# EDGAR Filing Document

**Accession Number:** 0000811922
**File Stem:** 0001410368-26-007054
**Filing Date:** 2026-1
**Character Count:** 210379
**Document Hash:** b6b7dd81653e40303f16bd6f24eb7f46
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-007054.hdr.sgml**: 20260126

**ACCESSION NUMBER**: 0001410368-26-007054

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260126

**DATE AS OF CHANGE**: 20260126

**PERIOD START**: 20251130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS GOVERNMENT MARKETS INCOME TRUST
- **CENTRAL INDEX KEY:** 0000811922

**ORGANIZATION NAME:**
- **EIN:** 046565627
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05078
- **FILM NUMBER:** 26558578

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

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

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

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

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

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

- **a. Date of fiscal year-end:** 2025-11-30

- **b. Date as of which information is reported:** 2025-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $105931320.02

**Total Liabilities:** $1963570.31

**Net Assets:** $103967749.71

**Delayed Delivery Securities:** $1784052.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -123.02000000 | **1-Year:** -1742.04000000 | **5-Year:** -4228.30000000 | **10-Year:** -12926.03000000 | **30-Year:** -5900.24000000

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

- **3-Month:** -28.71000000 | **1-Year:** -284.06000000 | **5-Year:** -351.17000000 | **10-Year:** -53.89000000 | **30-Year:** -6.76000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 1.59%                | -0.98%               | 2.59%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-25403.81               | $716918.07                                 |
| Month 2  | $-26392.48               | $363757.84                                 |
| Month 3  | $4778.14                 | $237719.15                                 |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   | Fair Value Level   | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| ACREC 2021-FL1 Ltd.                               | ACREC 2021-FL1 Ltd                                                                                                | CUSIP: 00500RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    323500 | PA      | $323536.75    | 0.31%             | 2036-10-16      | Floating      | 5.58%                 | Yes           | 2                  | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    355000 | PA      | $328849.01    | 0.32%             | 2032-01-30      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1975000 | PA      | $1606591.68   | 1.55%             | 2053-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                             | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $42533.10     | 0.04%             | 2055-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                             | CUSIP: 04002VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    512000 | PA      | $510189.07    | 0.49%             | 2037-01-20      | Floating      | 5.75%                 | Yes           | 2                  | On Loan: No      |
| ARI Fleet Lease Trust                             | ARI Fleet Lease Trust 2023-B                                                                                      | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35104 | PA      | $35375.16     | 0.03%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           | 2                  | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2021-C9                                                                                      | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943394 | PA      | $59070.12     | 0.06%             | 2054-02-15      | Variable      | 1.68%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C18                                                                                     | CUSIP: 054975AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1197215 | PA      | $40003.16     | 0.04%             | 2055-12-15      | Variable      | 0.66%                 | No            | 2                  | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                                  | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    500000 | PA      | $521648.66    | 0.50%             | 2032-08-15      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Trust 2021-C10                                                                                              | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1084086 | PA      | $53344.09     | 0.05%             | 2054-07-15      | Variable      | 1.33%                 | No            | 2                  | On Loan: No      |
| BDS Ltd                                           | BDS 2024-FL13 LLC                                                                                                 | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100215.70    | 0.10%             | 2039-09-19      | Floating      | 5.53%                 | Yes           | 2                  | On Loan: No      |
| BXMT Ltd                                          | BXMT 2021-FL4 Ltd                                                                                                 | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    345000 | PA      | $342296.34    | 0.33%             | 2038-05-15      | Floating      | 5.38%                 | Yes           | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                              | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    750000 | PA      | $690495.33    | 0.66%             | 2032-04-22      | Fixed         | 2.69%                 | No            | 2                  | On Loan: No      |
| BANK GOSPODARSTWA KRAJOW                          | Bank Gospodarstwa Krajowego                                                                                       | CUSIP: 06237MAB9<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |    264000 | PA      | $280221.93    | 0.27%             | 2028-10-31      | Fixed         | 6.25%                 | Yes           | 2                  | On Loan: No      |
| Bank                                              | BANK 2021-BNK35                                                                                                   | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    978834 | PA      | $40336.96     | 0.04%             | 2064-06-15      | Variable      | 1.13%                 | No            | 2                  | On Loan: No      |
| Bank                                              | BANK 2021-BNK31                                                                                                   | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1468190 | PA      | $75938.75     | 0.07%             | 2054-02-15      | Variable      | 1.39%                 | No            | 2                  | On Loan: No      |
| Bank                                              | BANK 2021-BNK32                                                                                                   | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    986672 | PA      | $28212.30     | 0.03%             | 2054-04-15      | Variable      | 0.87%                 | No            | 2                  | On Loan: No      |
| BECTON DICKINSON & CO                             | Becton Dickinson & Co                                                                                             | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    123000 | PA      | $110261.43    | 0.11%             | 2044-12-15      | Fixed         | 4.69%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B23 Mortgage Trust                                                                                 | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1947891 | PA      | $90132.44     | 0.09%             | 2054-02-15      | Variable      | 1.36%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B24 Mortgage Trust                                                                                 | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159244 | PA      | $44856.59     | 0.04%             | 2054-03-15      | Variable      | 1.25%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B26 Mortgage Trust                                                                                 | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1545998 | PA      | $50286.82     | 0.05%             | 2054-06-15      | Variable      | 0.96%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B28 Mortgage Trust                                                                                 | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2141582 | PA      | $106086.45    | 0.10%             | 2054-08-15      | Variable      | 1.35%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B27 Mortgage Trust                                                                                 | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1411444 | PA      | $67105.13     | 0.06%             | 2054-07-15      | Variable      | 1.35%                 | No            | 2                  | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B29 Mortgage Trust                                                                                 | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1861057 | PA      | $65840.48     | 0.06%             | 2054-09-15      | Variable      | 1.12%                 | No            | 2                  | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                             | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    400000 | PA      | $407524.00    | 0.39%             | 2032-07-15      | Fixed         | 5.00%                 | Yes           | 2                  | On Loan: No      |
| Village of Bridgeview IL                          | BRIDGEVIEW IL                                                                                                     | CUSIP: 108555GF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    175000 | PA      | $175000.00    | 0.17%             | 2025-12-01      | Fixed         | 5.06%                 | No            | 2                  | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                      | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    750000 | PA      | $647695.58    | 0.62%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           | 2                  | On Loan: No      |
| Business Jet Securities, LLC                      | Business Jet Securities 2024-1 LLC                                                                                | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77211 | PA      | $78889.83     | 0.08%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           | 2                  | On Loan: No      |
| Chesapeake Funding II LLC                         | Chesapeake Funding II LLC                                                                                         | CUSIP: 165183DA9<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    136554 | PA      | $137109.20    | 0.13%             | 2035-10-15      | Floating      | 5.24%                 | Yes           | 2                  | On Loan: No      |
| City of Chicago IL                                | CHICAGO IL                                                                                                        | CUSIP: 167486C80<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |    615000 | PA      | $650463.54    | 0.63%             | 2036-01-01      | Fixed         | 6.21%                 | No            | 2                  | On Loan: No      |
| CHILE ELECTRICITY LUX                             | Chile Electricity Lux MPC Sarl                                                                                    | CUSIP: 168829AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    179000 | PA      | $187507.87    | 0.18%             | 2033-01-20      | Fixed         | 6.01%                 | Yes           | 2                  | On Loan: No      |
| CHILE ELECTRICITY LUX                             | Chile Electricity Lux Mpc II Sarl                                                                                 | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    195501 | PA      | $201366.03    | 0.19%             | 2035-10-20      | Fixed         | 5.58%                 | Yes           | 2                  | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                                                              | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    200000 | PA      | $179200.00    | 0.17%             | 2032-01-27      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2019-C7                                                                       | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1282078 | PA      | $36581.90     | 0.04%             | 2072-12-15      | Variable      | 0.94%                 | Yes           | 2                  | On Loan: No      |
| CONSERVATION FUND                                 | Conservation Fund A Nonprofit Corp/The                                                                            | CUSIP: 20848FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    159000 | PA      | $153057.64    | 0.15%             | 2029-12-15      | Fixed         | 3.47%                 | No            | 2                  | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                          | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    500000 | PA      | $492402.15    | 0.47%             | 2029-04-05      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                        | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125000 | PA      | $124849.69    | 0.12%             | 2055-12-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| WALT DISNEY COMPANY/THE                           | Walt Disney Co/The                                                                                                | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    612000 | PA      | $517634.26    | 0.50%             | 2040-05-13      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| ENGIE ENERGIA CHILE SA                            | Engie Energia Chile SA                                                                                            | CUSIP: 29287TAB5<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $213422.00    | 0.21%             | 2034-04-17      | Fixed         | 6.38%                 | Yes           | 2                  | On Loan: No      |
| EXPORT-IMPORT BK INDIA                            | Export-Import Bank of India                                                                                       | CUSIP: 30216JAF2<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    317000 | PA      | $286684.73    | 0.28%             | 2031-01-13      | Fixed         | 2.25%                 | Yes           | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128LDWL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11825 | PA      | $12304.93     | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17390 | PA      | $18144.60     | 0.02%             | 2035-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128LXDA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19992 | PA      | $20885.94     | 0.02%             | 2035-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M4T37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18423 | PA      | $19209.90     | 0.02%             | 2037-05-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9276 | PA      | $9675.55      | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M6WA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81484 | PA      | $86127.28     | 0.08%             | 2038-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27951 | PA      | $28334.33     | 0.03%             | 2039-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21045 | PA      | $21765.60     | 0.02%             | 2041-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M9DT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65500 | PA      | $66385.66     | 0.06%             | 2040-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62672 | PA      | $60356.26     | 0.06%             | 2042-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43326 | PA      | $42629.74     | 0.04%             | 2041-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128MJC99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74707 | PA      | $78047.29     | 0.08%             | 2035-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225376 | PA      | $215326.14    | 0.21%             | 2043-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216346 | PA      | $205796.06    | 0.20%             | 2045-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102176 | PA      | $93777.32     | 0.09%             | 2045-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85273 | PA      | $81009.49     | 0.08%             | 2045-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14408 | PA      | $14304.87     | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80163 | PA      | $76217.99     | 0.07%             | 2038-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 31292KZ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338192 | PA      | $348825.07    | 0.34%             | 2040-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 31292LLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85028 | PA      | $81675.22     | 0.08%             | 2042-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223010 | PA      | $213111.06    | 0.20%             | 2043-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    340011 | PA      | $324918.11    | 0.31%             | 2043-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10454 | PA      | $10515.52     | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12242 | PA      | $12377.67     | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 31297V6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12198 | PA      | $12705.97     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DNV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106177 | PA      | $87019.80     | 0.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26578 | PA      | $22750.47     | 0.02%             | 2052-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58218 | PA      | $59904.55     | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65074 | PA      | $60585.91     | 0.06%             | 2051-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17201 | PA      | $14738.44     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    629521 | PA      | $515174.82    | 0.50%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73587 | PA      | $62944.55     | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77145 | PA      | $65987.88     | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301314 | PA      | $268669.21    | 0.26%             | 2052-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71311 | PA      | $63476.55     | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57233 | PA      | $55666.19     | 0.05%             | 2037-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33248 | PA      | $30902.33     | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28736 | PA      | $26709.13     | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64971 | PA      | $60387.10     | 0.06%             | 2043-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447592 | PA      | $416017.85    | 0.40%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64952 | PA      | $63318.78     | 0.06%             | 2044-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65020 | PA      | $65751.47     | 0.06%             | 2042-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                             | CUSIP: 31335B7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71880 | PA      | $74132.85     | 0.07%             | 2044-12-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133B0SP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449712 | PA      | $382822.73    | 0.37%             | 2051-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85643 | PA      | $71053.68     | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157484 | PA      | $141163.78    | 0.14%             | 2052-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39758 | PA      | $37140.24     | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133BF2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    303191 | PA      | $304346.72    | 0.29%             | 2052-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18352 | PA      | $15715.55     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142126 | PA      | $122917.07    | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145385 | PA      | $125652.45    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151764 | PA      | $145859.03    | 0.14%             | 2052-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203011 | PA      | $177778.04    | 0.17%             | 2042-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                                | CUSIP: 3133Q3JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33568 | PA      | $33983.11     | 0.03%             | 2053-10-25      | Floating      | 5.52%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A4ES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46776 | PA      | $48478.01     | 0.05%             | 2042-03-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A5AW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45092 | PA      | $43546.74     | 0.04%             | 2041-04-25      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A5C38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4363 | PA      | $147.31       | 0.00%             | 2031-12-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91869 | PA      | $88133.05     | 0.08%             | 2042-01-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64688 | PA      | $62352.40     | 0.06%             | 2041-09-25      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61140 | PA      | $4174.14      | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AFA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15352 | PA      | $15281.45     | 0.01%             | 2043-02-25      | Floating      | 4.44%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49845 | PA      | $48450.72     | 0.05%             | 2042-09-25      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AMNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34800 | PA      | $34035.27     | 0.03%             | 2044-09-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34326 | PA      | $2552.23      | 0.00%             | 2036-02-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AQVJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25808 | PA      | $25074.65     | 0.02%             | 2045-12-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AQWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23049 | PA      | $22782.11     | 0.02%             | 2045-12-25      | Floating      | 4.49%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49370 | PA      | $46304.21     | 0.04%             | 2046-04-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136ATTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73958 | PA      | $8676.52      | 0.01%             | 2046-09-25      | Floating      | 1.81%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136AWFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119640 | PA      | $113981.46    | 0.11%             | 2039-05-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136B3DM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58316 | PA      | $57437.71     | 0.06%             | 2030-01-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BBTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109490 | PA      | $21231.34     | 0.02%             | 2050-09-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BSJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124828 | PA      | $129465.97    | 0.12%             | 2054-07-25      | Floating      | 7.07%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                 | CUSIP: 3136BUX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178657 | PA      | $178874.17    | 0.17%             | 2055-03-25      | Floating      | 6.51%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31371LDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89750 | PA      | $92191.67     | 0.09%             | 2033-10-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31371LQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98527 | PA      | $101419.94    | 0.10%             | 2034-07-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31371LTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75664 | PA      | $77855.92     | 0.07%             | 2034-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17931 | PA      | $2744.80      | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 3137B0CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64615 | PA      | $63441.61     | 0.06%             | 2041-09-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 3137B45J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175414 | PA      | $172870.44    | 0.17%             | 2033-08-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13699 | PA      | $13239.99     | 0.01%             | 2039-07-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2238 | PA      | $208.35       | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 3137BNPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88596 | PA      | $84754.04     | 0.08%             | 2045-06-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    686624 | PA      | $680506.05    | 0.65%             | 2026-07-25      | Fixed         | 2.57%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199129 | PA      | $197660.06    | 0.19%             | 2026-09-25      | Variable      | 3.12%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137BUX60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299132 | PA      | $297373.91    | 0.29%             | 2026-12-25      | Fixed         | 3.41%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390961 | PA      | $387649.68    | 0.37%             | 2027-04-25      | Fixed         | 3.24%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137F2L38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28819 | PA      | $28672.88     | 0.03%             | 2026-12-25      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137F4D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10982967 | PA      | $63756.12     | 0.06%             | 2028-01-25      | Variable      | 0.43%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137F4X98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13205651 | PA      | $39105.90     | 0.04%             | 2028-02-25      | Variable      | 0.26%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314905 | PA      | $15802.75     | 0.02%             | 2030-09-25      | Variable      | 1.26%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789331 | PA      | $37905.49     | 0.04%             | 2030-11-25      | Variable      | 1.17%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663744 | PA      | $28231.62     | 0.03%             | 2031-01-25      | Variable      | 1.03%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873865 | PA      | $31691.33     | 0.03%             | 2031-01-25      | Variable      | 0.87%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7980951 | PA      | $58490.80     | 0.06%             | 2027-07-25      | Variable      | 0.70%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6118686 | PA      | $36050.68     | 0.03%             | 2027-08-25      | Variable      | 0.54%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FETQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4601187 | PA      | $26908.66     | 0.03%             | 2028-01-25      | Variable      | 0.43%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FEZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8661433 | PA      | $26282.25     | 0.03%             | 2028-04-25      | Variable      | 0.26%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48812 | PA      | $48632.38     | 0.05%             | 2026-02-25      | Fixed         | 3.21%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1219835 | PA      | $40732.24     | 0.04%             | 2029-07-25      | Variable      | 1.21%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2486824 | PA      | $89456.53     | 0.09%             | 2029-08-25      | Variable      | 1.26%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97187 | PA      | $96052.88     | 0.09%             | 2026-10-25      | Fixed         | 2.53%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250675 | PA      | $13934.07     | 0.01%             | 2030-01-25      | Variable      | 1.70%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391000 | PA      | $6139.33      | 0.01%             | 2027-03-25      | Variable      | 1.49%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600527 | PA      | $41647.33     | 0.04%             | 2030-04-25      | Variable      | 1.91%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1277474 | PA      | $92017.47     | 0.09%             | 2030-04-25      | Variable      | 1.95%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1389954 | PA      | $100823.65    | 0.10%             | 2030-05-25      | Variable      | 1.91%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612877 | PA      | $40996.94     | 0.04%             | 2030-05-25      | Variable      | 1.77%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    879606 | PA      | $37735.55     | 0.04%             | 2030-06-25      | Variable      | 1.21%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559633 | PA      | $30535.14     | 0.03%             | 2030-06-25      | Variable      | 1.44%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633757 | PA      | $42182.49     | 0.04%             | 2030-08-25      | Variable      | 1.70%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109046 | PA      | $17964.17     | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2835445 | PA      | $36213.17     | 0.03%             | 2031-01-25      | Variable      | 0.41%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2253183 | PA      | $49737.67     | 0.05%             | 2031-03-25      | Variable      | 0.61%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973113 | PA      | $34240.64     | 0.03%             | 2031-03-25      | Variable      | 0.83%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399402 | PA      | $23046.29     | 0.02%             | 2031-05-25      | Variable      | 1.32%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    984709 | PA      | $59421.18     | 0.06%             | 2031-07-25      | Variable      | 1.32%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489989 | PA      | $23399.23     | 0.02%             | 2031-07-25      | Variable      | 1.04%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2591485 | PA      | $110639.56    | 0.11%             | 2031-09-25      | Variable      | 0.95%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2619786 | PA      | $72565.45     | 0.07%             | 2031-09-25      | Variable      | 0.63%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3899181 | PA      | $73052.72     | 0.07%             | 2031-11-25      | Variable      | 0.44%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644718 | PA      | $18538.74     | 0.02%             | 2031-12-25      | Variable      | 0.66%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3898081 | PA      | $100455.11    | 0.10%             | 2031-12-25      | Variable      | 0.60%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H7Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4502658 | PA      | $88684.35     | 0.09%             | 2032-06-25      | Variable      | 0.43%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137H9MC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3670222 | PA      | $45948.98     | 0.04%             | 2032-11-25      | Variable      | 0.30%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137HAAL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $14523.88     | 0.01%             | 2033-05-25      | Variable      | 0.43%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137HAMF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2899969 | PA      | $35241.87     | 0.03%             | 2033-08-25      | Variable      | 0.30%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137HB3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2363261 | PA      | $38343.67     | 0.04%             | 2033-10-25      | Variable      | 0.36%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137HB3G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52609 | PA      | $53999.75     | 0.05%             | 2028-10-25      | Fixed         | 4.86%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 3137HB7A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153050 | PA      | $153524.26    | 0.15%             | 2053-12-25      | Floating      | 6.30%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137HCKP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734976 | PA      | $15081.78     | 0.01%             | 2031-02-25      | Variable      | 0.55%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137HDJK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2158720 | PA      | $29933.24     | 0.03%             | 2029-05-25      | Variable      | 0.60%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137HFP33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1648656 | PA      | $46132.20     | 0.04%             | 2029-07-25      | Variable      | 1.01%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516084 | PA      | $35718.17     | 0.03%             | 2034-09-25      | Variable      | 1.09%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | FREMF 2025-K168 Mortgage Trust                                                                                    | CUSIP: 3137HJ6F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4660229 | PA      | $42222.14     | 0.04%             | 2035-01-25      | Variable      | 0.22%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | FREMF 2025-K169 Mortgage Trust                                                                                    | CUSIP: 3137HK2F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1866669 | PA      | $42775.84     | 0.04%             | 2035-01-25      | Variable      | 0.43%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                      | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    759906 | PA      | $16636.01     | 0.02%             | 2030-01-25      | Variable      | 0.73%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31384WLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7195 | PA      | $7442.67      | 0.01%             | 2031-05-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45556 | PA      | $47936.94     | 0.05%             | 2032-07-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31385JK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35029 | PA      | $36454.11     | 0.04%             | 2032-08-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55158 | PA      | $53716.36     | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138A4XB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79726 | PA      | $82140.05     | 0.08%             | 2041-01-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38382 | PA      | $38864.55     | 0.04%             | 2041-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67757 | PA      | $68406.37     | 0.07%             | 2041-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32117 | PA      | $32422.09     | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106984 | PA      | $105210.47    | 0.10%             | 2041-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40266 | PA      | $39586.36     | 0.04%             | 2041-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69461 | PA      | $68237.49     | 0.07%             | 2043-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57337 | PA      | $59073.94     | 0.06%             | 2042-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138EKET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17781 | PA      | $17951.05     | 0.02%             | 2042-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47584 | PA      | $46334.19     | 0.04%             | 2045-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29122 | PA      | $28611.81     | 0.03%             | 2043-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68397 | PA      | $69038.11     | 0.07%             | 2042-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179787 | PA      | $176639.09    | 0.17%             | 2044-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91667 | PA      | $90062.52     | 0.09%             | 2044-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138EREH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56453 | PA      | $55506.14     | 0.05%             | 2043-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138ERSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92364 | PA      | $90718.21     | 0.09%             | 2044-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110521 | PA      | $108466.78    | 0.10%             | 2043-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33537 | PA      | $32959.69     | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38796 | PA      | $38128.54     | 0.04%             | 2042-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27392 | PA      | $26870.17     | 0.03%             | 2043-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24078 | PA      | $23760.07     | 0.02%             | 2028-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160278 | PA      | $152763.51    | 0.15%             | 2045-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42525 | PA      | $41398.40     | 0.04%             | 2044-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WEEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21795 | PA      | $20729.05     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29296 | PA      | $27841.40     | 0.03%             | 2045-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26678 | PA      | $25356.42     | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33950 | PA      | $32260.30     | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31033 | PA      | $29497.47     | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48142 | PA      | $41954.08     | 0.04%             | 2046-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73611 | PA      | $69713.42     | 0.07%             | 2046-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43208 | PA      | $41251.15     | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28102 | PA      | $26806.42     | 0.03%             | 2043-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 31395TR22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4123 | PA      | $4098.93      | 0.00%             | 2035-04-15      | Floating      | 4.46%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 31396HE70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25821 | PA      | $26639.45     | 0.03%             | 2036-02-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 31397BYP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55475 | PA      | $58308.76     | 0.06%             | 2036-10-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50475 | PA      | $51510.63     | 0.05%             | 2040-02-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62126 | PA      | $63988.61     | 0.06%             | 2034-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112204 | PA      | $117220.75    | 0.11%             | 2034-08-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107141 | PA      | $110498.22    | 0.11%             | 2034-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15043 | PA      | $15698.46     | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31403UHG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65637 | PA      | $67495.29     | 0.06%             | 2033-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31405VJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18001 | PA      | $18415.97     | 0.02%             | 2034-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3742 | PA      | $3848.01      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6641 | PA      | $6725.52      | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31407CRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6033 | PA      | $6267.72      | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31407FJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32537 | PA      | $33854.65     | 0.03%             | 2035-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31409WVY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9544 | PA      | $9872.00      | 0.01%             | 2036-05-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140A6UE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26591 | PA      | $27281.43     | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140AD6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359111 | PA      | $368037.92    | 0.35%             | 2054-09-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140ATKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191751 | PA      | $196646.14    | 0.19%             | 2054-11-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76964 | PA      | $75672.06     | 0.07%             | 2041-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140F5A45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220893 | PA      | $202467.04    | 0.19%             | 2046-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14136 | PA      | $13678.68     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119316 | PA      | $109363.82    | 0.11%             | 2046-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82853 | PA      | $68898.62     | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187135 | PA      | $161621.74    | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86259 | PA      | $74390.67     | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68991 | PA      | $68382.14     | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140N5MY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258159 | PA      | $262654.11    | 0.25%             | 2052-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140NMBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230131 | PA      | $236574.73    | 0.23%             | 2053-09-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63069 | PA      | $54872.04     | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84085 | PA      | $73059.00     | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18310 | PA      | $15945.00     | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QFLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41590 | PA      | $35413.74     | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67399 | PA      | $57834.44     | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151893 | PA      | $129303.76    | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49920 | PA      | $45386.53     | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183510 | PA      | $158602.89    | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QNE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31564 | PA      | $25852.81     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140QPKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372793 | PA      | $331840.75    | 0.32%             | 2052-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96145 | PA      | $83267.01     | 0.08%             | 2050-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75382 | PA      | $65296.96     | 0.06%             | 2050-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16346 | PA      | $13399.13     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52037 | PA      | $45153.12     | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148430 | PA      | $128284.34    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142613 | PA      | $123672.30    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143729 | PA      | $129183.11    | 0.12%             | 2051-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146791 | PA      | $127107.19    | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138775 | PA      | $125612.55    | 0.12%             | 2052-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136600 | PA      | $122608.19    | 0.12%             | 2051-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XJXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98427 | PA      | $101190.29    | 0.10%             | 2052-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XLXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270940 | PA      | $272311.88    | 0.26%             | 2053-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83299 | PA      | $80832.93     | 0.08%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140XTCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271656 | PA      | $241391.88    | 0.23%             | 2051-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 3140Y65R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $101347.56    | 0.10%             | 2055-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40978 | PA      | $42761.51     | 0.04%             | 2036-11-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16306 | PA      | $16477.73     | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34418 | PA      | $33825.44     | 0.03%             | 2042-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31411JUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4347 | PA      | $4562.73      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1213 | PA      | $1260.07      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31412FS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13634 | PA      | $14353.90     | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31412LBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4028 | PA      | $4219.38      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31412V4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12296 | PA      | $12803.63     | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31414CRZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20215 | PA      | $21072.01     | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19555 | PA      | $19738.06     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23208 | PA      | $22801.36     | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52313 | PA      | $51396.69     | 0.05%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148748 | PA      | $141981.61    | 0.14%             | 2043-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29976 | PA      | $28596.50     | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31417N4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18461 | PA      | $19020.10     | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418C5U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61859 | PA      | $60380.12     | 0.06%             | 2034-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134784 | PA      | $129753.95    | 0.12%             | 2047-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40826 | PA      | $38639.67     | 0.04%             | 2037-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38610 | PA      | $37426.98     | 0.04%             | 2038-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41914 | PA      | $34333.73     | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32105 | PA      | $26294.00     | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171774 | PA      | $147757.07    | 0.14%             | 2050-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107757 | PA      | $83836.07     | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89080 | PA      | $72961.99     | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16124 | PA      | $13823.89     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63201 | PA      | $54210.60     | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508615 | PA      | $416072.37    | 0.40%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42456 | PA      | $36324.97     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    362958 | PA      | $318743.57    | 0.31%             | 2042-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143527 | PA      | $122918.72    | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143294 | PA      | $128627.63    | 0.12%             | 2042-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538400 | PA      | $460532.17    | 0.44%             | 2052-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231451 | PA      | $206112.24    | 0.20%             | 2042-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36801 | PA      | $31478.35     | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    435221 | PA      | $445640.91    | 0.43%             | 2054-08-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65269 | PA      | $64328.05     | 0.06%             | 2040-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57235 | PA      | $56374.73     | 0.05%             | 2040-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12774 | PA      | $13161.06     | 0.01%             | 2040-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                   | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32091 | PA      | $31589.10     | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                  | CUSIP: 3142J6A37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99408 | PA      | $97337.26     | 0.09%             | 2055-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FIRSTENERGY CORP                                  | FirstEnergy Corp                                                                                                  | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    694000 | PA      | $690369.66    | 0.66%             | 2027-07-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1                                                     | CUSIP: 35563P7F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165824 | PA      | $156278.34    | 0.15%             | 2061-11-25      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                                                     | CUSIP: 35563PLK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112837 | PA      | $108016.81    | 0.10%             | 2058-10-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                                                     | CUSIP: 35563PMN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136010 | PA      | $121341.57    | 0.12%             | 2059-02-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                 | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24493 | PA      | $23018.90     | 0.02%             | 2042-04-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                 | CUSIP: 36177UCZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12858 | PA      | $12520.37     | 0.01%             | 2040-08-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338789 | PA      | $321051.95    | 0.31%             | 2043-06-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146823 | PA      | $139574.88    | 0.13%             | 2043-07-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92394 | PA      | $84851.78     | 0.08%             | 2045-04-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31075 | PA      | $28483.38     | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69143 | PA      | $63175.68     | 0.06%             | 2047-09-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133515 | PA      | $122018.01    | 0.12%             | 2047-12-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179TV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141996 | PA      | $130092.11    | 0.13%             | 2048-04-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117910 | PA      | $98257.88     | 0.09%             | 2052-04-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236284 | PA      | $205147.56    | 0.20%             | 2052-05-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283635 | PA      | $256083.18    | 0.25%             | 2052-06-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116806 | PA      | $101415.03    | 0.10%             | 2051-08-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373857 | PA      | $324594.87    | 0.31%             | 2051-09-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469565 | PA      | $407690.21    | 0.39%             | 2051-11-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135134 | PA      | $122029.26    | 0.12%             | 2051-11-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    334717 | PA      | $278719.83    | 0.27%             | 2052-01-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305656 | PA      | $275862.87    | 0.27%             | 2052-02-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    701169 | PA      | $583862.54    | 0.56%             | 2052-03-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376565 | PA      | $328455.67    | 0.32%             | 2052-08-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131957 | PA      | $126363.35    | 0.12%             | 2052-08-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    681456 | PA      | $671459.20    | 0.65%             | 2052-09-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151600 | PA      | $152210.52    | 0.15%             | 2053-01-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39008 | PA      | $39181.11     | 0.04%             | 2053-03-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443893 | PA      | $450722.75    | 0.43%             | 2053-10-20      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 3618N5RC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74642 | PA      | $70795.24     | 0.07%             | 2055-07-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 3618N5RD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74999 | PA      | $73376.17     | 0.07%             | 2055-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                 | CUSIP: 36200MQ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135493 | PA      | $141212.67    | 0.14%             | 2033-07-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12169 | PA      | $12608.46     | 0.01%             | 2038-04-20      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12587 | PA      | $13041.22     | 0.01%             | 2042-01-20      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23038 | PA      | $22479.19     | 0.02%             | 2041-04-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41701 | PA      | $42141.32     | 0.04%             | 2041-09-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                 | CUSIP: 36225B2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27672 | PA      | $28629.78     | 0.03%             | 2033-12-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| HALEON US CAPITAL LLC                             | Haleon US Capital LLC                                                                                             | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $238377.71    | 0.23%             | 2032-03-24      | Fixed         | 3.63%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38375AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17079 | PA      | $2601.06      | 0.00%             | 2039-12-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38375GBQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000 | PA      | $18446.03     | 0.02%             | 2042-06-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38375UKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18814 | PA      | $18827.03     | 0.02%             | 2064-07-20      | Floating      | 4.90%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38376R2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144073 | PA      | $145008.28    | 0.14%             | 2067-03-20      | Floating      | 5.17%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38376R6C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173298 | PA      | $175054.17    | 0.17%             | 2067-07-20      | Floating      | 5.28%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38376RT22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64780 | PA      | $65136.88     | 0.06%             | 2067-02-20      | Floating      | 5.13%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38505 | PA      | $39394.12     | 0.04%             | 2034-08-20      | Variable      | 5.66%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38377VG83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102591 | PA      | $10001.30     | 0.01%             | 2041-05-20      | Floating      | 1.33%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38377VGJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13514 | PA      | $13490.20     | 0.01%             | 2039-05-16      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49985 | PA      | $49441.90     | 0.05%             | 2041-07-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31966 | PA      | $32335.80     | 0.03%             | 2041-09-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38378FJG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146296 | PA      | $21508.42     | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38378HQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31041 | PA      | $4209.64      | 0.00%             | 2042-08-16      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38378TKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10846 | PA      | $114.71       | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38379ETW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49274 | PA      | $2298.19      | 0.00%             | 2029-08-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38379QC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138614 | PA      | $136041.45    | 0.13%             | 2045-10-20      | Floating      | 4.37%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38381NMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181707 | PA      | $185370.09    | 0.18%             | 2055-06-20      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38384AZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84982 | PA      | $11771.63     | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38384J5R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142225 | PA      | $147131.76    | 0.14%             | 2055-11-20      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38384KSF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53993 | PA      | $54198.62     | 0.05%             | 2064-03-20      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                          | CUSIP: 38385G5H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147941 | PA      | $147873.37    | 0.14%             | 2055-06-20      | Floating      | 5.50%                 | No            | 2                  | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                        | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    167000 | PA      | $163907.09    | 0.16%             | 2029-03-23      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                           | Imperial Brands Finance PLC                                                                                       | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $205810.56    | 0.20%             | 2027-07-27      | Fixed         | 6.13%                 | Yes           | 2                  | On Loan: No      |
| INDIAN RAILWAY FINANCE                            | Indian Railway Finance Corp Ltd                                                                                   | CUSIP: 45434L2C7<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | CORP              | IN        |    376000 | PA      | $346413.68    | 0.33%             | 2031-02-10      | Fixed         | 2.80%                 | Yes           | 2                  | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                                                        | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    488000 | PA      | $470309.90    | 0.45%             | 2029-02-02      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                               | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    750000 | PA      | $688756.67    | 0.66%             | 2032-04-22      | Fixed         | 2.58%                 | No            | 2                  | On Loan: No      |
| LABORATORY CORP OF AMER                           | Laboratory Corp of America Holdings                                                                               | CUSIP: 50540RAS1<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    106000 | PA      | $95876.86     | 0.09%             | 2045-02-01      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                          | Liberty Mutual Group Inc                                                                                          | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     99000 | PA      | $75011.66     | 0.07%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           | 2                  | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                    | LoanCore 2021-CRE5 Issuer Ltd                                                                                     | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    192774 | PA      | $192800.38    | 0.19%             | 2036-07-15      | Floating      | 5.82%                 | Yes           | 2                  | On Loan: No      |
| LoanCore 2021-CRE6 Issuer, Ltd.                   | LoanCore 2021-CRE6 Issuer Ltd                                                                                     | CUSIP: 53948HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500131.00    | 0.48%             | 2038-11-15      | Floating      | 5.72%                 | Yes           | 2                  | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                       | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7168 | PA      | $7167.64      | 0.01%             | 2036-07-15      | Floating      | 5.27%                 | Yes           | 2                  | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                       | CUSIP: 55282XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    279500 | PA      | $278973.39    | 0.27%             | 2036-07-15      | Floating      | 5.52%                 | Yes           | 2                  | On Loan: No      |
| MFS Institutional Money Market Portfolio          | MFS Institutional Money Market Portfolio                                                                          | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | EC               | RF                | US        |   6073374 | NS      | $6074588.50   | 5.84%             |  |  |  | No            | 1                  | On Loan: No      |
| MONTEFIORE OBLIGATED GRP                          | Montefiore Obligated Group                                                                                        | CUSIP: 61237WAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    614000 | PA      | $557364.15    | 0.54%             | 2048-11-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2018-H4                                                                            | CUSIP: 61691RAF3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   1451482 | PA      | $29624.31     | 0.03%             | 2051-12-15      | Variable      | 0.97%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                                                                            | CUSIP: 61691YAP6<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    720693 | PA      | $31527.42     | 0.03%             | 2054-05-15      | Variable      | 1.38%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L6                                                                            | CUSIP: 61692CBK3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   1059374 | PA      | $40175.38     | 0.04%             | 2054-06-15      | Variable      | 1.26%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                    | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    588000 | PA      | $573325.72    | 0.55%             | 2031-04-01      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L7                                                                            | CUSIP: 61772TBN3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |   3306650 | PA      | $131622.54    | 0.13%             | 2054-10-15      | Variable      | 1.19%                 | No            | 2                  | On Loan: No      |
| New Jersey Turnpike Authority                     | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                                                      | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     32000 | PA      | $38591.87     | 0.04%             | 2040-01-01      | Fixed         | 7.41%                 | No            | 2                  | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM1 Trust                                                                                               | CUSIP: 67448LAB8<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |     62000 | PA      | $62369.93     | 0.06%             | 2063-11-25      | Variable      | 6.25%                 | Yes           | 2                  | On Loan: No      |
| PFS Financing Corp.                               | PFS Financing Corp                                                                                                | CUSIP: 69335PEZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63000 | PA      | $63742.80     | 0.06%             | 2028-10-15      | Fixed         | 5.91%                 | Yes           | 2                  | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                       | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    357000 | PA      | $362261.92    | 0.35%             | 2027-06-15      | Fixed         | 5.45%                 | No            | 2                  | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                                                 | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    212000 | PA      | $206881.33    | 0.20%             | 2054-03-18      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Provident Funding Mortgage Trust                  | Provident Funding Mortgage Trust 2024-1                                                                           | CUSIP: 74389BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128530 | PA      | $129293.75    | 0.12%             | 2054-12-25      | Variable      | 5.50%                 | Yes           | 2                  | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                | Ready Capital Mortgage Financing 2021-FL7 LLC                                                                     | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40598 | PA      | $40580.54     | 0.04%             | 2036-11-25      | Floating      | 5.27%                 | Yes           | 2                  | On Loan: No      |
| Uruguay Government International Bonds            | Uruguay Government International Bonds                                                                            | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     96000 | PA      | $102432.00    | 0.10%             | 2034-10-28      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| SBNA Auto Receivables Trust                       | SBNA Auto Receivables Trust 2025-SF1                                                                              | CUSIP: 78437XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18720 | PA      | $18733.55     | 0.02%             | 2031-03-17      | Fixed         | 5.12%                 | Yes           | 2                  | On Loan: No      |
| Sales Tax Securitization Corp                     | SALES TAX SECURITIZATION CORP IL                                                                                  | CUSIP: 79467BDK8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    240000 | PA      | $191329.06    | 0.18%             | 2043-01-01      | Fixed         | 3.41%                 | No            | 2                  | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                       | CUSIP: 83162CVH3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     42612 | PA      | $40307.47     | 0.04%             | 2033-02-01      | Fixed         | 2.21%                 | No            | 2                  | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                       | CUSIP: 83162CVK6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     61857 | PA      | $58350.50     | 0.06%             | 2033-03-01      | Fixed         | 2.22%                 | No            | 2                  | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                       | CUSIP: 83162CVR1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     56863 | PA      | $55142.21     | 0.05%             | 2033-07-01      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                       | CUSIP: 83162CVU4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     43115 | PA      | $42393.34     | 0.04%             | 2033-09-01      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| STATE STREET CORP                                 | State Street Corp                                                                                                 | CUSIP: 857477BN2<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    138000 | PA      | $133030.57    | 0.13%             | 2031-03-30      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Syracuse Industrial Development Agency            | SYRACUSE NY INDL DEV AGY PILOT REVENUE                                                                            | CUSIP: 87172NBE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1215000 | PA      | $920490.08    | 0.89%             | 2036-01-01      | Fixed         | 5.00%                 | Yes           | 2                  | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                  | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    650000 | PA      | $592381.86    | 0.57%             | 2040-04-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                              | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    109000 | PA      | $93475.44     | 0.09%             | 2052-04-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| TENCENT HOLDINGS LTD                              | Tencent Holdings Ltd                                                                                              | CUSIP: 88032WBA3<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    501000 | PA      | $474390.52    | 0.46%             | 2031-04-22      | Fixed         | 2.88%                 | Yes           | 2                  | On Loan: No      |
| 3650R Commercial Mortgage Trust                   | 3650R 2021-PF1 Commercial Mortgage Trust                                                                          | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1147479 | PA      | $41334.48     | 0.04%             | 2054-11-15      | Variable      | 1.11%                 | No            | 2                  | On Loan: No      |
| TIME WARNER CABLE LLC                             | Time Warner Cable LLC                                                                                             | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $78005.94     | 0.08%             | 2042-09-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| TOLEDO HOSPITAL/THE                               | Toledo Hospital/The                                                                                               | CUSIP: 889184AD9<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $176405.82    | 0.17%             | 2038-11-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| TYSON FOODS INC                                   | Tyson Foods Inc                                                                                                   | CUSIP: 902494AY9<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     38000 | PA      | $36089.64     | 0.03%             | 2044-08-15      | Fixed         | 5.15%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810FG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    572000 | PA      | $603124.84    | 0.58%             | 2029-02-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810PT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    336000 | PA      | $356671.88    | 0.34%             | 2037-02-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1109000 | PA      | $1133909.18   | 1.09%             | 2038-02-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4503100 | PA      | $4581904.25   | 4.41%             | 2039-08-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    453700 | PA      | $374532.89    | 0.36%             | 2043-02-15      | Fixed         | 3.13%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1697100 | PA      | $1344620.29   | 1.29%             | 2043-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4017000 | PA      | $2911383.50   | 2.80%             | 2045-02-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3470000 | PA      | $2628389.46   | 2.53%             | 2046-11-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    165000 | PA      | $140256.44    | 0.13%             | 2042-05-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    217000 | PA      | $202089.73    | 0.19%             | 2054-08-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    899000 | PA      | $891414.69    | 0.86%             | 2055-02-15      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    906000 | PA      | $949742.81    | 0.91%             | 2045-05-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                               | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    972000 | PA      | $984150.00    | 0.95%             | 2055-08-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7277000 | PA      | $7164490.74   | 6.89%             | 2026-11-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1921000 | PA      | $1890759.25   | 1.82%             | 2027-02-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $703281.25    | 0.68%             | 2030-05-15      | Fixed         | 0.63%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    567700 | PA      | $559326.43    | 0.54%             | 2026-05-31      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    678600 | PA      | $667482.63    | 0.64%             | 2026-06-30      | Fixed         | 0.88%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3068000 | PA      | $3101076.88   | 2.98%             | 2028-02-29      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    534000 | PA      | $559448.44    | 0.54%             | 2031-04-30      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CLG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1592000 | PA      | $1597659.07   | 1.54%             | 2027-08-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1464000 | PA      | $1469318.43   | 1.41%             | 2027-03-31      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1032000 | PA      | $1047157.50   | 1.01%             | 2032-04-30      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1395000 | PA      | $1423771.88   | 1.37%             | 2035-05-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2743000 | PA      | $2755643.53   | 2.65%             | 2027-05-31      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4028000 | PA      | $4049556.08   | 3.90%             | 2027-07-31      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2295000 | PA      | $2298675.58   | 2.21%             | 2027-08-31      | Fixed         | 3.63%                 | No            | 2                  | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                               | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2800000 | PA      | $2802625.00   | 2.70%             | 2030-09-30      | Fixed         | 3.63%                 | No            | 2                  | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-1                                                                                 | CUSIP: 92540EAB9<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |     54709 | PA      | $54914.68     | 0.05%             | 2069-01-25      | Variable      | 5.92%                 | Yes           | 2                  | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-4                                                                                 | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |     75150 | PA      | $75963.13     | 0.07%             | 2069-06-25      | Variable      | 6.22%                 | Yes           | 2                  | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2018-C48                                                                    | CUSIP: 95001RAY5<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |    809084 | PA      | $18201.87     | 0.02%             | 2052-01-15      | Variable      | 1.10%                 | Yes           | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BM11803   IRS USD R V 00MSOFR SM11803_FLO CCPOIS / Short: BM11803   IRS USD P F  3.55950 SM11803_FIX CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3119000 | OU      | $-6908.55     | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BM11938   IRS USD R V 12MSOFR SM11938_FLO CCPOIS / Short: BM11938   IRS USD P F  3.38900 SM11938_FIX CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   4001000 | OU      | $-5935.60     | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BM11939   IRS USD R V 00MSOFR SM11939_FLO CCPOIS / Short: BM11939   IRS USD P F  3.38700 SM11939_FIX CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3967000 | OU      | $-5813.64     | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Ltd.                                          | Long: BM11959   IRS USD R V 00MSOFR SM11959_FLO CCPOIS / Short: BM11959   IRS USD P F  3.28450 SM11959_FIX CCPOIS | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3982000 | OU      | $1212.96      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| POWER FINANCE CORP LTD                            | Power Finance Corp Ltd                                                                                            | CUSIP: 000000000<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | CORP              | IN        |    370000 | PA      | $378211.78    | 0.36%             | 2028-08-10      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| DUA CAPITAL LTD                                   | Dua Capital Ltd                                                                                                   | CUSIP: 000000000<br>LEI: 213800ILVLALFTITCB43 | Long             | DBT              | CORP              | MY        |    400000 | PA      | $370872.00    | 0.36%             | 2031-05-11      | Fixed         | 2.78%                 | No            | 2                  | On Loan: No      |
| INDOFOOD CBP SUKSES MAKM                          | Indofood CBP Sukses Makmur Tbk PT                                                                                 | CUSIP: 000000000<br>LEI: 254900YKZW9GRKZZN285 | Long             | DBT              | CORP              | ID        |    416000 | PA      | $363501.00    | 0.35%             | 2052-04-27      | Fixed         | 4.81%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR26                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        56 | NC      | $1565.31      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR26                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       160 | NC      | $4435.20      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR26                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       132 | NC      | $-10094.91    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT MAR26                                                                                           | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -35 | NC      | $-6830.50     | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| Exchange traded                                   | CS000045                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1000000 | NC      | $3892.54      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Exchange traded                                   | CS000044                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1000000 | NC      | $4295.74      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| POUND STERLING                                    | POUND STERLING                                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            |  |  | GB        |       -10 | NS      | $-13.24       | -0.00%            |  |  |  | No            | N/A                | On Loan: No      |

### Signature

**Date Signed:** 2026-01-07

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer