sup> | 1774000 | 1654827 |
| &nbsp;&nbsp;&nbsp;Truist Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.30%, 05/15/2026 | 1000000 | 953041 |
| &nbsp;&nbsp;&nbsp;UniCredit SpA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.83%, 12/04/2023<sup>(c)</sup> | 1500000 | 1530894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.20%, 06/03/2027<sup>(a)(c)</sup> | 1589000 | 1401769 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| **Total *Banks*** |  | 15635686 |
| *Cable & Satellite (**1.88%**)* |  |  |
| &nbsp;&nbsp;&nbsp;CCO Holdings LLC / CCO Holdings Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 02/01/2032<sup>(c)</sup> | $673000 | $572996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.38%, 09/01/2029<sup>(c)</sup> | 1600000 | 1545832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.38%, 03/01/2031<sup>(c)</sup> | 2000000 | 2006250 |
| &nbsp;&nbsp;&nbsp;Charter Communications Operating LLC / Charter Communications Operating Capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.85%, 04/01/2061 | 1689000 | 1073944 |
| **Total *Cable & Satellite*** |  | 5199022 |
| *Casinos & Gaming (**3.99%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Caesars Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 02/15/2030<sup>(c)</sup> | 2750000 | 2801563 |
| &nbsp;&nbsp;&nbsp;MGM Resorts International |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 10/15/2028 | 2900000 | 2633248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/01/2025 | 1233000 | 1243491 |
| &nbsp;&nbsp;&nbsp;Penn Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 01/15/2027<sup>(c)</sup> | 4674000 | 4398233 |
| **Total *Casinos & Gaming*** |  | 11076535 |
| *Chemicals (**1.46%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Avient Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 05/15/2025<sup>(c)</sup> | 1525000 | 1510994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.13%, 08/01/2030<sup>(c)</sup> | 250000 | 252181 |
| &nbsp;&nbsp;&nbsp;Celanese US Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.17%, 07/15/2027 | 2250000 | 2280556 |
| **Total *Chemicals*** |  | 4043731 |
| *Commercial Finance (**2.19%**)* |  |  |
| &nbsp;&nbsp;&nbsp;AerCap Ireland Capital DAC / AerCap Global Aviation Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.15%, 10/29/2023 | 800000 | 776514 |
| &nbsp;&nbsp;&nbsp;Antares Holdings LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.75%, 01/15/2027<sup>(c)</sup> | 500000 | 411762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.95%, 07/15/2026<sup>(c)</sup> | 2500000 | 2190538 |
| &nbsp;&nbsp;&nbsp;Park Aerospace Holdings, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 03/15/2023<sup>(c)</sup> | 2700000 | 2697337 |
| **Total *Commercial Finance*** |  | 6076151 |
| *Consumer Finance (**3.79%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Ally Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 11/01/2031 | 1250000 | 1378106 |
| &nbsp;&nbsp;&nbsp;Capital One Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.60%, 02/01/2034<sup>(a)</sup> | 1320000 | 1331127 |
| &nbsp;&nbsp;&nbsp;Discover Financial Services |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.70%, 11/29/2032 | 1940000 | 2073080 |
| &nbsp;&nbsp;&nbsp;OneMain Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 03/15/2025 | 1650000 | 1647038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.25%, 10/01/2023 | 1085000 | 1100598 |
| &nbsp;&nbsp;&nbsp;Synchrony Financial |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.25%, 02/02/2033 | 3000000 | 3007012 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| **Total *Consumer Finance*** |  | 10536961 |
| *Consumer Services (**1.59%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 06/01/2028<sup>(c)</sup> | $2700000 | $2332328 |
| &nbsp;&nbsp;&nbsp;WASH Multifamily Acquisition, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 04/15/2026<sup>(c)</sup> | 2250000 | 2079041 |
| **Total *Consumer Services*** |  | 4411369 |
| *Containers & Packaging (**1.93%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Canpack SA / Canpack US LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.88%, 11/15/2029<sup>(c)</sup> | 5000000 | 4157900 |
| &nbsp;&nbsp;&nbsp;Mauser Packaging Solutions Holding Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 08/15/2026<sup>(c)</sup> | 100000 | 101000 |
| &nbsp;&nbsp;&nbsp;Owens-Brockway Glass Container, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 08/15/2023<sup>(c)</sup> | 1105000 | 1101996 |
| **Total *Containers & Packaging*** |  | 5360896 |
| *Department Stores (**1.82%**)* |  |  |
| &nbsp;&nbsp;&nbsp;NMG Holding Co. Inc / Neiman Marcus Group LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.13%, 04/01/2026<sup>(c)</sup> | 3800000 | 3633993 |
| &nbsp;&nbsp;&nbsp;Nordstrom, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series WI |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.30%, 04/08/2024 | 1500000 | 1425353 |
| **Total *Department Stores*** |  | 5059346 |
| *Diversified Banks (**0.54%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Barclays PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 2.30%, 08/09/2026<sup>(a)</sup> | 1500000 | 1500572 |
| *Entertainment Content (**0.49%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Discovery Communications LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 09/15/2055 | 833000 | 574164 |
| &nbsp;&nbsp;&nbsp;Warnermedia Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.14%, 03/15/2052<sup>(c)</sup> | 940000 | 781982 |
| **Total *Entertainment Content*** |  | 1356146 |
| *Entertainment Resources (**0.54%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 05/01/2025<sup>(c)</sup> | 1503000 | 1493693 |
| *Exploration & Production (**2.55%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Hilcorp Energy I LP / Hilcorp Finance Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 02/01/2029<sup>(c)</sup> | 3050000 | 2840251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 11/01/2028<sup>(c)</sup> | 1506000 | 1448343 |
| &nbsp;&nbsp;&nbsp;Occidental Petroleum Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 09/15/2031 | 1200000 | 1360554 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| &nbsp;&nbsp;&nbsp;Range Resources Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.25%, 01/15/2029 | $1400000 | $1441104 |
| **Total *Exploration & Production*** |  | 7090252 |
| *Financial Services (**4.77%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Compass Group Diversified Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 01/15/2032<sup>(c)</sup> | 2500000 | 2057001 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 04/15/2029<sup>(c)</sup> | 1750000 | 1576995 |
| &nbsp;&nbsp;&nbsp;Credit Suisse Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 3.92%, 08/12/2033<sup>(a)(c)</sup> | 1000000 | 960914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 5.02%, 11/15/2033<sup>(a)(c)</sup> | 2000000 | 2248691 |
| &nbsp;&nbsp;&nbsp;Jane Street Group / JSG Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 11/15/2029<sup>(c)</sup> | 1679000 | 1501191 |
| &nbsp;&nbsp;&nbsp;Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.16%, 04/17/2025<sup>(a)</sup> | 1500000 | 1473203 |
| &nbsp;&nbsp;&nbsp;OWL Rock Core Income Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.13%, 09/23/2026 | 2785000 | 2431099 |
| &nbsp;&nbsp;&nbsp;UBS Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.55%, 05/12/2026<sup>(a)(c)</sup> | 1000000 | 985401 |
| **Total *Financial Services*** |  | 13234495 |
| *Forest & Paper Products Manufacturing (**1.45%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Resolute Forest Products, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 03/01/2026<sup>(c)</sup> | 4050000 | 4019099 |
| *Health Care Facilities & Services (**0.32%**)* |  |  |
| &nbsp;&nbsp;&nbsp;HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.63%, 03/15/2032<sup>(c)</sup> | 1000000 | 888639 |
| *Homebuilders (**3.34%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Forestar Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.85%, 05/15/2026<sup>(c)</sup> | 4103000 | 3661578 |
| &nbsp;&nbsp;&nbsp;Shea Homes LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 02/15/2028 | 125000 | 111541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 04/01/2029 | 3125000 | 2706859 |
| &nbsp;&nbsp;&nbsp;Tri Pointe Homes, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.70%, 06/15/2028 | 3000000 | 2817570 |
| **Total *Homebuilders*** |  | 9297548 |
| *Industrial Other (**0.73%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Dycom Industries, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 04/15/2029<sup>(c)</sup> | 2250000 | 2017181 |
| *Integrated Oils (**0.07%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Petroleos Mexicanos |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.00%, 02/07/2033 | 200000 | 198212 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| *Manufactured Goods (**0.74%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Chart Industries, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.50%, 01/01/2030<sup>(c)</sup> | $1000000 | $1023750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.50%, 01/01/2031<sup>(c)</sup> | 1000000 | 1044870 |
| **Total *Manufactured Goods*** |  | 2068620 |
| *Medical Equipment & Devices Manufacturing (**0.50%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Alcon Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 12/06/2032<sup>(c)</sup> | 1330000 | 1393355 |
| *Metals & Mining (**0.48%**)* |  |  |
| &nbsp;&nbsp;&nbsp;SunCoke Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 06/30/2029<sup>(c)</sup> | 1520000 | 1339264 |
| *Oil & Gas Services & Equipment (**0.51%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Transocean Titan Financing, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.38%, 02/01/2028<sup>(c)</sup> | 1350000 | 1402745 |
| *Pharmaceuticals (**0.74%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Organon & Co. / Organon Foreign Debt Co-Issuer BV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.13%, 04/30/2031<sup>(c)</sup> | 2280000 | 2061792 |
| *Pipeline (**8.31%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Buckeye Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 12/01/2027 | 336000 | 304347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.15%, 07/01/2023 | 1200000 | 1194882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 03/01/2028<sup>(c)</sup> | 1698000 | 1551730 |
| &nbsp;&nbsp;&nbsp;Flex Intermediate Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.36%, 06/30/2031<sup>(c)</sup> | 3071000 | 2507295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.32%, 12/30/2039<sup>(c)</sup> | 1733000 | 1332965 |
| &nbsp;&nbsp;&nbsp;Genesis Energy LP / Genesis Energy Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 01/15/2027 | 4535000 | 4483551 |
| &nbsp;&nbsp;&nbsp;Kinetik Holdings LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 06/15/2030<sup>(c)</sup> | 2000000 | 1902670 |
| &nbsp;&nbsp;&nbsp;Midwest Connector Capital Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.90%, 04/01/2024<sup>(c)</sup> | 3675000 | 3592056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 04/01/2029<sup>(c)</sup> | 1734000 | 1623519 |
| &nbsp;&nbsp;&nbsp;Targa Resources Partners LP / Targa Resources Partners Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 07/15/2027 | 1505000 | 1542226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 01/15/2029 | 2957000 | 3040151 |
| **Total *Pipeline*** |  | 23075392 |
| *Power Generation (**0.95%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Alexander Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.84%, 11/15/2023<sup>(c)</sup> | 1374000 | 1324975 |
| &nbsp;&nbsp;&nbsp;Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 09/01/2026<sup>(c)</sup> | 1325000 | 1292104 |
| **Total *Power Generation*** |  | 2617079 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| *Publishing & Broadcasting (**4.86%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Gray Escrow II, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 11/15/2031<sup>(c)</sup> | $3000000 | $2310900 |
| &nbsp;&nbsp;&nbsp;Gray Television, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 10/15/2030<sup>(c)</sup> | 2000000 | 1477910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 05/15/2027<sup>(c)</sup> | 850000 | 774448 |
| &nbsp;&nbsp;&nbsp;Nexstar Media, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 11/01/2028<sup>(c)</sup> | 1450000 | 1310735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 07/15/2027<sup>(c)</sup> | 2000000 | 1907960 |
| &nbsp;&nbsp;&nbsp;Scripps Escrow II, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 01/15/2031<sup>(c)</sup> | 6100000 | 4930324 |
| &nbsp;&nbsp;&nbsp;Scripps Escrow, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 07/15/2027<sup>(c)</sup> | 900000 | 804290 |
| **Total *Publishing & Broadcasting*** |  | 13516567 |
| *Real Estate (**4.35%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Cushman & Wakefield US Borrower LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/15/2028<sup>(c)</sup> | 2975000 | 2875888 |
| &nbsp;&nbsp;&nbsp;GLP Capital LP / GLP Financing II, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.30%, 01/15/2029 | 2600000 | 2538159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 06/01/2028 | 750000 | 764771 |
| &nbsp;&nbsp;&nbsp;Howard Hughes Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 02/01/2029<sup>(c)</sup> | 1392000 | 1203614 |
| &nbsp;&nbsp;&nbsp;Kennedy-Wilson, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 02/01/2030 | 4084000 | 3356517 |
| &nbsp;&nbsp;&nbsp;VICI Properties LP / VICI Note Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 06/15/2025<sup>(c)</sup> | 200000 | 193791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 05/01/2024<sup>(c)</sup> | 1137000 | 1136015 |
| **Total *Real Estate*** |  | 12068755 |
| *Retail - Consumer Discretionary (**0.67%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Victoria's Secret & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 07/15/2029<sup>(c)</sup> | 2225000 | 1851601 |
| *Retail - Consumer Staples (**0.66%**)* |  |  |
| &nbsp;&nbsp;&nbsp;United Natural Foods, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 10/15/2028<sup>(c)</sup> | 1900000 | 1835970 |
| *Software & Services (**2.61%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Cloud Software Group Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 03/31/2029<sup>(c)</sup> | 4000000 | 3515696 |
| &nbsp;&nbsp;&nbsp;CoStar Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.80%, 07/15/2030<sup>(c)</sup> | 2700000 | 2283835 |
| &nbsp;&nbsp;&nbsp;Neptune Bidco US, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.29%, 04/15/2029<sup>(c)</sup> | 1500000 | 1460273 |
| **Total *Software & Services*** |  | 7259804 |
| *Supermarkets & Pharmacies (**0.86%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Arko Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.13%, 11/15/2029<sup>(c)</sup> | 3000000 | 2383095 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| *Utilities (**3.28%**)* |  |  |
| &nbsp;&nbsp;&nbsp;National Rural Utilities Cooperative Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3M US L + 2.91%, 04/30/2043<sup>(a)</sup> | $1800000 | $1728530 |
| &nbsp;&nbsp;&nbsp;Pacific Gas and Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 02/16/2024 | 2000000 | 1963482 |
| &nbsp;&nbsp;&nbsp;Sempra Energy |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 2.868%, 04/01/2052<sup>(a)</sup> | 2725000 | 2389406 |
| &nbsp;&nbsp;&nbsp;Suburban Propane Partners LP/Suburban Energy Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 06/01/2031<sup>(c)</sup> | 3500000 | 3049764 |
| **Total *Utilities*** |  | 9131182 |
| *Waste & Environment Services & Equipment (**1.74%**)* |  |  |
| &nbsp;&nbsp;&nbsp;GFL Environmental, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 08/01/2028<sup>(c)</sup> | 2800000 | 2489270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.13%, 12/15/2026<sup>(c)</sup> | 2399000 | 2336446 |
| **Total *Waste & Environment Services & Equipment*** |  | 4825716 |
| *Wireless Telecommunications Services (**1.06%**)* |  |  |
| &nbsp;&nbsp;&nbsp;AT&T, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.35%, 11/01/2066 | 122131 | 2932365 |
| *Wireline Telecommunications Services (**1.21%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Consolidated Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 10/01/2028<sup>(c)</sup> | 4500000 | 3381467 |
| **TOTAL CORPORATE BONDS** |  |  |
| **(Cost $243,403,307)** |  | 230331048 |

---

---

| | | |
|:---|:---|:---|
| | **Principal <br>Amount** | **Value<br> (Note 2)** |
| **GOVERNMENT BONDS (4.30%)** |  |  |
| *U.S. Treasury Bonds (**4.30%**)* |  |  |
| &nbsp;&nbsp;&nbsp;United States Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/2042 | 1920000 | 1984500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/2052 | 6880000 | 7358375 |
| &nbsp;&nbsp;&nbsp;United States Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.13%, 08/15/2025 | 936000 | 916695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 12/31/2024 | 1691000 | 1691132 |
| **Total *U.S. Treasury Bonds*** |  | 11950702 |
| **TOTAL GOVERNMENT BONDS** |  |  |
| **(Cost $11,659,971)** |  | 11950702 |

---

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| **PREFERRED STOCK (7.63%)** |  |  |
| ***Financials (7.63%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Banks (2.92%)* |  |  |
| &nbsp;&nbsp;&nbsp;PNC Financial Services Group, Inc., Series O, 3M US L + 3.678%<sup>(a)(d)</sup> | 5302000 | $5315633 |
| &nbsp;&nbsp;&nbsp;PNC Financial Services Group, Inc., Series T, 3.400%<sup>(d)</sup> | 1566000 | 1338930 |
| &nbsp;&nbsp;&nbsp;Truist Financial Corp., Series N, 4.800%<sup>(d)</sup> | 1500000 | 1441073 |
|  |  | 8095636 |
| &nbsp;&nbsp;&nbsp;*Commercial Finance (2.40%)* |  |  |
| &nbsp;&nbsp;&nbsp;AerCap Holdings NV, 5.875%<sup>(d)</sup> | 4499000 | 4315620 |
| &nbsp;&nbsp;&nbsp;Air Lease Corp., Series C, 4.125%<sup>(d)</sup> | 3000000 | 2350500 |
|  |  | 6666120 |
| &nbsp;&nbsp;&nbsp;*Consumer Finance (0.48%)* |  |  |
| &nbsp;&nbsp;&nbsp;American Express Co., 3.550%<sup>(d)</sup> | 1500000 | 1330950 |
| &nbsp;&nbsp;&nbsp;*Financial Services (1.50%)* |  |  |
| &nbsp;&nbsp;&nbsp;Credit Suisse Group AG, 6.375%<sup>(c)(d)</sup> | 2500000 | 2031250 |
| &nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc., 5.500%<sup>(d)</sup> | 85000 | 2120750 |
|  |  | 4152000 |
| &nbsp;&nbsp;&nbsp;*Life Insurance (0.33%)* |  |  |
| &nbsp;&nbsp;&nbsp;Lincoln National Corp., 9.000%<sup>(d)</sup> | 32000 | 920000 |
| **Total *Financials*** |  | 21164706 |
| **TOTAL PREFERRED STOCK** |  |  |
| **(Cost $22,384,959)** |  | 21164706 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day Yield** | **Shares** | **Value<br> (Note 2)** |
| **SHORT TERM INVESTMENTS (0.41%)** |  |  |  |
| ***Money Market Fund (0.41%)*** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 4.14% | 1151953 | 1151953 |
| **TOTAL SHORT TERM INVESTMENTS** |  |  |  |
| **(Cost $1,151,953)** |  |  | 1151953 |
| **TOTAL INVESTMENTS (100.16%)** |  |  |  |
| **(Cost $291,823,478)** |  |  | $278169606 |
| **Liabilities In Excess Of Other Assets (-0.16%)** |  |  | (437444) |
| **NET ASSETS (100.00%)** |  |  | $277732162 |

---

**Investment Abbreviations:**

LIBOR - London Interbank Offered Rate

SOFR - Secured Overnight Financing Rate

TI – Treasury Index

**Reference Rates:**

1M US L - 1 Month LIBOR as of January 31, 2023 was 4.57%

3M US L - 3 Month LIBOR as of January 31, 2023 was 4.81%

1D US SOFR - 1 Day SOFR as of January 31, 2023 was 4.31%

1Y US TI - 1 Year US TI as of January 31, 2023 was 4.68%

5Y US TI - 5 Year US TI as of January 31, 2023 was 3.63%

*<sup>(a)</sup>* *Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2023 is based on the reference rate plus the displayed spread as of the security's last reset date.*

*<sup>(b)</sup>* *Issued with zero coupon.*

*<sup>(c)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2023, the aggregate market value of those securities was $153,185,008, representing 55.16% of net assets.*

*<sup>(d)</sup>* *Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.*

*See Notes to Quarterly Statement of Investments.*

ALPS \| Smith Balanced Opportunity Fund

**STATEMENT OF INVESTMENTS**

***January 31, 2023 (Unaudited)***

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **COMMON STOCKS (58.61%)** | **COMMON STOCKS (58.61%)** | **COMMON STOCKS (58.61%)** |
| ***Communications (4.86%)*** | ***Communications (4.86%)*** | ***Communications (4.86%)*** |
| &nbsp;&nbsp;&nbsp;*Media (4.20%)* | &nbsp;&nbsp;&nbsp;*Media (4.20%)* | &nbsp;&nbsp;&nbsp;*Media (4.20%)* |
| &nbsp;&nbsp;&nbsp;Alphabet, Inc., Class A<sup>(a)</sup> | 4520 | $446756 |
| &nbsp;&nbsp;&nbsp;Meta Platforms, Inc., Class A<sup>(a)</sup> | 1977 | 294514 |
| &nbsp;&nbsp;&nbsp;Walt Disney Co.<sup>(a)</sup> | 2259 | 245079 |
|  |  | 986349 |
| &nbsp;&nbsp;&nbsp;*Telecommunications (0.66%)* |  |  |
| &nbsp;&nbsp;&nbsp;AT&T, Inc. | 7615 | 155118 |
| **Total *Communications*** |  | 1141467 |
| ***Consumer Discretionary (5.47%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Consumer Discretionary Services (2.41%)* |  |  |
| &nbsp;&nbsp;&nbsp;Marriott International, Inc., Class A | 1384 | 241065 |
| &nbsp;&nbsp;&nbsp;McDonald's Corp. | 1212 | 324089 |
|  |  | 565154 |
| &nbsp;&nbsp;&nbsp;*Retail & Whsle - Discretionary (3.06%)* |  |  |
| &nbsp;&nbsp;&nbsp;Amazon.com, Inc.<sup>(a)</sup> | 2820 | 290827 |
| &nbsp;&nbsp;&nbsp;Lowe's Cos., Inc. | 931 | 193881 |
| &nbsp;&nbsp;&nbsp;O'Reilly Automotive, Inc.<sup>(a)</sup> | 295 | 233743 |
|  |  | 718451 |
| **Total *Consumer Discretionary*** |  | 1283605 |
| ***Consumer Staples (4.54%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Consumer Staple Products (1.55%)* |  |  |
| &nbsp;&nbsp;&nbsp;Coca-Cola Co. | 4445 | 272567 |
| &nbsp;&nbsp;&nbsp;Estee Lauder Cos., Inc., Class A | 332 | 91991 |
|  |  | 364558 |
| &nbsp;&nbsp;&nbsp;*Retail & Wholesale - Staples (2.99%)* |  |  |
| &nbsp;&nbsp;&nbsp;Costco Wholesale Corp. | 514 | 262726 |
| &nbsp;&nbsp;&nbsp;Target Corp. | 846 | 145630 |
| &nbsp;&nbsp;&nbsp;Walmart, Inc. | 2040 | 293495 |
|  |  | 701851 |
| **Total *Consumer Staples*** |  | 1066409 |
| ***Energy (4.38%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Oil & Gas (3.81%)* |  |  |
| &nbsp;&nbsp;&nbsp;BP PLC, Sponsored ADR | 4610 | 167020 |
| &nbsp;&nbsp;&nbsp;ConocoPhillips | 3480 | 424108 |
| &nbsp;&nbsp;&nbsp;Enbridge, Inc. | 7397 | 303055 |
|  |  | 894183 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;*Renewable Energy (0.57%)* |  |  |
| &nbsp;&nbsp;&nbsp;Enphase Energy, Inc.<sup>(a)</sup> | 605 | $133935 |
| **Total *Energy*** |  | 1028118 |
| ***Financials (5.66%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Banking (2.53%)* |  |  |
| &nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 2985 | 417780 |
| &nbsp;&nbsp;&nbsp;Wells Fargo & Co. | 3740 | 175294 |
|  |  | 593074 |
| &nbsp;&nbsp;&nbsp;*Financial Services (2.57%)* |  |  |
| &nbsp;&nbsp;&nbsp;American Express Co. | 1675 | 293008 |
| &nbsp;&nbsp;&nbsp;Intercontinental Exchange, Inc. | 1953 | 210045 |
| &nbsp;&nbsp;&nbsp;LPL Financial Holdings, Inc. | 414 | 98168 |
|  |  | 601221 |
| &nbsp;&nbsp;&nbsp;*Insurance (0.56%)* |  |  |
| &nbsp;&nbsp;&nbsp;Prudential Financial, Inc. | 1255 | 131700 |
| **Total *Financials*** |  | 1325995 |
| ***Health Care (9.18%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Health Care (9.18%)* |  |  |
| &nbsp;&nbsp;&nbsp;Boston Scientific Corp.<sup>(a)</sup> | 3600 | 166500 |
| &nbsp;&nbsp;&nbsp;Bristol-Myers Squibb Co. | 2102 | 152710 |
| &nbsp;&nbsp;&nbsp;Danaher Corp. | 667 | 176341 |
| &nbsp;&nbsp;&nbsp;HCA Healthcare, Inc. | 845 | 215533 |
| &nbsp;&nbsp;&nbsp;IQVIA Holdings, Inc.<sup>(a)</sup> | 650 | 149117 |
| &nbsp;&nbsp;&nbsp;Pfizer, Inc. | 6440 | 284391 |
| &nbsp;&nbsp;&nbsp;Thermo Fisher Scientific, Inc. | 385 | 219578 |
| &nbsp;&nbsp;&nbsp;UnitedHealth Group, Inc. | 919 | 458755 |
| &nbsp;&nbsp;&nbsp;Vertex Pharmaceuticals, Inc.<sup>(a)</sup> | 532 | 171889 |
| &nbsp;&nbsp;&nbsp;Zoetis, Inc. | 937 | 155064 |
|  |  | 2149878 |
| **Total *Health Care*** |  | 2149878 |
| ***Industrials (7.99%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Industrial Products (5.49%)* |  |  |
| &nbsp;&nbsp;&nbsp;Caterpillar, Inc. | 1049 | 264652 |
| &nbsp;&nbsp;&nbsp;Deere & Co. | 695 | 293874 |
| &nbsp;&nbsp;&nbsp;ITT, Inc. | 1636 | 149841 |
| &nbsp;&nbsp;&nbsp;Lockheed Martin Corp. | 375 | 173723 |
| &nbsp;&nbsp;&nbsp;Schneider Electric SE, ADR | 6425 | 208427 |
| &nbsp;&nbsp;&nbsp;TE Connectivity, Ltd. | 1550 | 197083 |
|  |  | 1287600 |
| &nbsp;&nbsp;&nbsp;*Industrial Services (2.50%)* |  |  |
| &nbsp;&nbsp;&nbsp;Norfolk Southern Corp. | 449 | 110369 |
| &nbsp;&nbsp;&nbsp;Old Dominion Freight Line, Inc. | 429 | 142960 |
| &nbsp;&nbsp;&nbsp;Southwest Airlines Co. | 3678 | 131562 |
| &nbsp;&nbsp;&nbsp;Waste Management, Inc. | 1310 | 202696 |
|  |  | 587587 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **Total *Industrials*** |  | 1875187 |
| ***Materials (2.97%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Materials (2.97%)* |  |  |
| &nbsp;&nbsp;&nbsp;Anglo American PLC, ADR | 5940 | $128007 |
| &nbsp;&nbsp;&nbsp;Freeport-McMoRan, Inc. | 3240 | 144569 |
| &nbsp;&nbsp;&nbsp;Linde PLC | 515 | 170434 |
| &nbsp;&nbsp;&nbsp;LyondellBasell Industries NV, Class A | 780 | 75418 |
| &nbsp;&nbsp;&nbsp;Mosaic Co. | 1210 | 59943 |
| &nbsp;&nbsp;&nbsp;Norsk Hydro ASA, ADR | 14445 | 117727 |
|  |  | 696098 |
| **Total *Materials*** |  | 696098 |
| ***Real Estate (1.58%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Real Estate (1.58%)* |  |  |
| &nbsp;&nbsp;&nbsp;Equity LifeStyle Properties, Inc. | 3096 | 222230 |
| &nbsp;&nbsp;&nbsp;Prologis, Inc. | 1145 | 148026 |
|  |  | 370256 |
| **Total *Real Estate*** |  | 370256 |
| ***Technology (11.98%)*** |  |  |
| &nbsp;&nbsp;&nbsp;*Software & Tech Services (5.96%)* |  |  |
| &nbsp;&nbsp;&nbsp;Mastercard, Inc., Class A | 741 | 274614 |
| &nbsp;&nbsp;&nbsp;Microsoft Corp. | 2474 | 613082 |
| &nbsp;&nbsp;&nbsp;Palantir Technologies, Inc., Class A<sup>(a)</sup> | 14330 | 111487 |
| &nbsp;&nbsp;&nbsp;PayPal Holdings, Inc.<sup>(a)</sup> | 1383 | 112701 |
| &nbsp;&nbsp;&nbsp;Synopsys, Inc.<sup>(a)</sup> | 803 | 284061 |
|  |  | 1395945 |
| &nbsp;&nbsp;&nbsp;*Tech Hardware & Semiconductors (6.02%)* |  |  |
| &nbsp;&nbsp;&nbsp;Apple, Inc. | 2807 | 405022 |
| &nbsp;&nbsp;&nbsp;Lam Research Corp. | 227 | 113523 |
| &nbsp;&nbsp;&nbsp;Motorola Solutions, Inc. | 690 | 177337 |
| &nbsp;&nbsp;&nbsp;NVIDIA Corp. | 1370 | 267657 |
| &nbsp;&nbsp;&nbsp;Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 2211 | 205026 |
| &nbsp;&nbsp;&nbsp;Texas Instruments, Inc. | 1383 | 245081 |
|  |  | 1413646 |
| **Total *Technology*** |  | 2809591 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $11,673,216)** |  | 13746604 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS (4.87%)** |  |  |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-10, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 03/18/2027<sup>(b)</sup> | $5843 | $5841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-42, Class PK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/18/2027 | 6373 | 6282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1999-52, Class NF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.15%, 10/25/2023<sup>(b)</sup> | 1660 | 1663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-21, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.90%, 04/25/2032<sup>(b)</sup> | 8582 | 8639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-22, Class GC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 04/25/2032 | 7718 | 8123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-58, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 09/25/2032 | 19135 | 19950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-58, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 08/25/2032<sup>(b)</sup> | 6967 | 7072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-117, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/25/2033 | 15991 | 16762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-87, Class SL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.10% - 1M US L, 07/25/2033<sup>(b)</sup> | 36305 | 35260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-60, Class JC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2034 | 17747 | 18110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-27, Class GH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2035 | 90000 | 93087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-104, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/25/2037 | 16901 | 17560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-22, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/25/2037 | 8095 | 8376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-55, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/25/2047 | 21605 | 22784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-76, Class ZG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/25/2037 | 146499 | 150677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-1, Class LF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.70%, 05/25/2037<sup>(b)</sup> | 16722 | 16718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-22, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/25/2048 | 15128 | 15425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-12, Class LC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.400%, 06/25/2037<sup>(b)</sup> | 14407 | 16040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-51, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/25/2039 | 20345 | 20214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-61, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.998%, 06/25/2040<sup>(b)</sup> | 16411 | 17033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-98, Class BH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/25/2040 | 16115 | 16543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-153, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 07/25/2042 | 7198 | 7780 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-64, Class NA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/25/2041 | $2425 | $2372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-18, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/25/2033 | 15000 | 13795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-61, Class NY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/25/2033 | 35000 | 32062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-9, Class AE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 03/25/2039 | 3898 | 3849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-21, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/25/2041 | 11460 | 10795 |
|  |  | 592812 |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1996-1843, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 04/15/2026 | 2556 | 2562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1999-2123, Class L, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 01/15/2029 | 20215 | 20813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2538, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.40%, 12/15/2032<sup>(b)</sup> | 3801 | 3797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2626, Class FQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 1.00%, 06/15/2023<sup>(b)</sup> | 82 | 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2696, Class DG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/15/2033 | 10919 | 11041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2977, Class AT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/15/2025 | 5513 | 5449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2990, Class LB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16.94569% - 1M US L, 06/15/2034<sup>(b)</sup> | 2863 | 2829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2993, Class TF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 06/15/2025<sup>(b)</sup> | 6781 | 6776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3174, Class LF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 05/15/2036<sup>(b)</sup> | 8054 | 8004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3239, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.35%, 11/15/2036<sup>(b)</sup> | 8894 | 8782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3298, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/15/2037 | 24190 | 25301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3409, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/15/2038 | 15855 | 16453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3572, Class KT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/15/2039 | 14952 | 14965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3645, Class WD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/15/2040 | 26000 | 26395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3699, Class LC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/15/2040 | 11107 | 10919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3721, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.50%, 09/15/2040<sup>(b)</sup> | 10810 | 10701 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3759, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/15/2040 | $25000 | $24613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3770, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/15/2040 | 25257 | 24661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3954, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/15/2041 | 22849 | 21474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3987, Class LP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 01/15/2042 | 26000 | 24489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4032, Class AD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 10/15/2041 | 11330 | 10712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4043, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 05/15/2027 | 11045 | 10443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4226, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/15/2043 | 12833 | 11901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4498, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/15/2037 | 33174 | 29837 |
|  |  | 332999 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-52, Class AP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 06/16/2033<sup>(c)</sup> | 13332 | 12131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-86, Class C, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/20/2034 | 16000 | 16324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-91, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/20/2035 | 10343 | 10649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-70, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.47%, 11/20/2037<sup>(b)</sup> | 16113 | 16102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-2, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 01/20/2038 | 7371 | 7386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-46, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US L + 0.60%, 05/20/2038<sup>(b)</sup> | 7080 | 7080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-60, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/20/2038 | 46000 | 46844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-104, Class KA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/16/2039 | 6479 | 6418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-98, Class MG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/20/2039 | 366 | 365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H23, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/20/2061 | 6141 | 5862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-39, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/16/2040 | 6806 | 6594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-149, Class BP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/2043 | 50000 | 46464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-98, Class DM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/20/2042 | 6517 | 6424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-91, Class NE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/20/2044 | 3331 | 3259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-152, Class LC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/2049 | 2681 | 2586 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-162, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/20/2049 | $3927 | $3729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-167, Class EC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 02/20/2049 | 8796 | 7432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5, Class LC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/2049 | 3697 | 3533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-76, Class ND, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.250%, 08/20/2050 | 8821 | 7027 |
|  |  | 216209 |
| **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |  |
| **(Cost $1,237,421)** |  | 1142020 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES (0.10%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (0.10%)** | **COMMERCIAL MORTGAGE-BACKED SECURITIES (0.10%)** |
| Fannie Mae-Aces |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-M9, Class A2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.103%, 07/25/2024<sup>(b)</sup> | 23648 | 22970 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $23,597)** |  | 22970 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **MORTGAGE-BACKED SECURITIES (3.70%)** | **MORTGAGE-BACKED SECURITIES (3.70%)** | |
| Fannie Mae Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/01/2034 | 28814 | 28876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/01/2034 | 39398 | 39232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.703%, 06/15/2034 | 13252 | 13944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/01/2037 | 30299 | 29687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 2.403%, 10/01/2035<sup>(b)</sup> | 23226 | 23693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/01/2038 | 37336 | 38016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/01/2038 | 30009 | 30692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/01/2039 | 28113 | 28252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-AM0762, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.290%, 09/01/2032 | 8088 | 7575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-AM1671, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.100%, 12/01/2027 | 27230 | 25785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 11/01/2033 | 28909 | 27987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AM8645, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.690%, 05/01/2027 | 20928 | 19920 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AM8674, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.810%, 04/01/2025 | $60000 | $58006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.390%, 06/01/2025 | 18684 | 17865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN6670, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.210%, 09/01/2027 | 28903 | 27777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-BL0212, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.820%, 07/01/2027 | 33981 | 33689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.340%, 05/01/2031 | 24315 | 23159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.400%, 11/01/2032 | 55000 | 43041 |
|  |  | 517196 |
| Freddie Mac Gold Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/01/2032 | 32688 | 30761 |
| Ginnie Mae II Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 10/20/2039 | 11395 | 11623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/20/2039 | 33846 | 34558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/20/2040 | 25033 | 24456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 04/20/2040 | 103812 | 103834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/20/2040 | 21315 | 21319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/20/2041 | 26349 | 26835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/20/2042 | 39021 | 36652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2042 | 62257 | 60580 |
|  |  | 319857 |
| **TOTAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $910,759)** |  | 867814 |
| **CORPORATE BONDS (14.15%)** |  |  |
| *Aerospace & Defense (**0.80%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Boeing Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20%, 02/04/2026 | 70000 | 64745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.95%, 08/01/2059 | 53000 | 39487 |
| &nbsp;&nbsp;&nbsp;TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 12/15/2025<sup>(d)</sup> | 82000 | 83691 |
| **Total *Aerospace & Defense*** |  | 187923 |
| *Airlines (**0.71%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Alaska Airlines 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.80%, 08/15/2027<sup>(d)</sup> | 43848 | 42733 |
| &nbsp;&nbsp;&nbsp;Alaska Airlines 2020-1 Class B Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 08/15/2025<sup>(d)</sup> | 22244 | 22336 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;British Airways 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 11/15/2032<sup>(d)</sup> | $5372 | $4964 |
| &nbsp;&nbsp;&nbsp;Southwest Airlines Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 05/04/2025 | 55000 | 55388 |
| &nbsp;&nbsp;&nbsp;United Airlines 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 20-1 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 10/15/2027 | 41499 | 42052 |
| **Total *Airlines*** |  | 167473 |
| *Automobiles Manufacturing (**1.19%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.38%, 11/13/2025 | 35000 | 32649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/13/2030 | 17000 | 14870 |
| &nbsp;&nbsp;&nbsp;General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.40%, 01/09/2033 | 44000 | 45784 |
| &nbsp;&nbsp;&nbsp;Nissan Motor Co., Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.81%, 09/17/2030<sup>(d)</sup> | 200000 | 180949 |
| &nbsp;&nbsp;&nbsp;Volkswagen Group of America Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.88%, 11/22/2023<sup>(d)</sup> | 5000 | 4826 |
| **Total *Automobiles Manufacturing*** |  | 279078 |
| *Banks (**0.68%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Citizens Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.45%, 10/24/2025<sup>(b)</sup> | 36000 | 36535 |
| &nbsp;&nbsp;&nbsp;First-Citizens Bank & Trust Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 3.83%, 06/19/2024<sup>(b)</sup> | 83000 | 82545 |
| &nbsp;&nbsp;&nbsp;M&T Bank Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.85%, 01/27/2034<sup>(b)</sup> | 41000 | 40927 |
| **Total *Banks*** |  | 160007 |
| *Cable & Satellite (**0.28%**)* |  |  |
| &nbsp;&nbsp;&nbsp;CCO Holdings LLC / CCO Holdings Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 06/01/2033<sup>(d)</sup> | 22000 | 17907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 02/01/2032<sup>(d)</sup> | 27000 | 22987 |
| &nbsp;&nbsp;&nbsp;Charter Communications Operating LLC / Charter Communications Operating Capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.85%, 04/01/2061 | 41000 | 26069 |
| **Total *Cable & Satellite*** |  | 66963 |
| *Casinos & Gaming (**0.50%**)* |  |  |
| &nbsp;&nbsp;&nbsp;MGM Resorts International |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/01/2025 | 60000 | 60511 |
| &nbsp;&nbsp;&nbsp;Penn Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 01/15/2027<sup>(d)</sup> | 61000 | 57400 |
| **Total *Casinos & Gaming*** |  | 117911 |
| *Chemicals (**0.49%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Avient Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 05/15/2025<sup>(d)</sup> | 24000 | 23780 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;Celanese US Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.17%, 07/15/2027 | $27000 | $27367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.38%, 07/15/2032 | 34000 | 34280 |
| &nbsp;&nbsp;&nbsp;International Flavors & Fragrances, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.83%, 10/15/2027<sup>(d)</sup> | 34000 | 29443 |
| **Total *Chemicals*** |  | 114870 |
| *Commercial Finance (**0.85%**)* |  |  |
| &nbsp;&nbsp;&nbsp;AerCap Ireland Capital DAC / AerCap Global Aviation Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 07/15/2025 | 110000 | 112065 |
| &nbsp;&nbsp;&nbsp;Avolon Holdings Funding, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.53%, 11/18/2027<sup>(d)</sup> | 14000 | 12092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 04/15/2026<sup>(d)</sup> | 25000 | 23754 |
| &nbsp;&nbsp;&nbsp;Park Aerospace Holdings, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 03/15/2023<sup>(d)</sup> | 51000 | 50950 |
| **Total *Commercial Finance*** |  | 198861 |
| *Consumer Finance (**0.04%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Ally Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.45%, 10/02/2023 | 10000 | 9766 |
| *Consumer Products (**0.14%**)* |  |  |
| &nbsp;&nbsp;&nbsp;GSK Consumer Healthcare Capital UK PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.13%, 03/24/2025 | 17000 | 16359 |
| &nbsp;&nbsp;&nbsp;GSK Consumer Healthcare Capital US LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.38%, 03/24/2027 | 17000 | 16101 |
| **Total *Consumer Products*** |  | 32460 |
| *Containers & Packaging (**0.07%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Owens-Brockway Glass Container, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 08/15/2023<sup>(d)</sup> | 16000 | 15957 |
| *Diversified Banks (**1.28%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.37%, 10/24/2031<sup>(b)</sup> | 90000 | 72486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 1.20%, 09/21/2036<sup>(b)</sup> | 62000 | 48434 |
| &nbsp;&nbsp;&nbsp;Citigroup, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.30%, 11/20/2026 | 65000 | 63902 |
| &nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.07%, 12/15/2025<sup>(b)</sup> | 88000 | 88742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.56%, 04/26/2028<sup>(b)</sup> | 28000 | 27458 |
| **Total *Diversified Banks*** |  | 301022 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| *Entertainment Resources (**0.13%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 05/01/2025<sup>(d)</sup> | $13000 | $12920 |
| &nbsp;&nbsp;&nbsp;Vail Resorts, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 05/15/2025<sup>(d)</sup> | 17000 | 17101 |
| **Total *Entertainment Resources*** |  | 30021 |
| *Exploration & Production (**0.17%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Hilcorp Energy I LP / Hilcorp Finance Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 11/01/2028<sup>(d)</sup> | 42000 | 40392 |
| *Financial Services (**0.95%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.50%, 09/10/2024<sup>(b)</sup> | 24000 | 23931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.114%, 02/24/2028<sup>(b)</sup> | 48000 | 44034 |
| &nbsp;&nbsp;&nbsp;Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.00%, 01/21/2028<sup>(b)</sup> | 30000 | 27366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.36%, 09/16/2036<sup>(b)</sup> | 61000 | 47328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.73%, 02/01/2029<sup>(b)</sup> | 15000 | 15175 |
| &nbsp;&nbsp;&nbsp;Raymond James Financial, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.65%, 04/01/2030 | 50000 | 49769 |
| &nbsp;&nbsp;&nbsp;UBS Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.75%, 05/12/2028<sup>(b)(d)</sup> | 17000 | 16720 |
| **Total *Financial Services*** |  | 224323 |
| *Food & Beverage (**0.26%**)* |  |  |
| &nbsp;&nbsp;&nbsp;JDE Peet's NV |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.80%, 09/24/2024<sup>(d)</sup> | 16000 | 14785 |
| &nbsp;&nbsp;&nbsp;Kraft Heinz Foods Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.88%, 05/15/2027 | 24000 | 23397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 03/01/2031 | 24000 | 23192 |
| **Total *Food & Beverage*** |  | 61374 |
| *Hardware (**0.16%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Teledyne Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.60%, 04/01/2026 | 12000 | 10963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.75%, 04/01/2031 | 31000 | 26378 |
| **Total *Hardware*** |  | 37341 |
| *Health Care Facilities & Services (**0.25%**)* |  |  |
| &nbsp;&nbsp;&nbsp;HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.38%, 07/15/2031 | 73000 | 59355 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| *Industrial Other (**0.06%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Quanta Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.95%, 10/01/2024 | $16000 | $14899 |
| *Managed Care (**0.12%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Humana, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.65%, 08/03/2023 | 28000 | 27383 |
| *Medical Equipment & Devices Manufacturing (**0.09%**)* |  |  |
| &nbsp;&nbsp;&nbsp;PerkinElmer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.85%, 09/15/2024 | 23000 | 21532 |
| *Metals & Mining (**0.32%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Steel Dynamics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 12/15/2026 | 75000 | 74490 |
| *Pipeline (**1.65%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Buckeye Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 12/01/2027 | 36000 | 32609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 03/01/2028<sup>(d)</sup> | 50000 | 45693 |
| &nbsp;&nbsp;&nbsp;Flex Intermediate Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.36%, 06/30/2031<sup>(d)</sup> | 63000 | 51436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.32%, 12/30/2039<sup>(d)</sup> | 62000 | 47688 |
| &nbsp;&nbsp;&nbsp;Midwest Connector Capital Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.90%, 04/01/2024<sup>(d)</sup> | 39000 | 38120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 04/01/2029<sup>(d)</sup> | 32000 | 29961 |
| &nbsp;&nbsp;&nbsp;Targa Resources Partners LP / Targa Resources Partners Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 07/15/2027 | 91000 | 93250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 01/15/2029 | 46000 | 47294 |
| **Total *Pipeline*** |  | 386051 |
| *Power Generation (**0.45%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Alexander Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.84%, 11/15/2023<sup>(d)</sup> | 40000 | 38572 |
| &nbsp;&nbsp;&nbsp;Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.13%, 05/13/2025<sup>(d)</sup> | 39000 | 38297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 09/01/2026<sup>(d)</sup> | 29000 | 28280 |
| **Total *Power Generation*** |  | 105149 |
| *Publishing & Broadcasting (**0.32%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Nexstar Media, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 11/01/2028<sup>(d)</sup> | 25000 | 22599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 07/15/2027<sup>(d)</sup> | 24000 | 22896 |
| &nbsp;&nbsp;&nbsp;Scripps Escrow II, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.88%, 01/15/2029<sup>(d)</sup> | 12000 | 10039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 01/15/2031<sup>(d)</sup> | 22000 | 17782 |
| **Total *Publishing & Broadcasting*** |  | 73316 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| *Real Estate (**0.07%**)* |  |  |
| &nbsp;&nbsp;&nbsp;VICI Properties LP / VICI Note Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 05/01/2024<sup>(d)</sup> | $17000 | $16985 |
| *Refining & Marketing (**0.28%**)* |  |  |
| &nbsp;&nbsp;&nbsp;HF Sinclair Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 10/01/2030 | 46000 | 41780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 04/01/2026 | 22000 | 22205 |
| **Total *Refining & Marketing*** |  | 63985 |
| *Retail - Consumer Discretionary (**0.11%**)* |  |  |
| &nbsp;&nbsp;&nbsp;AutoZone, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 02/01/2033 | 25000 | 24880 |
| *Semiconductors (**0.06%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Microchip Technology, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.97%, 02/15/2024 | 15000 | 14362 |
| *Software & Services (**0.22%**)* |  |  |
| &nbsp;&nbsp;&nbsp;CoStar Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.80%, 07/15/2030<sup>(d)</sup> | 60000 | 50752 |
| *Transportation & Logistics (**0.16%**)* |  |  |
| &nbsp;&nbsp;&nbsp;FedEx Corp. 2020-1 Class AA Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.88%, 02/20/2034 | 44653 | 37070 |
| *Utilities (**0.83%**)* |  |  |
| &nbsp;&nbsp;&nbsp;Atmos Energy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.63%, 03/09/2023 | 17000 | 16930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3M US L + 0.38%, 03/09/2023<sup>(b)</sup> | 7000 | 7000 |
| &nbsp;&nbsp;&nbsp;National Rural Utilities Cooperative Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3M US L + 2.91%, 04/30/2043<sup>(b)</sup> | 30000 | 28809 |
| &nbsp;&nbsp;&nbsp;ONE Gas, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.10%, 03/11/2024 | 64000 | 61362 |
| &nbsp;&nbsp;&nbsp;Pacific Gas and Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 02/16/2024 | 16000 | 15708 |
| &nbsp;&nbsp;&nbsp;Sempra Energy |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 2.868%, 04/01/2052<sup>(b)</sup> | 32000 | 28059 |
| &nbsp;&nbsp;&nbsp;Southern California Edison Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.10%, 04/01/2024 | 10000 | 9555 |
| &nbsp;&nbsp;&nbsp;Southern Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.11%, 08/01/2027 | 28000 | 28503 |
| **Total *Utilities*** |  | 195926 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| *Waste & Environment Services & Equipment (**0.15%**)* |  |  |
| &nbsp;&nbsp;&nbsp;GFL Environmental, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.13%, 12/15/2026<sup>(d)</sup> | $36000 | $35061 |
| *Wireless Telecommunications Services (**0.29%**)* |  |  |
| &nbsp;&nbsp;&nbsp;AT&T, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.35%, 11/01/2066 | 1729 | 41514 |
| &nbsp;&nbsp;&nbsp;Sprint LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 09/15/2023 | 25000 | 25399 |
| **Total *Wireless Telecommunications Services*** |  | 66913 |
| *Wireline Telecommunications Services (**0.02%**)* |  |  |
| &nbsp;&nbsp;&nbsp;NTT Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.37%, 03/03/2023<sup>(d)</sup> | 4000 | 3986 |
| **TOTAL CORPORATE BONDS** |  |  |
| **(Cost $3,585,958)** |  | 3317837 |
| **GOVERNMENT BONDS (11.61%)** |  |  |
| *U.S. Treasury Bonds (**11.61%**)* |  |  |
| &nbsp;&nbsp;&nbsp;United States Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.00%, 11/15/2041 | 136000 | 103392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.38%, 02/15/2042 | 265000 | 214464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.75%, 08/15/2032 | 182000 | 171265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 08/15/2052 | 270000 | 238971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 05/15/2042 | 295000 | 273797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.38%, 08/15/2042 | 243000 | 229806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/2042 | 179000 | 185013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/2052 | 421000 | 450272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 11/15/2032 | 318000 | 334595 |
| &nbsp;&nbsp;&nbsp;United States Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.50%, 01/31/2027 | 76000 | 69812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.63%, 05/31/2027 | 65000 | 62290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.88%, 12/31/2027 | 21000 | 21240 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 01/31/2025 | 184000 | 183806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 12/31/2024 | 184000 | 184014 |
| **Total *U.S. Treasury Bonds*** |  | 2722737 |
| **TOTAL GOVERNMENT BONDS** |  |  |
| **(Cost $2,741,020)** |  | 2722737 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **PREFERRED STOCK (2.02%)** | **PREFERRED STOCK (2.02%)** | **PREFERRED STOCK (2.02%)** |
| ***Energy (0.06%)*** | ***Energy (0.06%)*** | ***Energy (0.06%)*** |
| &nbsp;&nbsp;&nbsp;*Pipeline (0.06%)* | &nbsp;&nbsp;&nbsp;*Pipeline (0.06%)* | &nbsp;&nbsp;&nbsp;*Pipeline (0.06%)* |
| &nbsp;&nbsp;&nbsp;Energy Transfer LP, Series F, 6.750%<sup>(e)</sup> | 15000 | 14231 |
| **Total *Energy*** |  | 14231 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| ***Financials (1.96%)*** | ***Financials (1.96%)*** | ***Financials (1.96%)*** |
| &nbsp;&nbsp;&nbsp;*Banks (0.57%)* | &nbsp;&nbsp;&nbsp;*Banks (0.57%)* | &nbsp;&nbsp;&nbsp;*Banks (0.57%)* |
| &nbsp;&nbsp;&nbsp;PNC Financial Services Group, Inc., Series O, 3.400%<sup>(e)</sup> | 133000 | $133342 |
| &nbsp;&nbsp;&nbsp;*Commercial Finance (0.30%)* |  |  |
| &nbsp;&nbsp;&nbsp;AerCap Holdings NV, 5.875%<sup>(e)</sup> | 40000 | 38370 |
| &nbsp;&nbsp;&nbsp;Air Lease Corp., Series C, 4.125%<sup>(e)</sup> | 40000 | 31340 |
|  |  | 69710 |
| &nbsp;&nbsp;&nbsp;*Consumer Finance (0.22%)* |  |  |
| &nbsp;&nbsp;&nbsp;Ally Financial, Inc., Series C, 4.700%<sup>(e)</sup> | 18000 | 13860 |
| &nbsp;&nbsp;&nbsp;American Express Co., 3.550%<sup>(e)</sup> | 26000 | 23070 |
| &nbsp;&nbsp;&nbsp;Discover Financial Services, Series D, 6.125%<sup>(e)</sup> | 15000 | 14908 |
|  |  | 51838 |
| &nbsp;&nbsp;&nbsp;*Diversified Banks (0.18%)* |  |  |
| &nbsp;&nbsp;&nbsp;Citigroup, Inc., 5.900%<sup>(e)</sup> | 41000 | 41283 |
| &nbsp;&nbsp;&nbsp;*Financial Services (0.69%)* |  |  |
| &nbsp;&nbsp;&nbsp;Credit Suisse Group AG, 6.375%<sup>(d)(e)</sup> | 200000 | 162500 |
| **Total *Financials*** |  | 458673 |
| **TOTAL PREFERRED STOCK** |  |  |
| **(Cost $541,404)** |  | 472904 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT TERM INVESTMENTS (7.63%)** | **SHORT TERM INVESTMENTS (7.63%)** | **SHORT TERM INVESTMENTS (7.63%)** | **SHORT TERM INVESTMENTS (7.63%)** |
| ***Money Market Fund (7.63%)*** | ***Money Market Fund (7.63%)*** | ***Money Market Fund (7.63%)*** | ***Money Market Fund (7.63%)*** |
| &nbsp;&nbsp;&nbsp;Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 4.14% | 352246 | 352246 |
| &nbsp;&nbsp;&nbsp;State Street Institutional Treasury Plus Money Market Fund, Premier Class | 4.20% | 1438279 | 1438279 |
|  |  |  | 1790525 |
| **TOTAL SHORT TERM INVESTMENTS** |  |  |  |
| **(Cost $1,790,525)** |  |  | 1790525 |
| **TOTAL INVESTMENTS (102.69%)** |  |  |  |
| **(Cost $22,503,900)** |  |  | $24083411 |
| **Liabilities In Excess Of Other Assets (-2.69%)** |  |  | (630742) |
| **NET ASSETS (100.00%)** |  |  | $23452669 |

---

**Investment Abbreviations:**

LIBOR - London Interbank Offered Rate

SOFR - Secured Overnight Financing Rate

TI – Treasury Index

**Reference Rates:**

1M US L - 1 Month LIBOR as of January 31, 2023 was 4.57%

3M US L - 3 Month LIBOR as of January 31, 2023 was 4.81%

1D US SOFR - 1 Day SOFR as of January 31, 2023 was 4.31%

1Y US TI - 1 Year US TI as of January 31, 2023 was 4.68%

5Y US TI - 5 Year US TI as of January 31, 2023 was 3.63%

*<sup>(a)</sup>* *Non-Income Producing Security.*

*<sup>(b)</sup>* *Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2023 is based on the reference rate plus the displayed spread as of the security's last reset date.*

*<sup>(c)</sup>* *Issued with zero coupon.*

*<sup>(d)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2023, the aggregate market value of those securities was $1,356,334, representing 5.78% of net assets.*

*<sup>(e)</sup>* *Perpetual maturity. This security has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.*

*See Notes to Quarterly Statement of Investments.*

**Notes to Quarterly Statements of Investments** 

January 31, 2023 **(Unaudited)**

**1. ORGANIZATION**

Financial Investors Trust (the "Trust"), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended ("1940 Act"). The Trust consists of multiple separate portfolios or series. This report includes the statements of investments of the ALPS \| Smith Short Duration Bond Fund, ALPS \| Smith Total Return Bond Fund, ALPS \| Smith Credit Opportunities Fund and ALPS \|Smith Balanced Opportunity Fund (each, a "Fund" and collectively, the "Funds").

The ALPS \| Smith Total Return Bond Fund seeks to obtain maximum total return, consistent with preservation of capital. The ALPS \| Smith Short Duration Bond Fund seeks as high a level of current income as is consistent with preservation of capital. The ALPS \| Smith Balanced Opportunity Fund seeks long-term capital growth, consistent with preservation of capital and balanced by current income. The ALPS \| Smith Credit Opportunities Fund seeks to obtain maximum risk-adjusted return with a secondary focus on high current income.

The classes of each Fund differ principally in the applicable distribution and shareholder service fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Fund and earn income and realized gains/losses from the Fund pro rata based on the average daily net assets of each class, without distinction between share classes. Dividends to shareholders are determined separately for each class based on income and expenses allocable to each class. Realized gain distributions to shareholders are allocated to each class pro rata based on the shares outstanding of each class on the date of distribution. Differences in per share dividend rates generally result from differences in separate class expenses, including distribution and shareholder service fees, if applicable.

**2. SIGNIFICANT ACCOUNTING POLICIES**

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. Each Fund is considered an investment company for financial reporting purposes, and follows accounting policies in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), including policies specific to investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds and subsidiaries, as applicable, in preparation of their financial statements. The Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946 "Financial Services - Investment Companies".

**Investment Valuation:** The Funds generally value their securities based on market prices determined at the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading. For equity securities and mutual funds that are traded on an exchange, the market price is usually the closing sale or official closing price on that exchange.

The market price for debt obligations is generally the price supplied by an independent third-party pricing service approved by the Board of Trustees (the "Board" or "Trustees"), which may use a matrix, formula or other objective method that takes into consideration quotations from dealers, market transactions in comparable investments, market indices and yield curves. If vendors are unable to supply a price, or if the price supplied is deemed to be unreliable, the market price may be determined using quotations received from one or more brokers-dealers that make a market in the security. Investments in non-exchange traded funds are fair valued at their respective net asset values. Bonds may be purchased and held as odd lots. Pricing vendors generally value securities assuming orderly transactions of institutional round lot sizes, but a Fund may hold or transact in such securities in smaller, odd lot sizes. Special valuation considerations may apply with respect to a Fund's odd-lot positions, as the Fund may receive different prices when it sells such positions than it would receive for sales of institutional round lot positions. The Funds have odd lot pricing policies they employ to value odd lot securities.

Pursuant to Rule 2a-5 under the Investment Company Act of 1940, the Board has appointed ALPS Advisors, Inc. ("AAI", or, the "Adviser") to serve as the Valuation Designee to perform fair value determinations for investments in the Funds. When such prices or quotations are not available, or when the Valuation Designee believes that they are unreliable, securities may be priced using fair value procedures approved by the Board. The fair valuation policies and procedures ("FV Procedures") have been adopted by the Board for the fair valuation of portfolio assets held by the Fund(s) in the event that (1) market quotations for the current price of a portfolio security or asset are not readily available, or (2) available market quotations that would otherwise be used to value a portfolio security or asset in accordance with the Fund's Pricing Procedures appear to be unreliable. The Pricing Procedures reflect certain pricing methodologies (or "logics") that are not "readily available market quotations" and thus are viewed and treated as fair valuations. The Valuation Designee routinely meets to discuss fair valuations of portfolio securities and other instruments held by the Fund(s).

**Fair Value Measurements:** The Funds disclose the classification of their fair value measurements following a three-tier hierarchy based on the inputs used to measure fair value. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability that are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability that are developed based on the best information available.

Various inputs are used in determining the value of each Fund's investments as of the end of the reporting period. When inputs used fall into different levels of the fair value hierarchy, the level in the hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The designated input levels are not necessarily an indication of the risk or liquidity associated with these investments. These inputs are categorized in the following hierarchy under applicable financial accounting standards:

Level 1 – Unadjusted quoted prices in active markets for identical investments, unrestricted assets or liabilities that a Fund has the ability to access at the measurement date;

Level 2 – Quoted prices which are not active, quoted prices for similar assets or liabilities in active markets or inputs other than quoted prices that are observable (either directly or indirectly) for substantially the full term of the asset or liability; and

Level 3 – Significant unobservable prices or inputs (including the Fund's own assumptions in determining the fair value of investments) where there is little or no market activity for the asset or liability at the measurement date.

The following is a summary of each Fund's investments/financial instruments in the fair value hierarchy as of January 31, 2023:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 -<br> Unadjusted<br> Quoted Prices** | **Level 2 -<br> Other<br> Significant<br> Observable<br> Inputs** | **Level 3 -<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| **ALPS \| Smith Short Duration Bond Fund** | **ALPS \| Smith Short Duration Bond Fund** | **ALPS \| Smith Short Duration Bond Fund** | **ALPS \| Smith Short Duration Bond Fund** | **ALPS \| Smith Short Duration Bond Fund** |
| Collateralized Mortgage Obligations | $– | $994702 | $– | $994702 |
| Commercial Mortgage-Backed Securities |  | 261868 |  | 261868 |
| Mortgage-Backed Securities |  | 8242621 |  | 8242621 |
| Corporate Bonds |  | 597206174 |  | 597206174 |
| Government Bonds |  | 185737835 |  | 185737835 |
| Short Term Investments | 4474146 | – | – | 4474146 |
| Total | $4474146 | $792443200 | $– | $796917346 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 -<br> Unadjusted<br> Quoted Prices** | **Level 2 -<br> Other<br> Significant<br> Observable<br> Inputs** | **Level 3 -<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| **ALPS \| Smith Total Return Bond Fund** | **ALPS \| Smith Total Return Bond Fund** | **ALPS \| Smith Total Return Bond Fund** | **ALPS \| Smith Total Return Bond Fund** | **ALPS \| Smith Total Return Bond Fund** |
| Collateralized Mortgage Obligations | $– | $175055482 | $– | $175055482 |
| Commercial Mortgage-Backed Securities |  | 63160570 |  | 63160570 |
| Mortgage-Backed Securities |  | 133945530 |  | 133945530 |
| Corporate Bonds | 16612135 | 786521683 |  | 803133818 |
| Government Bonds |  | 577511170 |  | 577511170 |
| Preferred Stock | 256469 | 67381140 |  | 67637609 |
| Short Term Investments | 14041001 | – | – | 14041001 |
| Total | $30909605 | $1803575575 | $– | $1834485180 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 -<br> Unadjusted<br> Quoted Prices** | **Level 2 -<br> Other<br> Significant<br> Observable<br> Inputs** | **Level 3 -<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| **ALPS \| Smith Credit Opportunities Fund** | **ALPS \| Smith Credit Opportunities Fund** | **ALPS \| Smith Credit Opportunities Fund** | **ALPS \| Smith Credit Opportunities Fund** | **ALPS \| Smith Credit Opportunities Fund** |
| Common Stocks<sup>(a)</sup> | $7534581 | $– | $– | $7534581 |
| Bank Loan |  | 651270 |  | 651270 |
| Collateralized Mortgage Obligations |  | 1292131 |  | 1292131 |
| Mortgage-Backed Securities |  | 4093215 |  | 4093215 |
| Corporate Bonds | 2932365 | 227398683 |  | 230331048 |
| Government Bonds |  | 11950702 |  | 11950702 |
| Preferred Stock | 3040750 | 18123956 |  | 21164706 |
| Short Term Investments | 1151953 | – | – | 1151953 |
| Total | $14659649 | $263509957 | $– | $278169606 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 -<br> Unadjusted<br> Quoted Prices** | **Level 2 -<br> Other<br> Significant<br> Observable<br> Inputs** | **Level 3 -<br> Significant<br> Unobservable<br> Inputs** | **Total** |
| **ALPS \| Smith Balanced Opportunity Fund** | **ALPS \| Smith Balanced Opportunity Fund** | **ALPS \| Smith Balanced Opportunity Fund** | **ALPS \| Smith Balanced Opportunity Fund** | **ALPS \| Smith Balanced Opportunity Fund** |
| Common Stocks<sup>(a)</sup> | $13746604 | $– | $– | $13746604 |
| Collateralized Mortgage Obligations |  | 1142020 |  | 1142020 |
| Commercial Mortgage-Backed Securities |  | 22970 |  | 22970 |
| Mortgage-Backed Securities |  | 867814 |  | 867814 |
| Corporate Bonds | 41514 | 3276323 |  | 3317837 |
| Government Bonds |  | 2722737 |  | 2722737 |
| Preferred Stock |  | 472904 |  | 472904 |
| Short Term Investments | 1790525 | – | – | 1790525 |
| Total | $15578643 | $8504768 | $– | $24083411 |

---

*<sup>(a)</sup>* *For detailed descriptions of sector and/or industry, see the accompanying Statement of Investments.*

For the period ended January 31, 2023, the Funds did not have any securities that used significant unobservable inputs (Level 3) in determining fair value.

**Fund and Class Expenses:** Some expenses of the Trust can be directly attributed to a Fund or a specific share class of a Fund. Expenses which cannot be directly attributed are apportioned among all Funds in the Trust based on average net assets of each share class within a Fund.

**Federal Income Taxes:** The Funds comply with the requirements under Subchapter M of the Internal Revenue Code of 1986, as amended (the "Code") applicable to regulated investment companies and intend to distribute substantially all of their net taxable income and net capital gains, if any, each year. The Funds are not subject to income taxes to the extent such distributions are made.

The Funds file U.S. federal, state, and local tax returns as required. The Funds' tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations which is generally three years after the filing of the tax return, but may extend to four years in certain jurisdictions. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

**Distributions to Shareholders:** Each Fund normally pays dividends, if any, on a monthly basis and distributes capital gains, if any, annually. Income dividend distributions are derived from interest, dividends, and other income a Fund receives from its investments, including distributions of short-term capital gains. Capital gain distributions are derived from gains realized when a Fund sells a security it has owned for more than a year or from long-term capital gain distributions from underlying investments. Each Fund may make additional distributions and dividends at other times if its portfolio manager or managers believe doing so may be necessary for the Fund to avoid or reduce taxes.

**Investment Transactions and Investment Income:** Investment transactions are accounted for on the date the investments are purchased or sold (trade date basis). Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income, which includes accretion of discounts and amortization of premiums, is accrued and recorded as earned. Dividend income is recognized on the ex-dividend date or for certain foreign securities, as soon as information is available to each Fund.

**Real Estate Investment Trusts ("REITs"):** The Funds may invest a portion of their assets in REITs and are subject to certain risks associated with direct investment in REITs. REITs may be affected by changes in the value of their underlying properties and by defaults by borrowers or tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareowners, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time. In addition, the performance of a REIT may be affected by its failure to qualify for tax-free pass-through of income under the Code, or its failure to maintain exemption from registration under the 1940 Act. Distributions that the Fund receives from REITs can be classified as ordinary income, capital gain income or return of capital by the REITs that make these distributions to the Fund. However, it is not possible for the Fund to characterize distributions received from REITs during interim periods because the REIT issuers do not report their tax characterizations until subsequent to year end. During interim periods, the REIT distributions are accounted for as ordinary income until the re characterizations are made subsequent to year end.

**Treasury Inflation Protected-Securities ("TIPS"):** The Funds may invest in TIPS, including structured bonds in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost. Such adjustments may have a significant impact on a Fund's distributions and may result in a return of capital to shareholders. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

**Loan Participations and Assignments:** Certain Funds may invest in loan participations and assignments. The Fund considers loan participations and assignments to be investments in debt securities. Loan participations typically will result in the Fund having a contractual relationship only with the lender, not with the borrower. The Fund will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the borrower. Under a loan participation, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower. When the Fund purchases assignments of loans from lenders, the Fund will acquire direct rights against the borrower on the loan, except that under certain circumstances such rights may be more limited than those held by the assigning lender.

**Libor Risk:** Certain holdings of the Funds' underlying investments may use a floating rate based on the London Interbank Offered Rate ("LIBOR"), which is the offered rate for short-term Eurodollar deposits between major international banks. As of December 31, 2021, the United Kingdom Financial Conduct Authority ("FCA") and LIBOR's administrator, ICE Benchmark Administration, have ceased the publication of all non-U.S. dollar LIBOR and the one-week and two-month U.S. dollar LIBOR rates, but the most widely used U.S. dollar LIBOR settings will continue to be published until June 30, 2023. Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, was signed into law in the United States. This legislation establishes a uniform benchmark replacement process for financial contracts that mature after June 30, 2023 that do not contain clearly defined or practicable fallback provisions.

The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve's Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing the Secured Overnight Financing Rate (referred to as "SOFR"), which is their preferred alternative rate for U.S. dollar LIBOR. Proposals for alternative reference rates for other currencies have also been announced or have already begun publication. Markets are in the process of developing in response to these new rates. Although financial regulators and industry working groups have suggested alternative reference rates, such as the European Interbank Offer Rate, the Sterling Overnight Interbank Average Rate and SOFR, there has been no global consensus as to an alternative rate and the process for amending existing contracts or instruments to transition away from LIBOR remains incomplete.

The elimination of LIBOR or changes to other reference rates or any other changes or reforms to the determination or supervision of reference rates could have an adverse impact on the market for, or value of, any securities or payments linked to those reference rates, which may adversely affect Fund performance and/or net asset value. Uncertainty and risk also remain regarding the willingness and ability of issuers and lenders to include revised provisions in new and existing contracts or instruments. Consequently, the transition away from LIBOR to other reference rates may lead to increased volatility and illiquidity in markets that are tied to LIBOR, fluctuations in values of LIBOR-related investments or investments in issuers that utilize LIBOR, increased difficulty in borrowing or refinancing and diminished effectiveness of hedging strategies, potentially adversely affecting Fund performance. Furthermore, the risks associated with the expected discontinuation of LIBOR and transition to alternative rates may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner.

**COVID-19 and Global Economic and Market Conditions:** The impact of the novel coronavirus ("COVID-19") pandemic has rapidly evolved around the globe, causing disruption in the U.S. and global economies. Although the global economy continued reopening in 2022 and robust economic activity has supported a continued recovery, certain geographies, most notably China, have experienced setbacks. The pandemic and the responses thereto have caused various disruptions to the global supply chain, affecting wide swaths of manufacturing, automotive and consumer goods, among other sectors. While the health and economic outlook may improve in the short-term in some markets, such improvements may be uncertain and short-lived due to the rise of potential new variants and increased cases and hospitalizations, as well as potential increased restrictions in the response thereto. Further, the negative economic consequences, including to the global supply chain, caused by the pandemic may be prolonged and take years to resolve, if ever. Issuers that operate in the hospitality, healthcare, travel and entertainment industries may continue to face adverse market conditions due to future restrictions, which could result in adverse performance and potentially bankruptcy. Further, the disruptions caused by the pandemic have contributed to the global and U.S. rise in inflation, which may further increase in the future. Changes in the nature of the pandemic, including any increases in virality and/or lethality, may have negative consequences for the Funds, its service providers and issuers. The uncertainty triggered by the pandemic is likely to continue and may have effects on the overall market and the Funds' performance.

Additionally, certain Funds may operate in, or have dealings with, countries subject to sanctions or embargos imposed by the U.S. government, foreign governments, or the United Nations or other international organizations. In particular, on February 24, 2022, Russian troops began a full-scale invasion of Ukraine and, as of the date hereof, the countries remain in active armed conflict. Around the same time, the U.S., the U.K., the E.U., and several other nations announced a broad array of new or expanded sanctions, export controls, and other measures against Russia, Russian backed separatist regions in Ukraine, and certain banks, companies, government officials, and other individuals in Russia and Belarus, as well as a number of Russian Oligarchs. The U.S. or other countries could also institute broader sanctions on Russia and others supporting Russia' economy or military efforts. The ongoing conflict and the rapidly evolving measures in response could be expected to have a negative impact on the economy and business activity globally (including in the countries in which the Funds invest), and therefore are expected to result in adverse consequences to the Russian economy and could have a material adverse effect on our portfolio companies and our business, financial condition, cash flows and results of operations. The severity and duration of the conflict and its impact on global economic and market conditions are impossible to predict, and as a result, present material uncertainty and risk with respect to the Funds and their portfolio companies and operations, and the ability of the Funds to achieve their investment objectives. Similar risks will exist to the extent that any portfolio companies, service providers, vendors or certain other parties have material operations or assets in Russia, Ukraine, Belarus, or the immediate surrounding areas. Sanctions could also result in Russia taking counter measures or retaliatory actions which could adversely impact the Funds or the business of the the Funds' investments, including, but not limited to, cyberattacks targeting private companies, individuals or other infrastructure upon which the Funds and the companies in which the Funds invest rely.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** FINANCIAL INVESTORS TRUST

- **b. Investment Company Act file number:** 811-08194

- **c. CIK number of Registrant:** 0000915802

- **d. LEI of Registrant:** 549300XD6LCPI5YWPZ35

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

  - **Street Address 1:** 1290 BROADWAY SUITE 1000

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80203

  - **Telephone number:** 3036232577

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

- **a. Name of Series:** ALPS | Smith Credit Opportunities Fund

- **b. EDGAR series identifier (if any):** S000069461

- **c. LEI of Series:** 5493005SGUFDPSMMPO13

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $289562712.12

**Total Liabilities:** $11908492.60

**Net Assets:** $277654219.52

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1793.81975700 | **1-Year:** 5857.05755000 | **5-Year:** 11372.98374200 | **10-Year:** 14753.65314400 | **30-Year:** 7678.75540600

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

- **3-Month:** 107.23197600 | **1-Year:** 4814.26963600 | **5-Year:** 36589.66971400 | **10-Year:** 16911.64290000 | **30-Year:** 676.42956500

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000221743 | -0.52%               | -2.60%               | 1.24%                |
| Class ID C000221742 | 1.85%                | -0.34%               | 3.63%                |
| Class ID C000221745 | 1.87%                | -0.40%               | 3.65%                |
| Class ID C000221744 | 0.79%                | -1.36%               | 2.45%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1788866.46             | $5706526.27                                |
| Month 2  | $-378375.58              | $-1515084.09                               |
| Month 3  | $-2990652.91             | $11485792.84                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| National Rural Util Coop                       | National Rural Utilities Cooperative Finance Corp.                                | CUSIP: 637432MT9<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1728530.15   | 0.62%             | 2043-04-30      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38375BZS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51578 | PA      | $51350.84     | 0.02%             | 2062-10-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Gray Television Inc                            | Gray Television, Inc.                                                             | CUSIP: 389375AL0<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1477910.00   | 0.53%             | 2030-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Nexstar Broadcasting Inc                       | Nexstar Media, Inc.                                                               | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1907960.00   | 0.69%             | 2027-07-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Ubs Group Ag                                   | UBS Group AG                                                                      | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1000000 | PA      | $985401.05    | 0.35%             | 2026-05-12      | Variable      | 4.49%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31371KYG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39869 | PA      | $40714.81     | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group Ag                         | Credit Suisse Group AG                                                            | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1000000 | PA      | $960914.09    | 0.35%             | 2033-08-12      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31404XM76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19937 | PA      | $19592.15     | 0.01%             | 2035-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36202FCG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51209 | PA      | $50767.33     | 0.02%             | 2039-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36180KPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84661 | PA      | $80122.02     | 0.03%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cco Hldgs Llc/cap Corp                         | CCO Holdings LLC / CCO Holdings Capital Corp.                                     | CUSIP: 1248EPCS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1545832.00   | 0.56%             | 2029-09-01      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Hanesbrands Inc                                | Hanesbrands, Inc.                                                                 | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1351842.25   | 0.49%             | 2026-05-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31413FLL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15844 | PA      | $16313.55     | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36179KRT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93161 | PA      | $97631.58     | 0.04%             | 2035-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 3132H7D50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34019 | PA      | $33542.39     | 0.01%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 3132G7FW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58643 | PA      | $55184.10     | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31418B5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36831 | PA      | $34410.26     | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31371HPH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24109 | PA      | $24074.69     | 0.01%             | 2029-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                 | Morgan Stanley                                                                    | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1473202.58   | 0.53%             | 2025-04-17      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Genesis Energy Lp/fin                          | Genesis Energy LP / Genesis Energy Finance Corp.                                  | CUSIP: 37185LAM4<br>LEI: 549300VJ5D6MDK138782 | Long             | DBT              | CORP              | US        |   4535000 | PA      | $4483550.43   | 1.61%             | 2027-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United Air 2020-1 A Ptt                        | United Airlines 2020-1 Class A Pass Through Trust                                 | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3885847 | PA      | $3937553.30   | 1.42%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38375BMB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51428 | PA      | $51228.82     | 0.02%             | 2061-05-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners                       | Targa Resources Partners LP / Targa Resources Partners Finance Corp.              | CUSIP: 87612BBL5<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1542226.18   | 0.56%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                | CUSIP: 3137BPTA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87433 | PA      | $90627.33     | 0.03%             | 2038-01-15      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Charter Comm Opt Llc/cap                       | Charter Communications Operating LLC / Charter Communications Operating Capital   | CUSIP: 161175BY9<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |   1689000 | PA      | $1073943.79   | 0.39%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                  | CUSIP: 3131Y6P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     50707 | PA      | $48891.67     | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31371NKB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35119 | PA      | $36393.80     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco                       | Flex Intermediate Holdco LLC                                                      | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   1733000 | PA      | $1332964.96   | 0.48%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38379JY39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87182 | PA      | $80075.28     | 0.03%             | 2045-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc                        | Goldman Sachs Group, Inc.                                                         | CUSIP: 38145G308<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EP               | CORP              | US        |     85000 | NS      | $2120750.00   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31412PGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45988 | PA      | $46026.79     | 0.02%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mgm Resorts Intl                               | MGM Resorts International                                                         | CUSIP: 552953CH2<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2633247.79   | 0.95%             | 2028-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bank                               | Fifth Third Bank NA                                                               | CUSIP: 31677QBT5<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1016039.23   | 0.37%             | 2025-10-27      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| American Express Co                            | American Express Co.                                                              | CUSIP: 025816CH0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1330949.66   | 0.48%             | 2049-12-31      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Cloud Software Grp Holdg                       | Cloud Software Group Holdings, Inc.                                               | CUSIP: 88632QAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3515696.40   | 1.27%             | 2029-03-31      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Hilcorp Energy I/hilcorp                       | Hilcorp Energy I LP / Hilcorp Finance Co.                                         | CUSIP: 431318AZ7<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |    308000 | PA      | $284634.35    | 0.10%             | 2032-04-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Chart Industries Inc                           | Chart Industries, Inc.                                                            | CUSIP: 16115QAF7<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1023750.00   | 0.37%             | 2030-01-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Howard Hughes Corp                             | Howard Hughes Corp.                                                               | CUSIP: 44267DAE7<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |   1392000 | PA      | $1203613.68   | 0.43%             | 2029-02-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 3128KCDR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56188 | PA      | $57833.48     | 0.02%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co Llc                       | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1576875.00   | 0.57%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31412HQS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45272 | PA      | $46917.15     | 0.02%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                | CUSIP: 31395V2T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34435 | PA      | $29240.14     | 0.01%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners Lp                            | Buckeye Partners LP                                                               | CUSIP: 118230AU5<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |   1698000 | PA      | $1551730.49   | 0.56%             | 2028-03-01      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Buckeye Partners Lp                            | Buckeye Partners LP                                                               | CUSIP: 118230AK7<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1194882.00   | 0.43%             | 2023-07-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                 | CUSIP: 3620C0WD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41361 | PA      | $42364.91     | 0.02%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Owl Rock Core Income Cor                       | OWL Rock Core Income Corp.                                                        | CUSIP: 69120VAM3<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |   2785000 | PA      | $2431098.52   | 0.88%             | 2026-09-23      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 31288LFX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29200 | PA      | $29112.35     | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                            | Synchrony Financial                                                               | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3007012.80   | 1.08%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Chart Industries Inc                           | Chart Industries, Inc.                                                            | CUSIP: 16115QAG5<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1044870.00   | 0.38%             | 2031-01-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| United Natural Foods Inc                       | United Natural Foods, Inc.                                                        | CUSIP: 911163AA1<br>LEI: 549300GKGW6WPZ282D40 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1835970.00   | 0.66%             | 2028-10-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Canpack Sa/canpack Us                          | Canpack SA / Canpack US LLC                                                       | CUSIP: 13806CAA0<br>LEI: 259400TS8W5E4ILGVP08 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4157900.00   | 1.50%             | 2029-11-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Msilf Government Portfolio                     | Morgan Stanley Institutional Liquidity Funds - Government Portfolio               | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   1155340 | NS      | $1155339.79   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                  | CUSIP: 3131XFY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     25888 | PA      | $25707.27     | 0.01%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38376RTG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43637 | PA      | $43535.01     | 0.02%             | 2066-03-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36182NQ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     78448 | PA      | $76323.90     | 0.03%             | 2044-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Us Treasury N/b                                | U.S. Treasury Bond                                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6880000 | PA      | $7358375.00   | 2.65%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Neptune Bidco Us Inc                           | Neptune Bidco US, Inc.                                                            | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1460272.50   | 0.53%             | 2029-04-15      | Fixed         | 9.29%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38375BQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26568 | PA      | $26451.23     | 0.01%             | 2063-03-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| British Air 20-1 A Ptt                         | British Airways 2020-1 Class A Pass Through Trust                                 | CUSIP: 11044MAA4<br>LEI: 375X9PSJLLOV7F21O626 | Long             | DBT              | CORP              | US        |   1327426 | PA      | $1226670.97   | 0.44%             | 2032-11-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Park Aerospace Holdings                        | Park Aerospace Holdings, Ltd.                                                     | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   2700000 | PA      | $2697336.75   | 0.97%             | 2023-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 3138AFAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70764 | PA      | $69739.42     | 0.03%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I/hilcorp                       | Hilcorp Energy I LP / Hilcorp Finance Co.                                         | CUSIP: 431318AS3<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |   1506000 | PA      | $1448342.79   | 0.52%             | 2028-11-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36230N3P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96778 | PA      | $91996.73     | 0.03%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Organon & Co/org                               | Organon & Co. / Organon Foreign Debt Co-Issuer BV                                 | CUSIP: 68622TAB7<br>LEI: 549300SH15FO4Y2G3V63 | Long             | DBT              | CORP              | US        |   2280000 | PA      | $2061792.60   | 0.74%             | 2031-04-30      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Onemain Finance Corp                           | OneMain Finance Corp.                                                             | CUSIP: 85172FAF6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1100597.65   | 0.40%             | 2023-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Alaska Airlines 2020 Tr                        | Alaska Airlines 2020-1 Class A Pass Through Trust                                 | CUSIP: 01166VAA7<br>LEI: PG4W4UTDTMMEBRGLO537 | Long             | DBT              | CORP              | US        |    632418 | PA      | $616339.78    | 0.22%             | 2027-08-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                 | CUSIP: 31392FES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12758 | PA      | $12699.71     | 0.00%             | 2032-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Antares Holdings                               | Antares Holdings LP                                                               | CUSIP: 03666HAC5<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2190537.55   | 0.79%             | 2026-07-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Cedar Fair/can/magnum/mi                       | Cedar Fair LP / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op | CUSIP: 150190AF3<br>LEI: 549300TUVLNQQ6BVKH61 | Long             | DBT              | CORP              | US        |   1503000 | PA      | $1493692.67   | 0.54%             | 2025-05-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Consolidated Communicati                       | Consolidated Communications, Inc.                                                 | CUSIP: 20903XAH6<br>LEI: 549300WW675Y48HDVX34 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $3381466.64   | 1.22%             | 2028-10-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Gray Television Inc                            | Gray Television, Inc.                                                             | CUSIP: 389284AA8<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |    850000 | PA      | $774447.75    | 0.28%             | 2027-05-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38375BVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26205 | PA      | $26122.83     | 0.01%             | 2062-09-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Nexstar Media Inc                              | Nexstar Media, Inc.                                                               | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1310734.75   | 0.47%             | 2028-11-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38383DZ68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129162 | PA      | $119895.45    | 0.04%             | 2051-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54753 | PA      | $54493.14     | 0.02%             | 2068-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Penn Entertainment Inc                         | Penn Entertainment, Inc.                                                          | CUSIP: 707569AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4674000 | PA      | $4398234.00   | 1.58%             | 2027-01-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Hca Inc                                        | HCA, Inc.                                                                         | CUSIP: 404119CF4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $888638.89    | 0.32%             | 2032-03-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31413TLN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18976 | PA      | $19082.71     | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 3128MU5P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60104 | PA      | $59220.37     | 0.02%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                | CUSIP: 3137AEDG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2596 | PA      | $2586.48      | 0.00%             | 2040-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Scripps Escrow Ii Inc                          | Scripps Escrow II, Inc.                                                           | CUSIP: 81105DAB1<br>LEI: 549300U1OW41QPKYW028 | Long             | DBT              | CORP              | US        |   6100000 | PA      | $4930325.00   | 1.78%             | 2031-01-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36202FTG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35451 | PA      | $34633.57     | 0.01%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 3138EPQ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21117 | PA      | $21802.79     | 0.01%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31410KAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22466 | PA      | $22959.05     | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                    | Truist Bank                                                                       | CUSIP: 86787GAJ1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $953041.45    | 0.34%             | 2026-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16037 | PA      | $16513.94     | 0.01%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Onemain Finance Corp                           | OneMain Finance Corp.                                                             | CUSIP: 85172FAM1<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1647038.25   | 0.59%             | 2025-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Cco Hldgs Llc/cap Corp                         | CCO Holdings LLC / CCO Holdings Capital Corp.                                     | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    673000 | PA      | $572995.57    | 0.21%             | 2032-02-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                | CUSIP: 31392UBG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31860 | PA      | $32811.57     | 0.01%             | 2032-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31371G4U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25022 | PA      | $24994.20     | 0.01%             | 2028-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38375UEJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13956 | PA      | $13921.72     | 0.01%             | 2064-01-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Gray Escrow Ii Inc                             | Gray Escrow II, Inc.                                                              | CUSIP: 389286AA3<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2310900.00   | 0.83%             | 2031-11-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp                                 | Air Lease Corp.                                                                   | CUSIP: 00912XBK9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2350500.00   | 0.85%             | 2049-12-31      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 3140J8BT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50777 | PA      | $46899.23     | 0.02%             | 2048-02-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Us Treasury N/b                                | U.S. Treasury Note                                                                | CUSIP: 91282CGD7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3391000 | PA      | $3391264.90   | 1.22%             | 2024-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| General Motors Finl Co                         | General Motors Financial Co., Inc.                                                | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1363117.74   | 0.49%             | 2033-01-09      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Scripps Escrow Inc                             | Scripps Escrow, Inc.                                                              | CUSIP: 81104PAA7<br>LEI: 549300U1OW41QPKYW028 | Long             | DBT              | CORP              | US        |    900000 | PA      | $804289.50    | 0.29%             | 2027-07-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Atlas Luxco 4 / All Uni                        | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl     | CUSIP: 019579AA9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2332327.50   | 0.84%             | 2028-06-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Co                                | Nissan Motor Co., Ltd.                                                            | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   1400000 | PA      | $1319028.02   | 0.48%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31403BAB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42112 | PA      | $42153.38     | 0.02%             | 2033-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38380QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59743 | PA      | $60249.87     | 0.02%             | 2070-04-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co Llc                       | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397YG2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245156.25    | 0.09%             | 2024-01-09      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Nordstrom Inc                                  | Nordstrom, Inc.                                                                   | CUSIP: 655664AX8<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1425352.50   | 0.51%             | 2024-04-08      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36202FQA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33452 | PA      | $32685.26     | 0.01%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Alcon Finance Corp                             | Alcon Finance Corp.                                                               | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1393354.76   | 0.50%             | 2032-12-06      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp                          | Truist Financial Corp.                                                            | CUSIP: 89832QAD1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1441072.56   | 0.52%             | 2049-12-31      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Owens-brockway                                 | Owens-Brockway Glass Container, Inc.                                              | CUSIP: 69073TAR4<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1101996.07   | 0.40%             | 2023-08-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Hilcorp Energy I/hilcorp                       | Hilcorp Energy I LP / Hilcorp Finance Co.                                         | CUSIP: 431318AU8<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2840251.50   | 1.02%             | 2029-02-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial Inc                             | Ally Financial, Inc.                                                              | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1378105.61   | 0.50%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Cushman & Wakefield Us                         | Cushman & Wakefield US Borrower LLC                                               | CUSIP: 23166MAA1<br>LEI: 549300870CMN3WI5IF97 | Long             | DBT              | CORP              | US        |   2975000 | PA      | $2875887.88   | 1.04%             | 2028-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Caesars Entertain Inc                          | Caesars Entertainment, Inc.                                                       | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2801562.50   | 1.01%             | 2030-02-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Unicredit Spa                                  | UniCredit SpA                                                                     | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1589000 | PA      | $1401769.27   | 0.50%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Pool                                                                  | CUSIP: 3131XFY79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     48814 | PA      | $49281.08     | 0.02%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co                                | Nissan Motor Co., Ltd.                                                            | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   1100000 | PA      | $995223.25    | 0.36%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Pnc Financial Services                         | PNC Financial Services Group, Inc.                                                | CUSIP: 693475BC8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1566000 | PA      | $1338930.00   | 0.48%             | 2049-12-31      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 31281BMU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11785 | PA      | $11715.10     | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners                       | Targa Resources Partners LP / Targa Resources Partners Finance Corp.              | CUSIP: 87612BBN1<br>LEI: 6OQWTZ1SPC04IFT4T704 | Long             | DBT              | CORP              | US        |   2957000 | PA      | $3040150.84   | 1.09%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Gfl Environmental Inc                          | GFL Environmental, Inc.                                                           | CUSIP: 36168QAF1<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |   2399000 | PA      | $2336446.08   | 0.84%             | 2026-12-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38376KLB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15392 | PA      | $15186.66     | 0.01%             | 2039-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31419AJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45866 | PA      | $46849.00     | 0.02%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alaska Air 2020-1 Cl B                         | Alaska Airlines 2020-1 Class B Pass Through Trust                                 | CUSIP: 01166WAA5<br>LEI: PG4W4UTDTMMEBRGLO537 | Long             | DBT              | CORP              | US        |   1688606 | PA      | $1695635.04   | 0.61%             | 2025-08-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co Llc                       | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1366144.00   | 0.49%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Resolute Forest Products                       | Resolute Forest Products, Inc.                                                    | CUSIP: 76117WAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4050000 | PA      | $4019098.50   | 1.45%             | 2026-03-01      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Celanese Us Holdings Llc                       | Celanese US Holdings LLC                                                          | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2280556.31   | 0.82%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Compass Group Diversifie                       | Compass Group Diversified Holdings LLC                                            | CUSIP: 20451RAC6<br>LEI: 549300I6PTUQPX21TE93 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2057001.23   | 0.74%             | 2032-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31380HGJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25784 | PA      | $26736.53     | 0.01%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Outfront Media Cap Llc/c                       | Outfront Media Capital LLC / Outfront Media Capital Corp.                         | CUSIP: 69007TAB0<br>LEI: 5493005WC7J0FDMW0610 | Long             | DBT              | CORP              | US        |   3052000 | PA      | $2811572.29   | 1.01%             | 2027-08-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Avient Corp                                    | Avient Corp.                                                                      | CUSIP: 05368VAA4<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |    250000 | PA      | $252180.90    | 0.09%             | 2030-08-01      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Texas Instruments Inc                          | Texas Instruments, Inc.                                                           | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |      3234 | NS      | $573097.14    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Mauser Packaging Solut                         | Mauser Packaging Solutions Holding Co.                                            | CUSIP: 57763RAB3<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101000.00    | 0.04%             | 2026-08-15      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31371MP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30043 | PA      | $29571.05     | 0.01%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31371NHB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20784 | PA      | $20612.19     | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/s                                | Danske Bank A/S                                                                   | CUSIP: 23636AAZ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   3400000 | PA      | $3057064.92   | 1.10%             | 2026-09-11      | Variable      | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 312940E47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23893 | PA      | $24649.68     | 0.01%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nmg Hldco/neiman Marcus                        | NMG Holding Co. Inc / Neiman Marcus Group LLC                                     | CUSIP: 62929RAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3800000 | PA      | $3633993.92   | 1.31%             | 2026-04-01      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 3128M6KC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34309 | PA      | $35964.72     | 0.01%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31402SJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37322 | PA      | $36847.74     | 0.01%             | 2028-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co                                      | Boeing Co.                                                                        | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1341150.46   | 0.48%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners Lp                    | Cheniere Energy Partners LP                                                       | CUSIP: 16411Q101<br>LEI: 5493005UEC8AZ34LDV29 | Long             | EC               | CORP              | US        |     27491 | NS      | $1500183.87   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Gfl Environmental Inc                          | GFL Environmental, Inc.                                                           | CUSIP: 36168QAL8<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |   2800000 | PA      | $2489270.00   | 0.90%             | 2028-08-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Jane Street Grp/jsg Fin                        | Jane Street Group / JSG Finance, Inc.                                             | CUSIP: 47077WAA6<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |   1679000 | PA      | $1501191.28   | 0.54%             | 2029-11-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Suncoke Energy Inc                             | SunCoke Energy, Inc.                                                              | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1339264.40   | 0.48%             | 2029-06-30      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Unicredit Spa                                  | UniCredit SpA                                                                     | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1500000 | PA      | $1530893.90   | 0.55%             | 2023-12-04      | Fixed         | 7.83%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36202FX68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14403 | PA      | $14070.95     | 0.01%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31371LFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21990 | PA      | $21815.62     | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cco Hldgs Llc/cap Corp                         | CCO Holdings LLC / CCO Holdings Capital Corp.                                     | CUSIP: 1248EPCT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2006250.00   | 0.72%             | 2031-03-01      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36290ULH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95511 | PA      | $90979.98     | 0.03%             | 2042-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings Lp                            | Kinetik Holdings LP                                                               | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1902670.00   | 0.69%             | 2030-06-15      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 31281BPP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19914 | PA      | $19518.00     | 0.01%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Midwest Connector Capit                        | Midwest Connector Capital Co. LLC                                                 | CUSIP: 59833CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3675000 | PA      | $3592056.21   | 1.29%             | 2024-04-01      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Glp Capital Lp / Fin Ii                        | GLP Capital LP / GLP Financing II, Inc.                                           | CUSIP: 361841AK5<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |    750000 | PA      | $764771.25    | 0.28%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Dycom Industries Inc                           | Dycom Industries, Inc.                                                            | CUSIP: 267475AD3<br>LEI: 549300F56EKTHQI3WT60 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2017181.25   | 0.73%             | 2029-04-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Shea Homes LP                                  | Shea Homes LP                                                                     | CUSIP: 82088KAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3125000 | PA      | $2706859.38   | 0.97%             | 2029-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Costar Group Inc                               | CoStar Group, Inc.                                                                | CUSIP: 22160NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2700000 | PA      | $2283835.58   | 0.82%             | 2030-07-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Vistra Corp                                    | Vistra Operations Co. LLC                                                         | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1292103.92   | 0.47%             | 2026-09-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group Ag                         | Credit Suisse Group AG                                                            | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2000000 | PA      | $2248690.84   | 0.81%             | 2033-11-15      | Variable      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| Intesa Sanpaolo Spa                            | Intesa Sanpaolo SpA                                                               | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   2000000 | PA      | $2066540.74   | 0.74%             | 2025-11-21      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Midwest Connector Capit                        | Midwest Connector Capital Co. LLC                                                 | CUSIP: 59833CAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1734000 | PA      | $1623519.00   | 0.58%             | 2029-04-01      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Avient Corp                                    | Avient Corp.                                                                      | CUSIP: 73179PAM8<br>LEI: SM8L9RZYIB34LNTWO040 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1510993.74   | 0.54%             | 2025-05-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Transdigm Inc                                  | TransDigm, Inc.                                                                   | CUSIP: 893647BK2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |   5185000 | PA      | $5291966.55   | 1.91%             | 2025-12-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31379JVR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15569 | PA      | $15567.02     | 0.01%             | 2027-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co                                      | Boeing Co.                                                                        | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $1616712.37   | 0.58%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 3138WEY94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57690 | PA      | $55630.08     | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                  | Sempra Energy                                                                     | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   2725000 | PA      | $2389406.28   | 0.86%             | 2052-04-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Wash Multifam Acq Inc                          | WASH Multifamily Acquisition, Inc.                                                | CUSIP: 93710WAA3<br>LEI: 549300AS7PRY5PHG6L12 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2079041.42   | 0.75%             | 2026-04-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31412NB88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27385 | PA      | $27553.70     | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Discover Financial Svs                         | Discover Financial Services                                                       | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |   1940000 | PA      | $2073080.45   | 0.75%             | 2032-11-29      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| Barclays Plc                                   | Barclays PLC                                                                      | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1500571.70   | 0.54%             | 2026-08-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Range Resources Corp                           | Range Resources Corp.                                                             | CUSIP: 75281ABJ7<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1441104.00   | 0.52%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                 | CUSIP: 31396YHR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137890 | PA      | $131590.75    | 0.05%             | 2038-02-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38375BU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17646 | PA      | $17552.18     | 0.01%             | 2063-03-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Lincoln National Corp                          | Lincoln National Corp.                                                            | CUSIP: 534187885<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | EP               | CORP              | US        |     32000 | NS      | $920000.00    | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 3128M2AA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29549 | PA      | $29934.86     | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Us Treasury N/b                                | U.S. Treasury Bond                                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1920000 | PA      | $1984500.00   | 0.71%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Compass Group Diversifie                       | Compass Group Diversified Holdings LLC                                            | CUSIP: 20451RAB8<br>LEI: 549300I6PTUQPX21TE93 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1576995.00   | 0.57%             | 2029-04-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| General Motors Finl Co                         | General Motors Financial Co., Inc.                                                | CUSIP: 37045XDT0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1289682.86   | 0.46%             | 2025-04-07      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co Llc                       | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    650000 | PA      | $646074.73    | 0.23%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38382KR54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162035 | PA      | $94255.18     | 0.03%             | 2050-10-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Aercap Ireland Cap/globa                       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                         | CUSIP: 00774MAT2<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | CORP              | IE        |    800000 | PA      | $776513.72    | 0.28%             | 2023-10-29      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| Tri Pointe Homes Inc                           | Tri Pointe Homes, Inc.                                                            | CUSIP: 87265HAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2817570.00   | 1.01%             | 2028-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31403REP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38207 | PA      | $38897.01     | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mgm Resorts Intl                               | MGM Resorts International                                                         | CUSIP: 552953CG4<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |   1233000 | PA      | $1243491.05   | 0.45%             | 2025-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Cor                       | Occidental Petroleum Corp.                                                        | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1360554.00   | 0.49%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Shea Homes LP                                  | Shea Homes LP                                                                     | CUSIP: 82088KAK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125000 | PA      | $111540.63    | 0.04%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac Gold Pool                                                             | CUSIP: 31322YZJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41314 | PA      | $38634.67     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31417SQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5444 | PA      | $5264.69      | 0.00%             | 2040-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| At&t Inc                                       | AT&T, Inc.                                                                        | CUSIP: 00206R300<br>LEI: 549300Z40J86GGSTL398 | Long             | EP               | CORP              | US        |    122131 | NS      | $2932365.31   | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31388BXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27782 | PA      | $27765.28     | 0.01%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Victoria's Secret & Co                         | Victoria's Secret & Co.                                                           | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |   2225000 | PA      | $1851600.50   | 0.67%             | 2029-07-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Discovery Communications                       | Discovery Communications LLC                                                      | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    833000 | PA      | $574164.13    | 0.21%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vici Properties / Note                         | VICI Properties LP / VICI Note Co., Inc.                                          | CUSIP: 92564RAF2<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |   1137000 | PA      | $1136014.99   | 0.41%             | 2024-05-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas & Electric                         | Pacific Gas and Electric Co.                                                      | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1963481.70   | 0.71%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36202FCR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32480 | PA      | $34614.42     | 0.01%             | 2039-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae REMICS                                                                 | CUSIP: 31392GEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57372 | PA      | $60127.82     | 0.02%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Antares Holdings                               | Antares Holdings LP                                                               | CUSIP: 03666HAD3<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |    500000 | PA      | $411761.99    | 0.15%             | 2027-01-15      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Aercap Holdings Nv                             | AerCap Holdings NV                                                                | CUSIP: 00774YAA7<br>LEI: 549300SZYINBBLJQU475 | Long             | DBT              | CORP              | NL        |   4499000 | PA      | $4315620.76   | 1.55%             | 2079-10-10      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Co                       | Capital One Financial Corp.                                                       | CUSIP: 14040HCY9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1331126.83   | 0.48%             | 2034-02-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Pnc Financial Services                         | PNC Financial Services Group, Inc.                                                | CUSIP: 693475AK1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   5302000 | PA      | $5315633.24   | 1.91%             | 2049-12-31      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| Glp Capital Lp / Fin Ii                        | GLP Capital LP / GLP Financing II, Inc.                                           | CUSIP: 361841AL3<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   2600000 | PA      | $2538159.00   | 0.91%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Us Treasury N/b                                | U.S. Treasury Note                                                                | CUSIP: 91282CFE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    936000 | PA      | $916695.00    | 0.33%             | 2025-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Ishares 0-5 Year High Yield Corporate Bond Etf | iShares 0-5 Year High Yield Corporate Bond ETF                                    | CUSIP: 46434V407<br>LEI: 549300R96U5WQ7R5ID10 | Long             | EC               | RF                | US        |    130000 | NS      | $5461300.00   | 1.97%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae I Pool                                                                 | CUSIP: 36200MYD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58401 | PA      | $61567.38     | 0.02%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31410KDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30257 | PA      | $30135.78     | 0.01%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings Inc                       | Warnermedia Holdings, Inc.                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    940000 | PA      | $781981.89    | 0.28%             | 2052-03-15      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31371MN29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28810 | PA      | $29652.24     | 0.01%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36198S4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68851 | PA      | $67682.48     | 0.02%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                    | Freddie Mac REMICS                                                                | CUSIP: 3137BMCX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23637 | PA      | $21815.43     | 0.01%             | 2045-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kennedy-wilson Inc                             | Kennedy-Wilson, Inc.                                                              | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |   4084000 | PA      | $3356517.08   | 1.21%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38377YR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46354 | PA      | $38731.92     | 0.01%             | 2041-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| M&t Bank Corporation                           | M&T Bank Corp.                                                                    | CUSIP: 55261FAR5<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1347590.93   | 0.49%             | 2034-01-27      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38375BKE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27011 | PA      | $26893.48     | 0.01%             | 2060-12-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38375B8G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18656 | PA      | $18744.88     | 0.01%             | 2063-09-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Synovus Bank Ga                                | Synovus Bank/Columbus GA                                                          | CUSIP: 87164DSE1<br>LEI: DX0JX77PRMOELF7VG772 | Long             | DBT              | CORP              | US        |   1774000 | PA      | $1654827.36   | 0.60%             | 2030-10-29      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38375B7T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21349 | PA      | $21327.32     | 0.01%             | 2063-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Suburban Propane Partnrs                       | Suburban Propane Partners LP/Suburban Energy Finance Corp.                        | CUSIP: 864486AL9<br>LEI: JJAX4X60DE65EYFOTY73 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3049764.27   | 1.10%             | 2031-06-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38382JBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125000 | PA      | $77372.28     | 0.03%             | 2048-07-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 3138WMLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96795 | PA      | $87401.30     | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arko Corp                                      | Arko Corp.                                                                        | CUSIP: 041242AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2383095.00   | 0.86%             | 2029-11-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Alexander Funding Trust                        | Alexander Funding Trust                                                           | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1374000 | PA      | $1324974.50   | 0.48%             | 2023-11-15      | Fixed         | 1.84%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 31415RXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46444 | PA      | $48130.83     | 0.02%             | 2038-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I/hilcorp                       | Hilcorp Energy I LP / Hilcorp Finance Co.                                         | CUSIP: 431318AY0<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |    308000 | PA      | $286693.66    | 0.10%             | 2030-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Government National Mortgage Association                                          | CUSIP: 38376RLV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57387 | PA      | $56729.83     | 0.02%             | 2065-11-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners Lp                            | Buckeye Partners LP                                                               | CUSIP: 118230AR2<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    336000 | PA      | $304347.12    | 0.11%             | 2027-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nexstar Media Inc                              | Nexstar Media, Inc.                                                               | CUSIP: 65336RAW8<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    650187 | PA      | $651269.97    | 0.23%             | 2026-09-18      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Forestar Group Inc                             | Forestar Group, Inc.                                                              | CUSIP: 346232AF8<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |   4103000 | PA      | $3661578.42   | 1.32%             | 2026-05-15      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                     | Fannie Mae Pool                                                                   | CUSIP: 3140LJA55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1572480.63   | 0.57%             | 2032-11-01      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36179SNG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16918 | PA      | $15669.48     | 0.01%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group Ag                         | Credit Suisse Group AG                                                            | CUSIP: 225401AL2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2500000 | PA      | $2031250.00   | 0.73%             | 2049-12-31      | Variable      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Vici Properties / Note                         | VICI Properties LP / VICI Note Co., Inc.                                          | CUSIP: 92564RAG0<br>LEI: 254900RKH6RY9KCJQH63 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193790.74    | 0.07%             | 2025-06-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Intesa Sanpaolo Spa                            | Intesa Sanpaolo SpA                                                               | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1000000 | PA      | $1095092.37   | 0.39%             | 2033-11-21      | Variable      | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association       | Ginnie Mae II Pool                                                                | CUSIP: 36179WFB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157461 | PA      | $149930.30    | 0.05%             | 2051-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank Of Ireland Group                          | Bank of Ireland Group PLC                                                         | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1500000 | PA      | $1512827.55   | 0.54%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Transocean Titan Fin Ltd                       | Transocean Titan Financing, Ltd.                                                  | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   1350000 | PA      | $1402744.50   | 0.51%             | 2028-02-01      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Flex Intermediate Holdco                       | Flex Intermediate Holdco LLC                                                      | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   3071000 | PA      | $2507294.76   | 0.90%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** FINANCIAL INVESTORS TRUST

**Signature:** Jennell Panella

**Name of Signer:** Jennell Panella

**Title:** Treasurer