# EDGAR Filing Document

**Accession Number:** 0000811922
**File Stem:** 0001410368-25-017040
**Filing Date:** 2025-10
**Character Count:** 274853
**Document Hash:** 5a599b0d5a8691963c1b9cc7ed925c67
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-017040.hdr.sgml**: 20251024

**ACCESSION NUMBER**: 0001410368-25-017040

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251024

**DATE AS OF CHANGE**: 20251024

**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:** 251414345

**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

## Nport-Ex

MGF-Q3

![](img0fc78f7c1.gif)

**Quarterly Report**

August 31, 2025

MFS<sup>®</sup> Government Markets Income Trust

![](img08d5644e2.gif)

------

**Portfolio of Investments**

8/31/25 (unaudited)

The Portfolio of Investments is a complete list of all securities owned by your fund. It is categorized by broad-based asset classes.

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – 97.0% | Bonds – 97.0% | Bonds – 97.0% |
| U.S. Bonds – 92.2% | U.S. Bonds – 92.2% | U.S. Bonds – 92.2% |
| Asset-Backed & Securitized – 4.6% | Asset-Backed & Securitized – 4.6% | Asset-Backed & Securitized – 4.6% |
| 3650R Commercial Mortgage Trust, 2021-PF1, "XA", 1.109%, 11/15/2054 (i) | $1150019 | &nbsp;&nbsp;&nbsp; $43379 |
| ACREC 2021-FL1 Ltd., "AS", FLR, 5.974% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n) | 323500 | &nbsp;&nbsp;&nbsp; 323490 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, "AS", FLR, 5.878% ((SOFR - 1mo. + 0.11448%) + 1.4%), 8/15/2034 (n) | 374500 | &nbsp;&nbsp;&nbsp; 374355 |
| AREIT 2022-CRE6 Trust, "AS", FLR, 5.991% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | 512000 | &nbsp;&nbsp;&nbsp; 510115 |
| ARI Fleet Lease Trust, 2023-B, "A2", 6.05%, 7/15/2032 (n) | 45408 | &nbsp;&nbsp;&nbsp; 45786 |
| BBCMS Mortgage Trust, 2021-C10, "XA", 1.329%, 7/15/2054 (i) | 1087609 | &nbsp;&nbsp;&nbsp; 56134 |
| BBCMS Mortgage Trust, 2021-C9, "XA", 1.696%, 2/15/2054 (i) | 958952 | &nbsp;&nbsp;&nbsp; 63037 |
| BBCMS Mortgage Trust, 2022-C18, "XA", 0.641%, 12/15/2055 (i) | 1222182 | &nbsp;&nbsp;&nbsp; 40806 |
| BDS 2024-FL13 Ltd., "A", FLR, 5.929% (SOFR - 1mo. + 1.5762%), 9/19/2039 (n) | 100000 | &nbsp;&nbsp;&nbsp; 100234 |
| Benchmark 2021-B23 Mortgage Trust, "XA", 1.362%, 2/15/2054 (i) | 1951058 | &nbsp;&nbsp;&nbsp; 94403 |
| Benchmark 2021-B24 Mortgage Trust, "XA", 1.25%, 3/15/2054 (i) | 1160553 | &nbsp;&nbsp;&nbsp; 47400 |
| Benchmark 2021-B26 Mortgage Trust, "XA", 0.956%, 6/15/2054 (i) | 1546846 | &nbsp;&nbsp;&nbsp; 52966 |
| Benchmark 2021-B27 Mortgage Trust, "XA", 1.349%, 7/15/2054 (i) | 1413529 | &nbsp;&nbsp;&nbsp; 72251 |
| Benchmark 2021-B28 Mortgage Trust, "XA", 1.351%, 8/15/2054 (i) | 2146288 | &nbsp;&nbsp;&nbsp; 111337 |
| Benchmark 2021-B29 Mortgage Trust, "XA", 1.125%, 9/15/2054 (i) | 1863886 | &nbsp;&nbsp;&nbsp; 69545 |
| Business Jet Securities LLC, 2024-1A, "A", 6.197%, 5/15/2039 (n) | 79065 | &nbsp;&nbsp;&nbsp; 81597 |
| BXMT 2021-FL4 Ltd., "AS", FLR, 5.778% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 345000 | &nbsp;&nbsp;&nbsp; 341818 |
| Chesapeake Funding II LLC, 2023-2A, "A2", FLR, 5.443% (SOFR - 30 day + 1.1%), 10/15/2035 (n) | 164204 | &nbsp;&nbsp;&nbsp; 164955 |
| Citigroup Commercial Mortgage Trust, 2019-XA, "C7", 0.944%, 12/15/2072 (i)(n) | 1296299 | &nbsp;&nbsp;&nbsp; 39269 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN31, "XA", 1.386%, 2/15/2054 (i) | 1471883 | &nbsp;&nbsp;&nbsp; 79669 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, "XA", 0.87%, 4/15/2054 (i) | 987670 | &nbsp;&nbsp;&nbsp; 29804 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN35, "XA", 1.134%, 6/15/2064 (i) | 980247 | &nbsp;&nbsp;&nbsp; 42361 |
| GLS Auto Select Receivables Trust, 2023-2A, 6.37%, 6/15/2028 (n) | 31415 | &nbsp;&nbsp;&nbsp; 31632 |
| LAD Auto Receivables Trust, 2022-1A, "A", 5.21%, 6/15/2027 (n) | 3471 | &nbsp;&nbsp;&nbsp; 3473 |
| LoanCore 2021-CRE5 Ltd., "AS", FLR, 6.228% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | 283500 | &nbsp;&nbsp;&nbsp; 283491 |
| LoanCore 2021-CRE6 Ltd., "AS", FLR, 6.128% ((SOFR - 1mo. + 0.11448%) + 1.65%), 11/15/2038 (n) | 500000 | &nbsp;&nbsp;&nbsp; 500038 |
| MF1 2021-FL5 Ltd., "AS", FLR, 5.678% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | 90700 | &nbsp;&nbsp;&nbsp; 90677 |
| MF1 2021-FL5 Ltd., "B", FLR, 5.928% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | 279500 | &nbsp;&nbsp;&nbsp; 279491 |
| Morgan Stanley Capital I Trust, 2018-H4, "XA", 0.968%, 12/15/2051 (i) | 1454604 | &nbsp;&nbsp;&nbsp; 32152 |
| Morgan Stanley Capital I Trust, 2021-L5, "XA", 1.398%, 5/15/2054 (i) | 721600 | &nbsp;&nbsp;&nbsp; 33307 |
| Morgan Stanley Capital I Trust, 2021-L6, "XA", 1.288%, 6/15/2054 (i) | 1061739 | &nbsp;&nbsp;&nbsp; 42702 |
| Morgan Stanley Capital I Trust, 2021-L7, "XA", 1.19%, 10/15/2054 (i) | 3313503 | &nbsp;&nbsp;&nbsp; 138764 |
| OBX Trust, 2024-NQM1, "A2", 6.253%, 11/25/2063 (n) | 67313 | &nbsp;&nbsp;&nbsp; 67755 |
| PFS Financing Corp., 2023-C, "B", 5.91%, 10/15/2028 (n) | 63000 | &nbsp;&nbsp;&nbsp; 63833 |
| Provident Funding Mortgage Trust, 2024-1, "A3", 5.5%, 12/25/2054 (n) | 145677 | &nbsp;&nbsp;&nbsp; 146455 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "A", FLR, 5.637% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 (n) | 48441 | &nbsp;&nbsp;&nbsp; 48425 |
| SBNA Auto Receivables Trust, 2025-SF1, "B", 5.12%, 3/17/2031 (n) | 40222 | &nbsp;&nbsp;&nbsp; 40262 |
| Verus Securitization Trust, 2024-1, "A2", 5.915%, 1/25/2069 (n) | 60973 | &nbsp;&nbsp;&nbsp; 61375 |
| Verus Securitization Trust, 2024-4, "A1", 6.218%, 6/25/2069 (n) | 84352 | &nbsp;&nbsp;&nbsp; 85331 |
| Wells Fargo Commercial Mortgage Trust, 2018-C48, "XA", 1.101%, 1/15/2052 (i)(n) | 828207 | &nbsp;&nbsp;&nbsp; 19883 |
|  |  | &nbsp;&nbsp;&nbsp; $4753757 |
| Broadcasting – 0.5% | Broadcasting – 0.5% | Broadcasting – 0.5% |
| Walt Disney Co., 3.5%, 5/13/2040  | $612000 | &nbsp;&nbsp;&nbsp; $505315 |
| Cable TV – 0.1% | Cable TV – 0.1% | Cable TV – 0.1% |
| Time Warner Cable, Inc., 4.5%, 9/15/2042  | $100000 | &nbsp;&nbsp;&nbsp; $79307 |
| Consumer Products – 0.2% | Consumer Products – 0.2% | Consumer Products – 0.2% |
| Haleon US Capital LLC, 3.625%, 3/24/2032  | $250000 | &nbsp;&nbsp;&nbsp; $235728 |
| Consumer Services – 0.1% | Consumer Services – 0.1% | Consumer Services – 0.1% |
| Conservation Fund, 3.474%, 12/15/2029  | $159000 | &nbsp;&nbsp;&nbsp; $149957 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| U.S. Bonds – continued | U.S. Bonds – continued | U.S. Bonds – continued |
| Electronics – 0.6% | Electronics – 0.6% | Electronics – 0.6% |
| Broadcom, Inc., 3.187%, 11/15/2036 (n) | $750000 | &nbsp;&nbsp;&nbsp; $626053 |
| Food & Beverages – 0.5% | Food & Beverages – 0.5% | Food & Beverages – 0.5% |
| JBS USA Lux S.A./JBS USA Food Co./JBS USA Finance, Inc., 3%, 2/02/2029  | $488000 | &nbsp;&nbsp;&nbsp; $466773 |
| Tyson Foods, Inc., 5.15%, 8/15/2044  | 38000 | &nbsp;&nbsp;&nbsp; 34734 |
|  |  | &nbsp;&nbsp;&nbsp; $501507 |
| Industrial – 0.0% | Industrial – 0.0% | Industrial – 0.0% |
| Howard University, Washington D.C., AGM, 2.516%, 10/01/2025  | $42000 | &nbsp;&nbsp;&nbsp; $41899 |
| Insurance – 0.5% | Insurance – 0.5% | Insurance – 0.5% |
| Corebridge Financial, Inc., 3.85%, 4/05/2029  | $500000 | &nbsp;&nbsp;&nbsp; $492855 |
| Insurance - Health – 0.2% | Insurance - Health – 0.2% | Insurance - Health – 0.2% |
| Humana, Inc., 3.7%, 3/23/2029  | $167000 | &nbsp;&nbsp;&nbsp; $163676 |
| Insurance - Property & Casualty – 0.1% | Insurance - Property & Casualty – 0.1% | Insurance - Property & Casualty – 0.1% |
| Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | $99000 | &nbsp;&nbsp;&nbsp; $73530 |
| Major Banks – 2.0% | Major Banks – 2.0% | Major Banks – 2.0% |
| Bank of America Corp., 2.687% to 4/22/2031, FLR (SOFR - 1 day + 1.32%) to 4/22/2032  | $750000 | &nbsp;&nbsp;&nbsp; $680390 |
| JPMorgan Chase & Co., 2.58% to 4/22/2031, FLR (SOFR - 1 day + 1.25%) to 4/22/2032  | 750000 | &nbsp;&nbsp;&nbsp; 678178 |
| Morgan Stanley, 3.622% to 4/01/2030, FLR (SOFR - 1 day + 3.12%) to 4/01/2031  | 588000 | &nbsp;&nbsp;&nbsp; 568927 |
| State Street Corp., 3.152% to 3/30/2030, FLR (SOFR + 2.65%) to 3/30/2031  | 138000 | &nbsp;&nbsp;&nbsp; 132043 |
|  |  | &nbsp;&nbsp;&nbsp; $2059538 |
| Medical & Health Technology & Services – 0.9% | Medical & Health Technology & Services – 0.9% | Medical & Health Technology & Services – 0.9% |
| Becton, Dickinson and Co., 4.685%, 12/15/2044  | $123000 | &nbsp;&nbsp;&nbsp; $107488 |
| Laboratory Corp. of America Holdings, 4.7%, 2/01/2045  | 106000 | &nbsp;&nbsp;&nbsp; 92625 |
| Montefiore Obligated Group, AGM, 5.246%, 11/01/2048  | 614000 | &nbsp;&nbsp;&nbsp; 541476 |
| ProMedica Toledo Hospital, "B", AGM, 5.75%, 11/15/2038  | 175000 | &nbsp;&nbsp;&nbsp; 175516 |
|  |  | &nbsp;&nbsp;&nbsp; $917105 |
| Midstream – 0.1% | Midstream – 0.1% | Midstream – 0.1% |
| Targa Resources Corp., 4.95%, 4/15/2052  | $109000 | &nbsp;&nbsp;&nbsp; $90168 |
| Mortgage-Backed – 33.6% | Mortgage-Backed – 33.6% | Mortgage-Backed – 33.6% |
| Fannie Mae, 3%, 11/01/2028 - 11/01/2046  | $725520 | &nbsp;&nbsp;&nbsp; $674835 |
| Fannie Mae, 3.5%, 1/25/2030 - 7/01/2046  | 812788 | &nbsp;&nbsp;&nbsp; 765006 |
| Fannie Mae, 6.5%, 5/01/2031 - 1/01/2037  | 106859 | &nbsp;&nbsp;&nbsp; 111685 |
| Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046  | 161857 | &nbsp;&nbsp;&nbsp; 149059 |
| Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 41379 | &nbsp;&nbsp;&nbsp; 2985 |
| Fannie Mae, 3%, 2/25/2033 (i) | 65314 | &nbsp;&nbsp;&nbsp; 4613 |
| Fannie Mae, 5.5%, 10/01/2033 - 3/01/2038  | 656900 | &nbsp;&nbsp;&nbsp; 676004 |
| Fannie Mae, 6%, 8/01/2034 - 9/01/2054  | 1060614 | &nbsp;&nbsp;&nbsp; 1086295 |
| Fannie Mae, 5%, 6/01/2035 - 3/25/2042  | 223993 | &nbsp;&nbsp;&nbsp; 228630 |
| Fannie Mae, 4%, 9/01/2040 - 7/01/2047  | 1534655 | &nbsp;&nbsp;&nbsp; 1486907 |
| Fannie Mae, 4.5%, 2/01/2041 - 11/01/2042  | 275689 | &nbsp;&nbsp;&nbsp; 275442 |
| Fannie Mae, 2.25%, 4/25/2041  | 48177 | &nbsp;&nbsp;&nbsp; 46149 |
| Fannie Mae, 1.75%, 9/25/2041  | 71163 | &nbsp;&nbsp;&nbsp; 68191 |
| Fannie Mae, 2.75%, 9/25/2042  | 52865 | &nbsp;&nbsp;&nbsp; 51113 |
| Fannie Mae, 4.712%, 2/25/2043  | 17519 | &nbsp;&nbsp;&nbsp; 17419 |
| Fannie Mae, 4.763%, 12/25/2045  | 24194 | &nbsp;&nbsp;&nbsp; 23904 |
| Fannie Mae, 2%, 4/25/2046  | 51905 | &nbsp;&nbsp;&nbsp; 48400 |
| Fannie Mae, 1.537%, 9/25/2046 (i) | 76298 | &nbsp;&nbsp;&nbsp; 8647 |
| Fannie Mae, 4%, 9/25/2050 (i) | 112718 | &nbsp;&nbsp;&nbsp; 22045 |
| Fannie Mae, 7.348%, 7/25/2054  | 136310 | &nbsp;&nbsp;&nbsp; 137289 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| U.S. Bonds – continued | U.S. Bonds – continued | U.S. Bonds – continued |
| Mortgage-Backed – continued | Mortgage-Backed – continued | Mortgage-Backed – continued |
| Fannie Mae, 6.788%, 3/25/2055  | $192701 | &nbsp;&nbsp;&nbsp; $191804 |
| Fannie Mae, UMBS, 2.5%, 7/01/2037 - 5/01/2052  | 3190840 | &nbsp;&nbsp;&nbsp; 2704094 |
| Fannie Mae, UMBS, 2%, 2/01/2042 - 3/01/2052  | 1719029 | &nbsp;&nbsp;&nbsp; 1427596 |
| Fannie Mae, UMBS, 1.5%, 3/01/2051  | 109423 | &nbsp;&nbsp;&nbsp; 82670 |
| Fannie Mae, UMBS, 3%, 5/01/2051 - 6/01/2052  | 1141064 | &nbsp;&nbsp;&nbsp; 995388 |
| Fannie Mae, UMBS, 4%, 8/01/2051  | 85265 | &nbsp;&nbsp;&nbsp; 81090 |
| Fannie Mae, UMBS, 4.5%, 9/01/2052  | 70678 | &nbsp;&nbsp;&nbsp; 68525 |
| Fannie Mae, UMBS, 5.5%, 11/01/2052  | 260099 | &nbsp;&nbsp;&nbsp; 262808 |
| Fannie Mae, UMBS, 6%, 12/01/2052 - 11/01/2054  | 591400 | &nbsp;&nbsp;&nbsp; 605819 |
| Fannie Mae, UMBS, 5%, 5/01/2053  | 277823 | &nbsp;&nbsp;&nbsp; 275315 |
| Freddie Mac, 3.208%, 2/25/2026  | 137266 | &nbsp;&nbsp;&nbsp; 136570 |
| Freddie Mac, 2.57%, 7/25/2026  | 690493 | &nbsp;&nbsp;&nbsp; 681082 |
| Freddie Mac, 3.12%, 9/25/2026  | 200000 | &nbsp;&nbsp;&nbsp; 197819 |
| Freddie Mac, 2.525%, 10/25/2026  | 97187 | &nbsp;&nbsp;&nbsp; 95536 |
| Freddie Mac, 2.797%, 12/25/2026  | 36193 | &nbsp;&nbsp;&nbsp; 35894 |
| Freddie Mac, 3.413%, 12/25/2026  | 300000 | &nbsp;&nbsp;&nbsp; 297124 |
| Freddie Mac, 1.486%, 3/25/2027 (i) | 391000 | &nbsp;&nbsp;&nbsp; 7391 |
| Freddie Mac, 3.243%, 4/25/2027  | 390961 | &nbsp;&nbsp;&nbsp; 385924 |
| Freddie Mac, 0.695%, 7/25/2027 (i) | 8018171 | &nbsp;&nbsp;&nbsp; 68576 |
| Freddie Mac, 0.538%, 8/25/2027 (i) | 6155211 | &nbsp;&nbsp;&nbsp; 42216 |
| Freddie Mac, 0.43%, 1/25/2028 (i) | 11041740 | &nbsp;&nbsp;&nbsp; 71874 |
| Freddie Mac, 0.432%, 1/25/2028 (i) | 4624740 | &nbsp;&nbsp;&nbsp; 30416 |
| Freddie Mac, 0.264%, 2/25/2028 (i) | 13262840 | &nbsp;&nbsp;&nbsp; 43915 |
| Freddie Mac, 0.258%, 4/25/2028 (i) | 8694673 | &nbsp;&nbsp;&nbsp; 29754 |
| Freddie Mac, 4.86%, 10/25/2028  | 52609 | &nbsp;&nbsp;&nbsp; 53840 |
| Freddie Mac, 0.598%, 5/25/2029 (i) | 2159398 | &nbsp;&nbsp;&nbsp; 31994 |
| Freddie Mac, 1.005%, 7/25/2029 (i) | 1648656 | &nbsp;&nbsp;&nbsp; 48941 |
| Freddie Mac, 1.212%, 7/25/2029 (i) | 1225285 | &nbsp;&nbsp;&nbsp; 43287 |
| Freddie Mac, 1.261%, 8/25/2029 (i) | 2496029 | &nbsp;&nbsp;&nbsp; 95273 |
| Freddie Mac, 0.734%, 1/25/2030 (i) | 760184 | &nbsp;&nbsp;&nbsp; 17519 |
| Freddie Mac, 1.703%, 1/25/2030 (i) | 251428 | &nbsp;&nbsp;&nbsp; 14595 |
| Freddie Mac, 1.913%, 4/25/2030 (i) | 600527 | &nbsp;&nbsp;&nbsp; 43575 |
| Freddie Mac, 1.954%, 4/25/2030 (i) | 1277474 | &nbsp;&nbsp;&nbsp; 95467 |
| Freddie Mac, 1.769%, 5/25/2030 (i) | 612877 | &nbsp;&nbsp;&nbsp; 42770 |
| Freddie Mac, 1.906%, 5/25/2030 (i) | 1389954 | &nbsp;&nbsp;&nbsp; 103416 |
| Freddie Mac, 1.206%, 6/25/2030 (i) | 882178 | &nbsp;&nbsp;&nbsp; 39290 |
| Freddie Mac, 1.435%, 6/25/2030 (i) | 559633 | &nbsp;&nbsp;&nbsp; 31667 |
| Freddie Mac, 1.701%, 8/25/2030 (i) | 633757 | &nbsp;&nbsp;&nbsp; 43951 |
| Freddie Mac, 1.262%, 9/25/2030 (i) | 314905 | &nbsp;&nbsp;&nbsp; 16304 |
| Freddie Mac, 1.17%, 11/25/2030 (i) | 789331 | &nbsp;&nbsp;&nbsp; 39152 |
| Freddie Mac, 0.413%, 1/25/2031 (i) | 2838490 | &nbsp;&nbsp;&nbsp; 38362 |
| Freddie Mac, 0.871%, 1/25/2031 (i) | 873865 | &nbsp;&nbsp;&nbsp; 32797 |
| Freddie Mac, 1.026%, 1/25/2031 (i) | 663744 | &nbsp;&nbsp;&nbsp; 29191 |
| Freddie Mac, 0.546%, 2/25/2031 (i) | 734976 | &nbsp;&nbsp;&nbsp; 15533 |
| Freddie Mac, 0.606%, 3/25/2031 (i) | 2255479 | &nbsp;&nbsp;&nbsp; 51595 |
| Freddie Mac, 0.828%, 3/25/2031 (i) | 973113 | &nbsp;&nbsp;&nbsp; 35234 |
| Freddie Mac, 1.323%, 5/25/2031 (i) | 399402 | &nbsp;&nbsp;&nbsp; 23781 |
| Freddie Mac, 1.039%, 7/25/2031 (i) | 489989 | &nbsp;&nbsp;&nbsp; 24069 |
| Freddie Mac, 1.321%, 7/25/2031 (i) | 984709 | &nbsp;&nbsp;&nbsp; 61126 |
| Freddie Mac, 0.632%, 9/25/2031 (i) | 2619786 | &nbsp;&nbsp;&nbsp; 74934 |
| Freddie Mac, 0.954%, 9/25/2031 (i) | 2591485 | &nbsp;&nbsp;&nbsp; 113672 |
| Freddie Mac, 0.441%, 11/25/2031 (i) | 3899181 | &nbsp;&nbsp;&nbsp; 75674 |
| Freddie Mac, 0.596%, 12/25/2031 (i) | 3898081 | &nbsp;&nbsp;&nbsp; 104138 |
| Freddie Mac, 0.664%, 12/25/2031 (i) | 644718 | &nbsp;&nbsp;&nbsp; 19134 |
| Freddie Mac, 0.434%, 6/25/2032 (i) | 4502658 | &nbsp;&nbsp;&nbsp; 91455 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| U.S. Bonds – continued | U.S. Bonds – continued | U.S. Bonds – continued |
| Mortgage-Backed – continued | Mortgage-Backed – continued | Mortgage-Backed – continued |
| Freddie Mac, 0.301%, 11/25/2032 (i) | $3670222 | &nbsp;&nbsp;&nbsp; $47243 |
| Freddie Mac, 0.431%, 5/25/2033 (i) | 700000 | &nbsp;&nbsp;&nbsp; 14670 |
| Freddie Mac, 3.5%, 8/15/2033 - 10/25/2058  | 1697275 | &nbsp;&nbsp;&nbsp; 1604403 |
| Freddie Mac, 0.299%, 8/25/2033 (i) | 2899969 | &nbsp;&nbsp;&nbsp; 36253 |
| Freddie Mac, 0.362%, 10/25/2033 (i) | 2363261 | &nbsp;&nbsp;&nbsp; 39311 |
| Freddie Mac, 1.092%, 9/25/2034 (i) | 516084 | &nbsp;&nbsp;&nbsp; 35809 |
| Freddie Mac, 0.22%, 1/25/2035 (i) | 4660229 | &nbsp;&nbsp;&nbsp; 43038 |
| Freddie Mac, 0.427%, 1/25/2035 (i) | 1866669 | &nbsp;&nbsp;&nbsp; 43799 |
| Freddie Mac, 4.657%, 4/15/2035  | 4614 | &nbsp;&nbsp;&nbsp; 4588 |
| Freddie Mac, 6%, 5/01/2035 - 10/01/2038  | 171808 | &nbsp;&nbsp;&nbsp; 180560 |
| Freddie Mac, 5.5%, 8/01/2035 - 6/01/2036  | 120148 | &nbsp;&nbsp;&nbsp; 124770 |
| Freddie Mac, 5%, 2/15/2036 - 12/01/2044  | 526953 | &nbsp;&nbsp;&nbsp; 537893 |
| Freddie Mac, 5.5%, 2/15/2036 (i) | 18756 | &nbsp;&nbsp;&nbsp; 2960 |
| Freddie Mac, 6.5%, 5/01/2037  | 18824 | &nbsp;&nbsp;&nbsp; 19709 |
| Freddie Mac, 4%, 8/01/2037 - 4/01/2044  | 127359 | &nbsp;&nbsp;&nbsp; 123044 |
| Freddie Mac, 3%, 1/01/2038 - 2/25/2059  | 1023458 | &nbsp;&nbsp;&nbsp; 935121 |
| Freddie Mac, 4.5%, 7/01/2039 - 5/01/2042  | 186382 | &nbsp;&nbsp;&nbsp; 186375 |
| Freddie Mac, 4.5%, 12/15/2040 (i) | 2475 | &nbsp;&nbsp;&nbsp; 230 |
| Freddie Mac, 2.5%, 3/25/2051 (i) | 111973 | &nbsp;&nbsp;&nbsp; 18518 |
| Freddie Mac, 5.798%, 10/25/2053  | 36839 | &nbsp;&nbsp;&nbsp; 37464 |
| Freddie Mac, 6.578%, 12/25/2053  | 167778 | &nbsp;&nbsp;&nbsp; 167635 |
| Freddie Mac, 5.748%, 2/25/2055 - 6/25/2055  | 505554 | &nbsp;&nbsp;&nbsp; 509726 |
| Freddie Mac, 3.25%, 11/25/2061  | 170091 | &nbsp;&nbsp;&nbsp; 156006 |
| Freddie Mac, UMBS, 2%, 2/01/2042 - 3/01/2052  | 1046239 | &nbsp;&nbsp;&nbsp; 847279 |
| Freddie Mac, UMBS, 2.5%, 7/01/2051 - 9/01/2052  | 975478 | &nbsp;&nbsp;&nbsp; 814162 |
| Freddie Mac, UMBS, 3.5%, 8/01/2051 - 5/01/2052  | 107887 | &nbsp;&nbsp;&nbsp; 98249 |
| Freddie Mac, UMBS, 3%, 4/01/2052 - 6/01/2052  | 539075 | &nbsp;&nbsp;&nbsp; 469015 |
| Freddie Mac, UMBS, 4%, 5/01/2052  | 156090 | &nbsp;&nbsp;&nbsp; 147429 |
| Freddie Mac, UMBS, 5%, 7/01/2052  | 355554 | &nbsp;&nbsp;&nbsp; 352268 |
| Freddie Mac, UMBS, 5.5%, 4/01/2053  | 60238 | &nbsp;&nbsp;&nbsp; 61378 |
| Ginnie Mae, 3.5%, 8/20/2029 - 1/20/2043 (i) | 219501 | &nbsp;&nbsp;&nbsp; 25589 |
| Ginnie Mae, 5.5%, 7/15/2033 - 4/20/2055  | 886875 | &nbsp;&nbsp;&nbsp; 902108 |
| Ginnie Mae, 5.658%, 8/20/2034  | 41478 | &nbsp;&nbsp;&nbsp; 42324 |
| Ginnie Mae, 4%, 5/16/2039 - 8/20/2052  | 240206 | &nbsp;&nbsp;&nbsp; 229490 |
| Ginnie Mae, 4%, 12/20/2039 - 8/16/2042 (i) | 50352 | &nbsp;&nbsp;&nbsp; 7235 |
| Ginnie Mae, 0.945%, 5/20/2041 (i) | 106255 | &nbsp;&nbsp;&nbsp; 9564 |
| Ginnie Mae, 4.5%, 9/20/2041 - 9/20/2052  | 779901 | &nbsp;&nbsp;&nbsp; 759501 |
| Ginnie Mae, 3.5%, 4/15/2042 - 7/20/2043  | 523626 | &nbsp;&nbsp;&nbsp; 489082 |
| Ginnie Mae, 2.5%, 6/20/2042 - 8/20/2052  | 1637247 | &nbsp;&nbsp;&nbsp; 1398541 |
| Ginnie Mae, 3%, 4/20/2045 - 6/20/2052  | 1225802 | &nbsp;&nbsp;&nbsp; 1091785 |
| Ginnie Mae, 4.754%, 10/20/2045  | 141738 | &nbsp;&nbsp;&nbsp; 137739 |
| Ginnie Mae, 2.5%, 2/20/2051 (i) | 87411 | &nbsp;&nbsp;&nbsp; 12119 |
| Ginnie Mae, 2%, 1/20/2052 - 4/20/2052  | 1180814 | &nbsp;&nbsp;&nbsp; 967652 |
| Ginnie Mae, 5%, 1/20/2053 - 12/20/2054  | 319279 | &nbsp;&nbsp;&nbsp; 317028 |
| Ginnie Mae, 6%, 2/20/2054 - 11/20/2055  | 441695 | &nbsp;&nbsp;&nbsp; 454106 |
| Ginnie Mae, 5.057%, 6/20/2055  | 197955 | &nbsp;&nbsp;&nbsp; 200800 |
| Ginnie Mae, 5.132%, 6/20/2055  | 149658 | &nbsp;&nbsp;&nbsp; 148030 |
| Ginnie Mae, 5.495%, 3/20/2064  | 60902 | &nbsp;&nbsp;&nbsp; 61247 |
| Ginnie Mae, 5.122%, 7/20/2064  | 32882 | &nbsp;&nbsp;&nbsp; 32913 |
| Ginnie Mae, 5.127%, 2/20/2067  | 74381 | &nbsp;&nbsp;&nbsp; 74894 |
| Ginnie Mae, 5.173%, 3/20/2067  | 166474 | &nbsp;&nbsp;&nbsp; 167767 |
| Ginnie Mae, 5.281%, 7/20/2067  | 205444 | &nbsp;&nbsp;&nbsp; 207662 |
| Ginnie Mae, 4.945%, 2/20/2075  | 258934 | &nbsp;&nbsp;&nbsp; 257842 |
| Ginnie Mae, TBA, 6%, 9/15/2055  | 975000 | &nbsp;&nbsp;&nbsp; 994332 |
| Ginnie Mae, TBA, 6.5%, 9/15/2055  | 200000 | &nbsp;&nbsp;&nbsp; 205777 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| U.S. Bonds – continued | U.S. Bonds – continued | U.S. Bonds – continued |
| Mortgage-Backed – continued | Mortgage-Backed – continued | Mortgage-Backed – continued |
| UMBS, TBA, 2.5%, 9/25/2040  | $125000 | &nbsp;&nbsp;&nbsp; $117272 |
| UMBS, TBA, 6.5%, 9/01/2055  | 25000 | &nbsp;&nbsp;&nbsp; 25907 |
| UMBS, TBA, 2%, 9/25/2055 - 10/14/2055  | 1975000 | &nbsp;&nbsp;&nbsp; 1568248 |
|  |  | &nbsp;&nbsp;&nbsp; $34821013 |
| Municipals – 2.2% | Municipals – 2.2% | Municipals – 2.2% |
| Bridgeview, IL, Stadium & Redevelopment Projects, Taxable, AAC, 5.06%, 12/01/2025  | $175000 | &nbsp;&nbsp;&nbsp; $174841 |
| Chicago, IL, General Obligation, Taxable, "C", AGM, 6.207%, 1/01/2036  | 615000 | &nbsp;&nbsp;&nbsp; 654102 |
| Illinois Sales Tax Securitization Corp., Second Lien, Taxable, "B", BAM, 3.411%, 1/01/2043  | 240000 | &nbsp;&nbsp;&nbsp; 182747 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 2.641%, 7/01/2037  | 415000 | &nbsp;&nbsp;&nbsp; 387551 |
| New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), "F", 7.414%, 1/01/2040  | 32000 | &nbsp;&nbsp;&nbsp; 38420 |
| Syracuse, NY, Industrial Development Agency PILOT Rev., Taxable (Carousel Center Project), "B", 5%, 1/01/2036 (n) | 1215000 | &nbsp;&nbsp;&nbsp; 899652 |
|  |  | &nbsp;&nbsp;&nbsp; $2337313 |
| Telecommunications - Wireless – 0.5% | Telecommunications - Wireless – 0.5% | Telecommunications - Wireless – 0.5% |
| T-Mobile USA, Inc., 4.375%, 4/15/2040  | $650000 | &nbsp;&nbsp;&nbsp; $577469 |
| U.S. Government Agencies and Equivalents – 0.2% | U.S. Government Agencies and Equivalents – 0.2% | U.S. Government Agencies and Equivalents – 0.2% |
| Small Business Administration, 2.21%, 2/01/2033  | $42612 | &nbsp;&nbsp;&nbsp; $40012 |
| Small Business Administration, 2.22%, 3/01/2033  | 67509 | &nbsp;&nbsp;&nbsp; 63588 |
| Small Business Administration, 3.15%, 7/01/2033  | 56862 | &nbsp;&nbsp;&nbsp; 54747 |
| Small Business Administration, 3.62%, 9/01/2033  | 52477 | &nbsp;&nbsp;&nbsp; 51308 |
|  |  | &nbsp;&nbsp;&nbsp; $209655 |
| U.S. Treasury Obligations – 44.3% | U.S. Treasury Obligations – 44.3% | U.S. Treasury Obligations – 44.3% |
| U.S. Treasury Bonds, 2.25%, 2/15/2027  | $1921000 | &nbsp;&nbsp;&nbsp; $1881154 |
| U.S. Treasury Bonds, 5.25%, 2/15/2029  | 572000 | &nbsp;&nbsp;&nbsp; 603862 |
| U.S. Treasury Bonds, 0.625%, 5/15/2030  | 800000 | &nbsp;&nbsp;&nbsp; 695219 |
| U.S. Treasury Bonds, 4.75%, 2/15/2037  | 336000 | &nbsp;&nbsp;&nbsp; 349611 |
| U.S. Treasury Bonds, 4.375%, 2/15/2038  | 1109000 | &nbsp;&nbsp;&nbsp; 1106141 |
| U.S. Treasury Bonds, 4.5%, 8/15/2039 (f) | 4503100 | &nbsp;&nbsp;&nbsp; 4471086 |
| U.S. Treasury Bonds, 3.25%, 5/15/2042  | 165000 | &nbsp;&nbsp;&nbsp; 135680 |
| U.S. Treasury Bonds, 3.125%, 2/15/2043  | 453700 | &nbsp;&nbsp;&nbsp; 361843 |
| U.S. Treasury Bonds, 2.875%, 5/15/2043  | 1697100 | &nbsp;&nbsp;&nbsp; 1297884 |
| U.S. Treasury Bonds, 2.5%, 2/15/2045  | 4017000 | &nbsp;&nbsp;&nbsp; 2798719 |
| U.S. Treasury Bonds, 5%, 5/15/2045  | 906000 | &nbsp;&nbsp;&nbsp; 921147 |
| U.S. Treasury Bonds, 2.875%, 11/15/2046  | 3470000 | &nbsp;&nbsp;&nbsp; 2526594 |
| U.S. Treasury Bonds, 4.25%, 8/15/2054  | 217000 | &nbsp;&nbsp;&nbsp; 194147 |
| U.S. Treasury Bonds, 4.625%, 2/15/2055  | 899000 | &nbsp;&nbsp;&nbsp; 856859 |
| U.S. Treasury Notes, 5%, 9/30/2025  | 3216000 | &nbsp;&nbsp;&nbsp; 3217322 |
| U.S. Treasury Notes, 0.75%, 5/31/2026  | 567700 | &nbsp;&nbsp;&nbsp; 554386 |
| U.S. Treasury Notes, 0.875%, 6/30/2026  | 678600 | &nbsp;&nbsp;&nbsp; 661927 |
| U.S. Treasury Notes, 2%, 11/15/2026 (f) | 7277000 | &nbsp;&nbsp;&nbsp; 7123785 |
| U.S. Treasury Notes, 3.875%, 3/31/2027  | 1464000 | &nbsp;&nbsp;&nbsp; 1467774 |
| U.S. Treasury Notes, 3.875%, 5/31/2027  | 2743000 | &nbsp;&nbsp;&nbsp; 2752215 |
| U.S. Treasury Notes, 3.875%, 7/31/2027  | 3832000 | &nbsp;&nbsp;&nbsp; 3847867 |
| U.S. Treasury Notes, 3.75%, 8/15/2027  | 1592000 | &nbsp;&nbsp;&nbsp; 1595172 |
| U.S. Treasury Notes, 3.625%, 8/31/2027  | 395000 | &nbsp;&nbsp;&nbsp; 395077 |
| U.S. Treasury Notes, 4%, 2/29/2028  | 3068000 | &nbsp;&nbsp;&nbsp; 3097482 |
| U.S. Treasury Notes, 4.625%, 4/30/2031  | 534000 | &nbsp;&nbsp;&nbsp; 556716 |
| U.S. Treasury Notes, 4%, 4/30/2032  | 1032000 | &nbsp;&nbsp;&nbsp; 1037966 |
| U.S. Treasury Notes, 4.625%, 2/15/2035  | 1368000 | &nbsp;&nbsp;&nbsp; 1414811 |
|  |  | &nbsp;&nbsp;&nbsp; $45922446 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| U.S. Bonds – continued | U.S. Bonds – continued | U.S. Bonds – continued |
| Utilities - Electric Power – 1.0% | Utilities - Electric Power – 1.0% | Utilities - Electric Power – 1.0% |
| FirstEnergy Corp., 3.9%, 7/15/2027  | $694000 | &nbsp;&nbsp;&nbsp; $688933 |
| Pacific Gas & Electric Co., 5.45%, 6/15/2027  | 357000 | &nbsp;&nbsp;&nbsp; 362353 |
|  |  | &nbsp;&nbsp;&nbsp; $1051286 |
| **Total U.S. Bonds** |  | &nbsp;&nbsp; **$95609577** |
| Foreign Bonds – 4.8% | Foreign Bonds – 4.8% | Foreign Bonds – 4.8% |
| Australia – 0.0% | Australia – 0.0% | Australia – 0.0% |
| APA Infrastructure Ltd., 4.25%, 7/15/2027 (n) | $16000 | &nbsp;&nbsp;&nbsp; $15988 |
| Bermuda – 0.4% | Bermuda – 0.4% | Bermuda – 0.4% |
| Government of Bermuda, 5%, 7/15/2032 (n) | $400000 | &nbsp;&nbsp;&nbsp; $402956 |
| Chile – 0.7% | Chile – 0.7% | Chile – 0.7% |
| Chile Electricity Lux MPC II S.à r.l., 6.01%, 1/20/2033 (n) | $179000 | &nbsp;&nbsp;&nbsp; $186504 |
| Chile Electricity Lux MPC II S.à r.l., 5.58%, 10/20/2035 (n) | 195501 | &nbsp;&nbsp;&nbsp; 197476 |
| ENGIE Energia Chile S.A., 6.375%, 4/17/2034 (n) | 200000 | &nbsp;&nbsp;&nbsp; 210183 |
| Republic of Chile, 2.55%, 1/27/2032  | 200000 | &nbsp;&nbsp;&nbsp; 177540 |
|  |  | &nbsp;&nbsp;&nbsp; $771703 |
| China – 0.4% | China – 0.4% | China – 0.4% |
| Tencent Holdings Ltd., 2.88%, 4/22/2031 (n) | $501000 | &nbsp;&nbsp;&nbsp; $468423 |
| India – 1.0% | India – 1.0% | India – 1.0% |
| Export-Import Bank of India, 2.25%, 1/13/2031 (n) | $317000 | &nbsp;&nbsp;&nbsp; $284422 |
| Indian Railway Finance Corp., 2.8%, 2/10/2031 (n) | 376000 | &nbsp;&nbsp;&nbsp; 345240 |
| Power Finance Corp. Ltd. (Republic of India), 5.25%, 8/10/2028  | 370000 | &nbsp;&nbsp;&nbsp; 378201 |
|  |  | &nbsp;&nbsp;&nbsp; $1007863 |
| Indonesia – 0.3% | Indonesia – 0.3% | Indonesia – 0.3% |
| PT Indofood CBP Sukses Makmur Tbk, 4.805%, 4/27/2052  | $416000 | &nbsp;&nbsp;&nbsp; $357464 |
| Ireland – 0.3% | Ireland – 0.3% | Ireland – 0.3% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.3%, 1/30/2032  | $355000 | &nbsp;&nbsp;&nbsp; $325014 |
| Malaysia – 0.4% | Malaysia – 0.4% | Malaysia – 0.4% |
| Dua Capital Ltd. (Federation of Malaysia), 2.78%, 5/11/2031  | $400000 | &nbsp;&nbsp;&nbsp; $366948 |
| Philippines – 0.2% | Philippines – 0.2% | Philippines – 0.2% |
| Republic of Philippines, 5.5%, 1/17/2048  | $200000 | &nbsp;&nbsp;&nbsp; $199868 |
| Poland – 0.3% | Poland – 0.3% | Poland – 0.3% |
| Bank Gospodarstwa Krajowego (Republic of Poland), 6.25%, 10/31/2028 (n) | $264000 | &nbsp;&nbsp;&nbsp; $279782 |
| United Kingdom – 0.7% | United Kingdom – 0.7% | United Kingdom – 0.7% |
| B.A.T. Capital Corp., 5.35%, 8/15/2032  | $500000 | &nbsp;&nbsp;&nbsp; $514655 |
| Imperial Brands Finance PLC, 6.125%, 7/27/2027 (n) | 200000 | &nbsp;&nbsp;&nbsp; 206511 |
|  |  | &nbsp;&nbsp;&nbsp; $721166 |
| Uruguay – 0.1% | Uruguay – 0.1% | Uruguay – 0.1% |
| Oriental Republic of Uruguay, 5.75%, 10/28/2034  | $96000 | &nbsp;&nbsp;&nbsp; $101682 |
| **Total Foreign Bonds** |  | &nbsp;&nbsp; **$5018857** |
| **Total Bonds**  |  | &nbsp;&nbsp; **$100628434** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Underlying/Expiration Date/Exercise Price (Rate)** | **Put/Call** | **Counterparty** | **Notional** <br>**Amount**<br>| **Value ($)** |
| Purchased Options – 0.0% | Purchased Options – 0.0% | Purchased Options – 0.0% | Purchased Options – 0.0% | Purchased Options – 0.0% |
| OTC Swaptions – 0.0% | OTC Swaptions – 0.0% | OTC Swaptions – 0.0% | OTC Swaptions – 0.0% | OTC Swaptions – 0.0% |
| 1 Year Interest Rate Swap with Fund to pay 3.085% annually and receive 1-day SOFR annually – <br> 8/30/2027 @ 3.085%<br>| Put | Merrill Lynch International | &nbsp;&nbsp; $1000000 | &nbsp;&nbsp; $4696 |
| 1 Year Interest Rate Swap with Fund to receive 3.085% annually and pay 1-day SOFR annually – <br> 8/30/2027 @ 3.085%<br>| Call | Merrill Lynch International | &nbsp;&nbsp; 1000000 | &nbsp;&nbsp; 4615 |
| **Total Purchased Options**  | **Total Purchased Options**  | **Total Purchased Options**  |  | &nbsp;&nbsp; $**9311** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** |  |
| Mutual Funds (h) – 5.8% | Mutual Funds (h) – 5.8% | Mutual Funds (h) – 5.8% |
| Money Market Funds – 5.8% | Money Market Funds – 5.8% |  |
| MFS Institutional Money Market Portfolio, 4.33% (v)  | 6054495 | &nbsp;&nbsp;&nbsp; $6055101 |
| Other Assets, Less Liabilities – (2.8)% |  | &nbsp;&nbsp;&nbsp; (2943332)<br>|
| **Net Assets – 100.0%** |  | &nbsp;&nbsp; **$103749514** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;(f) All or a portion of the security has been segregated as collateral for open futures
 contracts and cleared swap agreements.

&nbsp;&nbsp;&nbsp;&nbsp;(h) An affiliated issuer, which may be considered one in which the fund owns 5% or more
 of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated
 issuers and in unaffiliated issuers were $6,055,101 and $100,637,745, respectively.

&nbsp;&nbsp;&nbsp;&nbsp;(i) Interest only security for which the fund receives interest on notional principal
 (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.

&nbsp;&nbsp;&nbsp;&nbsp;(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933.
 These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers.
 At period end, the aggregate value of these securities was $7,900,460, representing 7.6% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(v) Affiliated issuer that is available only to investment companies managed by MFS. The
 rate quoted for the MFS Institutional Money Market Portfolio is the annualized seven-day yield of the fund at period end.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| The following abbreviations are used in this report and are defined: | The following abbreviations are used in this report and are defined: |
| AAC | Ambac Assurance Corp. |
| AGM | Assured Guaranty Municipal |
| BAM | Build America Mutual |
| CLO | Collateralized Loan Obligation |
| CPI-U | Consumer Price Index - Urban Consumers |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate <br> reported may not be the current rate. All reference rates are USD unless otherwise noted.<br>|
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
| UMBS | Uniform Mortgage-Backed Security |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 8/31/25** | **Derivative Contracts at 8/31/25** | **Derivative Contracts at 8/31/25** | **Derivative Contracts at 8/31/25** | **Derivative Contracts at 8/31/25** | **Derivative Contracts at 8/31/25** | **Derivative Contracts at 8/31/25** |
| **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  |
| **Description** | **Long/** <br>**Short**<br>| **Currency** | **Contracts** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| &nbsp;&nbsp; **Expiration** <br>**Date**<br>| **Value/Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |
| ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  |  |  |
| U.S. Treasury Note 10 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 49 | $5512500 | December - 2025 | &nbsp;&nbsp; $17351 |
| U.S. Treasury Note 2 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 42 | 8758641 | December - 2025 | &nbsp;&nbsp; 11388 |
| U.S. Treasury Note 5 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 241 | 26381969 | December - 2025 | &nbsp;&nbsp; 50201 |
|  |  |  |  |  |  | &nbsp;&nbsp; $78940 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  | **Futures Contracts - continued**  |
| **Description** | **Long/**<br> **Short**<br>| **Currency** | **Contracts** | &nbsp;&nbsp; **Notional**<br> **Amount**<br>| &nbsp;&nbsp; **Expiration**<br> **Date**<br>| **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)**<br>|
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  |  |  |
| U.S. Treasury Ultra Bond 30 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 5 | $582813 | December - 2025 | &nbsp;&nbsp; $(2729)<br>|
| U.S. Treasury Ultra Note 10 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 41 | 4690656 | December - 2025 | &nbsp;&nbsp; (11028)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(13757)<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  |
| **Maturity** <br>**Date** | **Maturity** <br>**Date** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| **Counterparty** | &nbsp;&nbsp; **Cash Flows** <br>**to Receive/** <br>**Frequency**<br>| &nbsp;&nbsp; **Cash Flows** <br>**to Pay/** <br>**Frequency**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>| **Net Unamortized** <br>**Upfront Payments** <br>**(Receipts)**<br>| **Value** |
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |  |  |  |
| ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  |  |  |  |
| 5/08/27 | USD | 3119000  | centrally cleared | 1-day SOFR / Annually  | 3.5595% / Annually  | &nbsp;&nbsp; $3726 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $3726 |
| 9/19/35 | USD | 2700000  | centrally cleared | 4.196% / Annually  | 1-day SOFR / Annually  | &nbsp;&nbsp; 7240 | &nbsp;&nbsp; — | &nbsp;&nbsp; 7240 |
|  |  |  |  |  |  | &nbsp;&nbsp; $10966 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $10966 |
| ***Inflation Swaps***  | ***Inflation Swaps***  | ***Inflation Swaps***  | ***Inflation Swaps***  | ***Inflation Swaps***  | ***Inflation Swaps***  |  |  |  |
| 5/14/30 | USD | 3400000  | centrally cleared | CPI-U / At Maturity  | 2.539% / At Maturity  | &nbsp;&nbsp; $26676 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $26676 |
|  |  |  |  |  |  | &nbsp;&nbsp; $37642 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $37642 |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |  |  |  |
| ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  |  |  |  |
| 5/24/26 | USD | 1600000  | centrally cleared | 1-day SOFR / Annually  | 4.7585% / Annually  | &nbsp;&nbsp; $(11358)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $(11358)<br>|
| 12/26/26 | USD | 2000000  | centrally cleared | 1-day SOFR / Annually  | 4.1635% / Annually  | &nbsp;&nbsp; (11766)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (11766)<br>|
| 12/26/29 | USD | 2300000  | centrally cleared | 1-day SOFR / Annually  | 4.085% / Annually  | &nbsp;&nbsp; (67779)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (67779)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(90903)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $(90903)<br>|

---

At August 31, 2025, the fund had liquid securities with an aggregate value of $505,809 to cover any collateral or margin obligations for certain derivative contracts.

See attached supplemental information. For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

------

**Supplemental Information**

8/31/25 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial

Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.

**(1) Investment Valuations**

Subject to its oversight, the fund's Board of Trustees has delegated primary responsibility for determining or causing to be determined the value of the fund's investments to MFS as the fund's adviser, pursuant to the fund's valuation policy and procedures which have been adopted by the adviser and approved by the Board. In accordance with Rule 2a-5 under the Investment Company Act of 1940, the Board of Trustees designated the adviser as the "valuation designee" of the fund. If the adviser, as valuation designee, determines that reliable market quotations are not readily available for an investment, the investment is valued at fair value as determined in good faith by the adviser in accordance with the adviser's fair valuation policy and procedures.

Under the fund's valuation policy and procedures, debt instruments and floating rate loans, including restricted debt instruments, are

generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at

issuance of 60 days or less may be valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price on their primary exchange as provided by a third-party pricing service. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation on their primary exchange as provided by a third-party pricing service. For put options, the position may be valued at the last daily ask quotation if there are no trades reported during the day. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally

valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular

position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of

any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

Under the fund's valuation policy and procedures, market quotations are not considered to be readily available for debt instruments, floating rate loans, and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services or otherwise determined by the adviser in accordance with the adviser's fair valuation policy and procedures. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. In determining values, third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, spreads and other market data. Pricing services generally value debt instruments assuming orderly transactions of institutional round lot sizes, but a fund may hold or transact in such securities in smaller, odd lot sizes. In instances where a fund holds an odd lot size position in a debt instrument, such position will typically be valued using the pricing agent's institutional round lot price for the debt instrument. Odd lots may trade at lower prices than institutional round lots, and the fund may receive different prices when it sells odd lot positions than it would receive for sales of institutional round lot positions. An investment may also be valued at fair value if the adviser determines that the investment's value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund's net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund's net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund's net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which the fund determines its net

asset value per share.

Various inputs are used in determining the value of the fund's assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment's level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The fund's assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk).

------

*Supplemental Information (unaudited) – continued*

Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and swap agreements. The following is a summary of the levels used as of August 31, 2025 in valuing the fund's assets and liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $46141412 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $46141412 |
| Non - U.S. Sovereign Debt | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2920619 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2920619 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2337313 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2337313 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 7565393 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 7565393 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 35181929 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 35181929 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2479929 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2479929 |
| Asset-Backed Securities (including CDOs) | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1912912 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1912912 |
| Foreign Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2098238 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2098238 |
| Investment Companies | &nbsp;&nbsp;&nbsp; 6055101 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 6055101 |
| Total | &nbsp;&nbsp;&nbsp; $6055101 | &nbsp;&nbsp;&nbsp; $100637745 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $106692846 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Assets | &nbsp;&nbsp;&nbsp; $78940 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $78940 |
| Futures Contracts – Liabilities | &nbsp;&nbsp;&nbsp; (13757)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (13757)<br>|
| Swap Agreements – Assets | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 37642 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 37642 |
| Swap Agreements – Liabilities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (90903)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (90903)<br>|

---

For further information regarding security characteristics, see the Portfolio of Investments.

**(2) Investments in Affiliated Issuers**

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the following were affiliated issuers for the period ended August 31, 2025:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Affiliated Issuers** | **Beginning** <br>**Value**<br>| **Purchases** | **Sales** <br>**Proceeds**<br>| **Realized** <br>**Gain** <br>**(Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation or** <br>**Depreciation**<br>| **Ending** <br>**Value**<br>|
| MFS Institutional Money Market Portfolio  | &nbsp;&nbsp; $2061024 | &nbsp;&nbsp; $29724631 | &nbsp;&nbsp; $25730986 | &nbsp;&nbsp; $(137)<br>| &nbsp;&nbsp; $569 | &nbsp;&nbsp; $6055101<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| MFS Institutional Money Market Portfolio  | &nbsp;&nbsp; $127508 | &nbsp;&nbsp; $— |

---

------

## 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:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $108005544.03

**Total Liabilities:** $4257231.03

**Net Assets:** $103748313.00

**Delayed Delivery Securities:** $3691720.00

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -67.07000000 | **1-Year:** -1889.58000000 | **5-Year:** -4449.87000000 | **10-Year:** -12787.00000000 | **30-Year:** -5818.93000000

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

- **3-Month:** -84.46000000 | **1-Year:** -215.22000000 | **5-Year:** -366.90000000 | **10-Year:** -62.80000000 | **30-Year:** -7.68000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 2.42%                | -0.99%               | 1.28%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $32120.49                | $1052861.02                                |
| Month 2  | $-121410.38              | $-401863.46                                |
| Month 3  | $14615.50                | $700659.79                                 |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FETQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4624740 | PA      | $30415.99     | 0.03%             | 2028-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71163 | PA      | $68190.99     | 0.07%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BSJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136310 | PA      | $137289.34    | 0.13%             | 2054-07-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87329 | PA      | $81262.14     | 0.08%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2019-C7                                                                                            | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1296298 | PA      | $39269.42     | 0.04%             | 2072-12-15      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM1 Trust                                                                                                                    | CUSIP: 67448LAB8<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |     67313 | PA      | $67755.02     | 0.07%             | 2063-11-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                         | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    588000 | PA      | $568927.40    | 0.55%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193927 | PA      | $166544.96    | 0.16%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                           | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    750000 | PA      | $626053.52    | 0.60%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67391 | PA      | $64400.05     | 0.06%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873865 | PA      | $32797.03     | 0.03%             | 2031-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1921000 | PA      | $1881154.25   | 1.81%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BUX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192701 | PA      | $191804.16    | 0.18%             | 2055-03-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20296 | PA      | $20277.70     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                             | Becton Dickinson & Co                                                                                                                  | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    123000 | PA      | $107488.02    | 0.10%             | 2044-12-15      | Fixed         | 4.69%                 | No            |                  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      | $197475.56    | 0.19%             | 2035-10-20      | Fixed         | 5.58%                 | 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        |     79065 | PA      | $81597.28     | 0.08%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31385JK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37121 | PA      | $38521.91     | 0.04%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38376R2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    166474 | PA      | $167766.96    | 0.16%             | 2067-03-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31412FS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14056 | PA      | $14759.44     | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | 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      | $43798.59     | 0.04%             | 2035-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BBTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112718 | PA      | $22044.67     | 0.02%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd.                               | ACREC 2021-FL1 Ltd                                                                                                                     | CUSIP: 00500RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    323500 | PA      | $323489.78    | 0.31%             | 2036-10-16      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31414CRZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20627 | PA      | $21363.39     | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109423 | PA      | $82670.10     | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135639 | PA      | $127702.36    | 0.12%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18469 | PA      | $19099.24     | 0.02%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDIAN RAILWAY FINANCE                            | Indian Railway Finance Corp Ltd                                                                                                        | CUSIP: 45434L2C7<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | CORP              | IN        |    376000 | PA      | $345240.41    | 0.33%             | 2031-02-10      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383211 | PA      | $326800.13    | 0.31%             | 2051-09-20      | Fixed         | 2.50%                 | 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        |    690493 | PA      | $681081.65    | 0.66%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42127 | PA      | $39653.40     | 0.04%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88220 | PA      | $74217.17     | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CLG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1592000 | PA      | $1595171.57   | 1.54%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34358 | PA      | $34586.30     | 0.03%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78168 | PA      | $76119.61     | 0.07%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137B45J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183013 | PA      | $179692.23    | 0.17%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42682 | PA      | $34095.47     | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                                                                                 | CUSIP: 03880KAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    374500 | PA      | $374355.44    | 0.36%             | 2034-08-15      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B24 Mortgage Trust                                                                                                      | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1160553 | PA      | $47400.23     | 0.05%             | 2054-03-15      | Variable      | 1.25%                 | 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      | $36252.51     | 0.03%             | 2033-08-25      | Variable      | 0.30%                 | No            |                  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        |     45408 | PA      | $45785.54     | 0.04%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31371LDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96855 | PA      | $99229.53     | 0.10%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292110 | PA      | $258785.94    | 0.25%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372283 | PA      | $319834.94    | 0.31%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43578 | PA      | $41582.78     | 0.04%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-1                                                                                                      | CUSIP: 92540EAB9<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |     60973 | PA      | $61374.99     | 0.06%             | 2069-01-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| MONTEFIORE OBLIGATED GRP                          | Montefiore Obligated Group                                                                                                             | CUSIP: 61237WAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    614000 | PA      | $541476.27    | 0.52%             | 2048-11-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140NMBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231431 | PA      | $237292.13    | 0.23%             | 2053-09-01      | Fixed         | 6.00%                 | 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      | $510115.28    | 0.49%             | 2037-01-20      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Toledo Hospital/The                               | Toledo Hospital/The                                                                                                                    | CUSIP: 889184AD9<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $175516.31    | 0.17%             | 2038-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14994 | PA      | $14454.62     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379QC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141738 | PA      | $137738.64    | 0.13%             | 2045-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45054 | PA      | $43913.49     | 0.04%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3832000 | PA      | $3847866.86   | 3.71%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16915 | PA      | $16899.53     | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97187 | PA      | $95535.94     | 0.09%             | 2026-10-25      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347832 | PA      | $324642.97    | 0.31%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30615 | PA      | $28666.00     | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207988 | PA      | $178686.10    | 0.17%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35164 | PA      | $34126.29     | 0.03%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49150 | PA      | $41818.60     | 0.04%             | 2046-10-01      | Fixed         | 2.50%                 | 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        |    200000 | PA      | $197819.18    | 0.19%             | 2026-09-25      | Variable      | 3.12%                 | 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        |   1087609 | PA      | $56133.79     | 0.05%             | 2054-07-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31384WLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7658 | PA      | $7934.36      | 0.01%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150898 | PA      | $126839.38    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2018-C48                                                                                         | CUSIP: 95001RAY5<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |    828207 | PA      | $19882.85     | 0.02%             | 2052-01-15      | Variable      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52965 | PA      | $51450.86     | 0.05%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    750000 | PA      | $680389.60    | 0.66%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                             | Time Warner Cable LLC                                                                                                                  | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79306.99     | 0.08%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194115 | PA      | $163600.55    | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68970 | PA      | $68907.98     | 0.07%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                 | State Street Corp                                                                                                                      | CUSIP: 857477BN2<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    138000 | PA      | $132042.74    | 0.13%             | 2031-03-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ERSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95343 | PA      | $92421.67     | 0.09%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4017000 | PA      | $2798719.22   | 2.70%             | 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      | $2526593.75   | 2.44%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229977 | PA      | $215957.58    | 0.21%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                     | SALES TAX SECURITIZATION CORP IL                                                                                                       | CUSIP: 79467BDK8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    240000 | PA      | $182747.11    | 0.18%             | 2043-01-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31403UHG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67486 | PA      | $69206.48     | 0.07%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28781 | PA      | $28798.81     | 0.03%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                              | Tencent Holdings Ltd                                                                                                                   | CUSIP: 88032WBA3<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    501000 | PA      | $468422.87    | 0.45%             | 2031-04-22      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72531 | PA      | $62973.74     | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AQVJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26836 | PA      | $25643.72     | 0.02%             | 2045-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                                                       | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514655.13    | 0.50%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJC99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77597 | PA      | $80618.26     | 0.08%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2838490 | PA      | $38362.20     | 0.04%             | 2031-01-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85265 | PA      | $81090.34     | 0.08%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CNV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    395000 | PA      | $395077.15    | 0.38%             | 2027-08-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147188 | PA      | $129628.06    | 0.12%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3618N5KW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223504 | PA      | $225288.29    | 0.22%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        44 | NC      | $11930.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11729   IRS USD R V 12MSOFR SM11729_FLO CCPOIS / Short: BM11729   IRS USD P F  4.16350 SM11729_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2000000 | OU      | $-14136.18    | -0.01%            |  |  |  | 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      | $899652.34    | 0.87%             | 2036-01-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559633 | PA      | $31667.23     | 0.03%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2021-C9                                                                                                           | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    958952 | PA      | $63036.53     | 0.06%             | 2054-02-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    975000 | PA      | $994331.68    | 0.96%             | 2054-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    650000 | PA      | $577469.00    | 0.56%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16525 | PA      | $13233.12     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | 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      | $91454.84     | 0.09%             | 2032-06-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104688 | PA      | $94167.50     | 0.09%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                                                   | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    109000 | PA      | $90167.91     | 0.09%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38378TKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13334 | PA      | $175.15       | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18655 | PA      | $15760.92     | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2475 | PA      | $230.25       | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142934 | PA      | $126068.47    | 0.12%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $794126.64    | 0.77%             | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34714 | PA      | $32326.87     | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1232 | PA      | $1271.65      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36225B2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28946 | PA      | $29909.25     | 0.03%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90665 | PA      | $72574.46     | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                 | GLS Auto Select Receivables Trust 2023-2                                                                                               | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31415 | PA      | $31632.08     | 0.03%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38375UKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32882 | PA      | $32913.18     | 0.03%             | 2064-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175026 | PA      | $147037.24    | 0.14%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38385G5H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149658 | PA      | $148029.63    | 0.14%             | 2055-06-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    390331 | PA      | $334025.71    | 0.32%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36432 | PA      | $2801.48      | 0.00%             | 2036-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82650 | PA      | $78168.28     | 0.08%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18756 | PA      | $2960.42      | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | 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      | $53840.11     | 0.05%             | 2028-10-25      | Fixed         | 4.86%                 | 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      | $14670.25     | 0.01%             | 2033-05-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Village of Bridgeview IL                          | BRIDGEVIEW IL                                                                                                                          | CUSIP: 108555GF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    175000 | PA      | $174841.03    | 0.17%             | 2025-12-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48885 | PA      | $46657.36     | 0.04%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    906000 | PA      | $921147.19    | 0.89%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30870 | PA      | $30019.50     | 0.03%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146548 | PA      | $122354.05    | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140A6UE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34463 | PA      | $35271.14     | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ERQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117760 | PA      | $114895.44    | 0.11%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75104 | PA      | $62611.56     | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151013 | PA      | $141317.93    | 0.14%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384J5R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157705 | PA      | $163184.03    | 0.16%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238055 | PA      | $208106.65    | 0.20%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                              | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    355000 | PA      | $325013.61    | 0.31%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                     | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                                                                           | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     32000 | PA      | $38420.37     | 0.04%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F4D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11041740 | PA      | $71874.00     | 0.07%             | 2028-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AMNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35662 | PA      | $34675.89     | 0.03%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XTCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281491 | PA      | $243966.30    | 0.24%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31405VJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18475 | PA      | $18877.38     | 0.02%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36200MQ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142125 | PA      | $147854.99    | 0.14%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    333726 | PA      | $286502.24    | 0.28%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2591485 | PA      | $113671.60    | 0.11%             | 2031-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XJXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108656 | PA      | $111443.19    | 0.11%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9654 | PA      | $10013.64     | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                           | Laboratory Corp of America Holdings                                                                                                    | CUSIP: 50540RAS1<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    106000 | PA      | $92624.70     | 0.09%             | 2045-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157010 | PA      | $156135.31    | 0.15%             | 2053-01-20      | Fixed         | 5.00%                 | 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        |     36193 | PA      | $35894.31     | 0.03%             | 2026-12-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1032000 | PA      | $1037966.25   | 1.00%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183732 | PA      | $178443.48    | 0.17%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137BNPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92155 | PA      | $88187.62     | 0.09%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155116 | PA      | $128850.10    | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31371LTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81230 | PA      | $83344.48     | 0.08%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2743000 | PA      | $2752214.78   | 2.65%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146582 | PA      | $123891.26    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48152 | PA      | $50593.96     | 0.05%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44233 | PA      | $41512.09     | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  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      | $-3951.46     | -0.00%            |  |  |  | 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      | $29190.53     | 0.03%             | 2031-01-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK31                                                                                                                        | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1471883 | PA      | $79668.77     | 0.08%             | 2054-02-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56620 | PA      | $54578.40     | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B23 Mortgage Trust                                                                                                      | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1951058 | PA      | $94402.74     | 0.09%             | 2054-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70263 | PA      | $70199.64     | 0.07%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                | Ready Capital Mortgage Financing 2021-FL7 LLC                                                                                          | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     48441 | PA      | $48424.56     | 0.05%             | 2036-11-25      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Power Finance Corp Ltd                            | Power Finance Corp Ltd                                                                                                                 | CUSIP: 000000000<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | CORP              | IN        |    370000 | PA      | $378200.68    | 0.36%             | 2028-08-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78425 | PA      | $65161.64     | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                               | PFS Financing Corp                                                                                                                     | CUSIP: 69335PEZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63000 | PA      | $63832.90     | 0.06%             | 2028-10-15      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: SM11862   IRS USD R F  4.19600 SM11862_FIX CCPOIS / Short: SM11862   IRS USD P V 12MSOFR SM11862_FLO CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2700000 | OU      | $7239.51      | 0.01%             |  |  |  | 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      | $43950.98     | 0.04%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27713 | PA      | $27252.29     | 0.03%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133B0SP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461183 | PA      | $383091.14    | 0.37%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11605   IRS USD R V 12MSOFR SM11605_FLO CCPOIS / Short: BM11605   IRS USD P F  4.75850 SM11605_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1600000 | OU      | $-9515.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                           | Walt Disney Co/The                                                                                                                     | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    612000 | PA      | $505315.28    | 0.49%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59373 | PA      | $57445.61     | 0.06%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51371 | PA      | $45492.39     | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31335B7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74332 | PA      | $76064.70     | 0.07%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64601 | PA      | $54589.47     | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13958 | PA      | $14215.66     | 0.01%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384JC85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    283990 | PA      | $290921.92    | 0.28%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140F5A45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228638 | PA      | $204567.31    | 0.20%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137861 | PA      | $123664.92    | 0.12%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66824 | PA      | $61086.15     | 0.06%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21355 | PA      | $21791.93     | 0.02%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70678 | PA      | $68524.96     | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87143 | PA      | $70370.36     | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43255 | PA      | $36070.30     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AQWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24194 | PA      | $23904.40     | 0.02%             | 2045-12-25      | Floating      | 4.76%                 | 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        |    882178 | PA      | $39290.19     | 0.04%             | 2030-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK35                                                                                                                        | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    980247 | PA      | $42360.80     | 0.04%             | 2064-06-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52818 | PA      | $44455.48     | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                                     | CUSIP: 57563RRZ4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |    415000 | PA      | $387550.45    | 0.37%             | 2037-07-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86389 | PA      | $73177.05     | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CJB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3216000 | PA      | $3217322.42   | 3.10%             | 2025-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A4ES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47426 | PA      | $48797.08     | 0.05%             | 2042-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QNE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32177 | PA      | $25721.24     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B26 Mortgage Trust                                                                                                      | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1546846 | PA      | $52966.49     | 0.05%             | 2054-06-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27075 | PA      | $22572.06     | 0.02%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39277 | PA      | $38166.45     | 0.04%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -5 | NC      | $-2729.06     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 31396HE70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26830 | PA      | $27677.97     | 0.03%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EKET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18090 | PA      | $18073.84     | 0.02%             | 2042-07-01      | Fixed         | 4.50%                 | 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      | $54746.58     | 0.05%             | 2033-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F020695<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    975000 | PA      | $774121.13    | 0.75%             | 2055-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481581 | PA      | $410689.28    | 0.40%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119696 | PA      | $102075.81    | 0.10%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38381NMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197955 | PA      | $200799.90    | 0.19%             | 2055-06-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76010 | PA      | $64128.00     | 0.06%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461862 | PA      | $422351.73    | 0.41%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                                                                          | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    137532 | PA      | $119403.69    | 0.12%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                                                                          | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114465 | PA      | $107781.84    | 0.10%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HB3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2363261 | PA      | $39311.19     | 0.04%             | 2033-10-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HJAS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190459 | PA      | $191925.56    | 0.18%             | 2055-02-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128LXDA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20452 | PA      | $21248.11     | 0.02%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M6WA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83804 | PA      | $88373.00     | 0.09%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167698 | PA      | $156477.86    | 0.15%             | 2045-02-01      | Fixed         | 3.50%                 | 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      | $42769.93     | 0.04%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9DT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67627 | PA      | $67649.35     | 0.07%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16460 | PA      | $13789.32     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94039 | PA      | $91332.07     | 0.09%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| City of Chicago IL                                | CHICAGO IL                                                                                                                             | CUSIP: 167486C80<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |    615000 | PA      | $654101.39    | 0.63%             | 2036-01-01      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2255479 | PA      | $51595.44     | 0.05%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B28 Mortgage Trust                                                                                                      | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2146288 | PA      | $111336.78    | 0.11%             | 2054-08-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    500000 | PA      | $492854.85    | 0.48%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40279 | PA      | $40075.21     | 0.04%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59202 | PA      | $57693.52     | 0.06%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32671 | PA      | $26088.66     | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1464000 | PA      | $1467774.37   | 1.41%             | 2027-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38376R6C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    205444 | PA      | $207662.47    | 0.20%             | 2067-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                          | BXMT 2021-FL4 Ltd                                                                                                                      | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    345000 | PA      | $341817.62    | 0.33%             | 2038-05-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13052 | PA      | $13472.69     | 0.01%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                          | Liberty Mutual Group Inc                                                                                                               | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     99000 | PA      | $73529.94     | 0.07%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47968 | PA      | $47925.12     | 0.05%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8018171 | PA      | $68576.21     | 0.07%             | 2027-07-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120731 | PA      | $108020.97    | 0.10%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384LCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258934 | PA      | $257841.88    | 0.25%             | 2075-02-20      | Floating      | 4.95%                 | 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        |    137266 | PA      | $136569.74    | 0.13%             | 2026-02-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292KZ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349679 | PA      | $356563.88    | 0.34%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12419 | PA      | $12425.94     | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292LLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87204 | PA      | $82176.70     | 0.08%             | 2042-05-01      | Fixed         | 3.50%                 | 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      | $43038.15     | 0.04%             | 2035-01-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60238 | PA      | $61377.72     | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | 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      | $35808.59     | 0.03%             | 2034-09-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113080 | PA      | $109913.22    | 0.11%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52865 | PA      | $51112.51     | 0.05%             | 2042-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188940 | PA      | $159353.63    | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                                                     | CUSIP: 3133Q3JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36839 | PA      | $37463.77     | 0.04%             | 2053-10-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XLXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277823 | PA      | $275315.00    | 0.27%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                             | Haleon US Capital LLC                                                                                                                  | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $235727.92    | 0.23%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24781 | PA      | $23121.29     | 0.02%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    165000 | PA      | $135680.27    | 0.13%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390961 | PA      | $385923.90    | 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: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489989 | PA      | $24069.04     | 0.02%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31412LBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4100 | PA      | $4303.19      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FEZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8694673 | PA      | $29754.04     | 0.03%             | 2028-04-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37453 | PA      | $31111.08     | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AFA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17519 | PA      | $17419.20     | 0.02%             | 2043-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51630 | PA      | $50434.03     | 0.05%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                                            | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     90700 | PA      | $90677.06     | 0.09%             | 2036-07-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789331 | PA      | $39152.16     | 0.04%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EREH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58069 | PA      | $56547.87     | 0.05%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117792 | PA      | $122003.93    | 0.12%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314079 | PA      | $278266.88    | 0.27%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156090 | PA      | $147429.02    | 0.14%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11730   IRS USD R V 12MSOFR SM11730_FLO CCPOIS / Short: BM11730   IRS USD P F  4.08500 SM11730_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2300000 | OU      | $-71752.55    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31412V4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12779 | PA      | $13276.19     | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                         | Chesapeake Funding II LLC                                                                                                              | CUSIP: 165183DA9<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    164203 | PA      | $164954.99    | 0.16%             | 2035-10-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418C5U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64978 | PA      | $63210.81     | 0.06%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64542 | PA      | $53852.44     | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66072 | PA      | $67858.81     | 0.07%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                  | FirstEnergy Corp                                                                                                                       | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    694000 | PA      | $688933.60    | 0.66%             | 2027-07-15      | Fixed         | 3.90%                 | 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        |    251428 | PA      | $14595.49     | 0.01%             | 2030-01-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L7                                                                                                 | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3313503 | PA      | $138764.20    | 0.13%             | 2054-10-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111973 | PA      | $18518.29     | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109879 | PA      | $107033.03    | 0.10%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51905 | PA      | $48399.78     | 0.05%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94917 | PA      | $85455.58     | 0.08%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 31395TR22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4614 | PA      | $4588.15      | 0.00%             | 2035-04-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14336 | PA      | $13766.92     | 0.01%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59154 | PA      | $60246.23     | 0.06%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       188 | NC      | $46430.74     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138232 | PA      | $131601.30    | 0.13%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45068 | PA      | $46766.08     | 0.05%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A5C38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4947 | PA      | $183.98       | 0.00%             | 2031-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3068000 | PA      | $3097481.58   | 2.99%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66737 | PA      | $66758.50     | 0.06%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QPKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377561 | PA      | $327815.04    | 0.32%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1277474 | PA      | $95467.29     | 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: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2619786 | PA      | $74933.74     | 0.07%             | 2031-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68858 | PA      | $57711.51     | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136B3DM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61673 | PA      | $60489.98     | 0.06%             | 2030-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1368000 | PA      | $1414811.25   | 1.36%             | 2035-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                   | 3650R 2021-PF1 Commercial Mortgage Trust                                                                                               | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1150019 | PA      | $43378.71     | 0.04%             | 2054-11-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QFLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42141 | PA      | $35014.91     | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio          | MFS Institutional Money Market Portfolio                                                                                               | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | EC               | RF                | US        |   6031147 | NS      | $6031750.06   | 5.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38377VGJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15996 | PA      | $15930.81     | 0.02%             | 2039-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65314 | PA      | $4612.89      | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34208 | PA      | $31265.55     | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | 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      | $23781.43     | 0.02%             | 2031-05-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810PT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    336000 | PA      | $349610.62    | 0.34%             | 2037-02-15      | Fixed         | 4.75%                 | No            |                  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      | $466773.01    | 0.45%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41010 | PA      | $39931.27     | 0.04%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138797 | PA      | $122962.93    | 0.12%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds            | Uruguay Government International Bonds                                                                                                 | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     96000 | PA      | $101682.24    | 0.10%             | 2034-10-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121990 | PA      | $120818.47    | 0.12%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12565 | PA      | $12970.32     | 0.01%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121023 | PA      | $99175.87     | 0.10%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31409WVY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9828 | PA      | $10331.86     | 0.01%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128LDWL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11977 | PA      | $12431.77     | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89032 | PA      | $71628.83     | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F062697<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $25906.76     | 0.02%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                        | LAD Auto Receivables Trust 2022-1                                                                                                      | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3471 | PA      | $3472.53      | 0.00%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                                                      | CUSIP: 442851AG6<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |     42000 | PA      | $41899.53     | 0.04%             | 2025-10-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384KSF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60902 | PA      | $61246.95     | 0.06%             | 2064-03-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38375AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17500 | PA      | $2738.27      | 0.00%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136ATTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76298 | PA      | $8646.60      | 0.01%             | 2046-09-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140N5MY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260099 | PA      | $262808.26    | 0.25%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18842 | PA      | $15731.19     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | 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        |    300000 | PA      | $297124.02    | 0.29%             | 2026-12-25      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31371LQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103519 | PA      | $106993.66    | 0.10%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147060 | PA      | $128885.91    | 0.12%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342555 | PA      | $280716.33    | 0.27%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36177UCZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13012 | PA      | $12470.77     | 0.01%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    567700 | PA      | $554385.66    | 0.53%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14914 | PA      | $14730.57     | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31411JUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4412 | PA      | $4619.22      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973113 | PA      | $35233.60     | 0.03%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29861 | PA      | $27959.59     | 0.03%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-4                                                                                                      | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |     84352 | PA      | $85331.12     | 0.08%             | 2069-06-25      | Variable      | 6.22%                 | Yes           |                  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        |   6155211 | PA      | $42215.52     | 0.04%             | 2027-08-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97713 | PA      | $92784.56     | 0.09%             | 2042-01-25      | Fixed         | 2.50%                 | 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        |   2159398 | PA      | $31993.86     | 0.03%             | 2029-05-25      | Variable      | 0.60%                 | 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        |     40222 | PA      | $40262.49     | 0.04%             | 2031-03-17      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231425 | PA      | $217174.68    | 0.21%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2024-FL13 LLC                                                                                                                      | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $100234.30    | 0.10%             | 2039-09-19      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L6                                                                                                 | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1061739 | PA      | $42701.64     | 0.04%             | 2054-06-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144875 | PA      | $130115.49    | 0.13%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242428 | PA      | $206741.11    | 0.20%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                                                                                                 | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    721600 | PA      | $33307.18     | 0.03%             | 2054-05-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61697 | PA      | $51900.35     | 0.05%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149866 | PA      | $126665.88    | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349522 | PA      | $328106.94    | 0.32%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        40 | NC      | $17665.32     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3828 | PA      | $3905.42      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | 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      | $15532.62     | 0.01%             | 2031-02-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15672 | PA      | $16263.47     | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1109000 | PA      | $1106140.86   | 1.07%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HB7A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167778 | PA      | $167634.55    | 0.16%             | 2053-12-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23526 | PA      | $22873.26     | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71201 | PA      | $63813.80     | 0.06%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29846 | PA      | $27799.13     | 0.03%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306980 | PA      | $266529.47    | 0.26%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                    | LoanCore 2021-CRE5 Issuer Ltd                                                                                                          | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    283500 | PA      | $283490.64    | 0.27%             | 2036-07-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6071000 | PA      | $5943176.98   | 5.73%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417N4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18701 | PA      | $19046.32     | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384AZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87411 | PA      | $12118.78     | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | 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      | $43574.96     | 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: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1389954 | PA      | $103416.33    | 0.10%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41478 | PA      | $42323.95     | 0.04%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379ETW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54996 | PA      | $2752.42      | 0.00%             | 2029-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38376RT22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74381 | PA      | $74893.64     | 0.07%             | 2067-02-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11804   IRS USD R V 12MUSCPI SM11804_FLO CCPINFLATIONZERO / Short: BM11804   IRS USD P F  2.53900 SM11804_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3400000 | OU      | $26676.33     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31962 | PA      | $28719.12     | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488017 | PA      | $498653.01    | 0.48%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BF2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355554 | PA      | $352267.71    | 0.34%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2018-H4                                                                                                 | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1454604 | PA      | $32151.70     | 0.03%             | 2051-12-15      | Variable      | 0.97%                 | 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        |     67509 | PA      | $63588.24     | 0.06%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27710 | PA      | $26741.51     | 0.03%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644718 | PA      | $19134.01     | 0.02%             | 2031-12-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23929 | PA      | $22952.48     | 0.02%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1                                                                          | CUSIP: 35563P7F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170091 | PA      | $156006.12    | 0.15%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK GOSPODARSTWA KRAJOW                          | Bank Gospodarstwa Krajowego                                                                                                            | CUSIP: 06237MAB9<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |    264000 | PA      | $279782.39    | 0.27%             | 2028-10-31      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                                                  | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    400000 | PA      | $402956.00    | 0.39%             | 2032-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314905 | PA      | $16303.80     | 0.02%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                                            | CUSIP: 83162CVH3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     42612 | PA      | $40012.17     | 0.04%             | 2033-02-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F4X98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13262840 | PA      | $43914.59     | 0.04%             | 2028-02-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M4T37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18824 | PA      | $19709.00     | 0.02%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140AD6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405083 | PA      | $414107.39    | 0.40%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98685 | PA      | $83013.63     | 0.08%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810FG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    572000 | PA      | $603862.18    | 0.58%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DNV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108214 | PA      | $86598.78     | 0.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140ATKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216850 | PA      | $221812.81    | 0.21%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    453700 | PA      | $361843.47    | 0.35%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HLVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315095 | PA      | $317799.68    | 0.31%             | 2055-06-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds        | Philippines Government International Bonds                                                                                             | CUSIP: 718286CX3<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    200000 | PA      | $199868.26    | 0.19%             | 2048-01-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE6 Issuer, Ltd.                   | LoanCore 2021-CRE6 Issuer Ltd                                                                                                          | CUSIP: 53948HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500038.50    | 0.48%             | 2038-11-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WEEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22802 | PA      | $21266.79     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F022493<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $117272.09    | 0.11%             | 2040-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3899181 | PA      | $75673.75     | 0.07%             | 2031-11-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33451 | PA      | $32598.29     | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6988 | PA      | $7029.86      | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548749 | PA      | $456712.40    | 0.44%             | 2052-04-01      | Fixed         | 2.50%                 | 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      | $7390.72      | 0.01%             | 2027-03-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38378HQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32852 | PA      | $4496.91      | 0.00%             | 2042-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29203 | PA      | $26723.06     | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                                             | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    167000 | PA      | $163675.89    | 0.16%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33990 | PA      | $33021.76     | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159564 | PA      | $139512.46    | 0.13%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112467 | PA      | $115631.27    | 0.11%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDOFOOD CBP SUKSES MAKM                          | Indofood CBP Sukses Makmur Tbk PT                                                                                                      | CUSIP: 000000000<br>LEI: 254900YKZW9GRKZZN285 | Long             | DBT              | CORP              | ID        |    416000 | PA      | $357464.19    | 0.34%             | 2052-04-27      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    466683 | PA      | $472613.16    | 0.46%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32279 | PA      | $30039.17     | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | 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      | $186503.68    | 0.18%             | 2033-01-20      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    217000 | PA      | $194147.19    | 0.19%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1697100 | PA      | $1297883.73   | 1.25%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70329 | PA      | $68232.05     | 0.07%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38377VG83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106255 | PA      | $9563.74      | 0.01%             | 2041-05-20      | Floating      | 0.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $695218.75    | 0.67%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150754 | PA      | $126717.69    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17568 | PA      | $14692.09     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138A4XB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80926 | PA      | $82420.42     | 0.08%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    702504 | PA      | $681966.34    | 0.66%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tyson Foods Inc                                   | Tyson Foods Inc                                                                                                                        | CUSIP: 902494AY9<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     38000 | PA      | $34733.86     | 0.03%             | 2044-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                                                                                   | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    200000 | PA      | $177540.00    | 0.17%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                                                                                 | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     16000 | PA      | $15988.07     | 0.02%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27407 | PA      | $25533.73     | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140647 | PA      | $123160.53    | 0.12%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31407FJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33410 | PA      | $34563.37     | 0.03%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT DEC25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -32 | NC      | $-10853.70    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75871 | PA      | $70293.52     | 0.07%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A5AW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48177 | PA      | $46149.11     | 0.04%             | 2041-04-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B29 Mortgage Trust                                                                                                      | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1863886 | PA      | $69545.51     | 0.07%             | 2054-09-15      | Variable      | 1.13%                 | 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        |   1222182 | PA      | $40806.45     | 0.04%             | 2055-12-15      | Variable      | 0.64%                 | 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      | $48940.52     | 0.05%             | 2029-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43039 | PA      | $42949.23     | 0.04%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66774 | PA      | $60722.83     | 0.06%             | 2051-08-01      | 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      | $210183.20    | 0.20%             | 2034-04-17      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4503100 | PA      | $4471085.75   | 4.31%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    641005 | PA      | $510364.74    | 0.49%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146528 | PA      | $123584.02    | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK32                                                                                                                        | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987670 | PA      | $29804.52     | 0.03%             | 2054-04-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1929000 | PA      | $1838578.13   | 1.77%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| DUA CAPITAL LTD                                   | Dua Capital Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 213800ILVLALFTITCB43 | Long             | DBT              | CORP              | MY        |    400000 | PA      | $366948.25    | 0.35%             | 2031-05-11      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    678600 | PA      | $661926.59    | 0.64%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AWFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123573 | PA      | $117236.39    | 0.11%             | 2039-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40106 | PA      | $38698.63     | 0.04%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2496029 | PA      | $95273.42     | 0.09%             | 2029-08-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67536 | PA      | $65822.36     | 0.06%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41113 | PA      | $37525.51     | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H062693<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $205777.15    | 0.20%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    717236 | PA      | $587759.66    | 0.57%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                            | Export-Import Bank of India                                                                                                            | CUSIP: 30216JAF2<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    317000 | PA      | $284421.66    | 0.27%             | 2031-01-13      | Fixed         | 2.25%                 | Yes           |                  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      | $61126.11     | 0.06%             | 2031-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10818 | PA      | $10741.95     | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 31397BYP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57558 | PA      | $60655.67     | 0.06%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                           | Imperial Brands Finance PLC                                                                                                            | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $206511.05    | 0.20%             | 2027-07-27      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3898081 | PA      | $104137.62    | 0.10%             | 2031-12-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    534000 | PA      | $556715.86    | 0.54%             | 2031-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221743 | PA      | $206705.55    | 0.20%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54757 | PA      | $55793.94     | 0.05%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    750000 | PA      | $678177.80    | 0.65%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                                            | CUSIP: 55282XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    279500 | PA      | $279491.06    | 0.27%             | 2036-07-15      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XJJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129973 | PA      | $122264.92    | 0.12%             | 2037-07-01      | Fixed         | 2.50%                 | 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        |    760184 | PA      | $17518.83     | 0.02%             | 2030-01-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31297V6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12445 | PA      | $12889.66     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38378FJG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151171 | PA      | $22661.89     | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                                            | CUSIP: 83162CVU4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     52477 | PA      | $51307.70     | 0.05%             | 2033-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31407CRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6273 | PA      | $6482.53      | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B27 Mortgage Trust                                                                                                      | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1413528 | PA      | $72250.53     | 0.07%             | 2054-07-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153185 | PA      | $143620.91    | 0.14%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517230 | PA      | $412631.75    | 0.40%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    357000 | PA      | $362352.85    | 0.35%             | 2027-06-15      | Fixed         | 5.45%                 | 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      | $47243.10     | 0.05%             | 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: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1225285 | PA      | $43287.00     | 0.04%             | 2029-07-25      | Variable      | 1.21%                 | 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        |    145677 | PA      | $146454.81    | 0.14%             | 2054-12-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64685 | PA      | $61023.32     | 0.06%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137B0CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68539 | PA      | $67075.28     | 0.06%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSERVATION FUND                                 | Conservation Fund A Nonprofit Corp/The                                                                                                 | CUSIP: 20848FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    159000 | PA      | $149956.88    | 0.14%             | 2029-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33187 | PA      | $33156.93     | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38375GBQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000 | PA      | $18208.90     | 0.02%             | 2042-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-29

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer