# EDGAR Filing Document

**Accession Number:** 0000915802
**File Stem:** 0001049169-26-000891
**Filing Date:** 2026-3
**Character Count:** 628166
**Document Hash:** 187c8266bf47b4c792a248ff2784bdc7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001049169-26-000891.hdr.sgml**: 20260327

**ACCESSION NUMBER**: 0001049169-26-000891

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260327

**DATE AS OF CHANGE**: 20260327

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FINANCIAL INVESTORS TRUST
- **CENTRAL INDEX KEY:** 0000915802

**ORGANIZATION NAME:**
- **EIN:** 841255767
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08194
- **FILM NUMBER:** 26806826

**BUSINESS ADDRESS:**
- **STREET 1:** 1290 BROADWAY, SUITE 1000
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80201-0328
- **BUSINESS PHONE:** 3036232577

**MAIL ADDRESS:**
- **STREET 1:** 1290 BROADWAY, SUITE 1000
- **CITY:** DENVER
- **STATE:** CO
- **ZIP:** 80201-0328

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

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

## Series and Classes Contracts Data

### Kotak India Equity Fund (Series ID: S000030224)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000093015 | Investor Shares | INDAX           |
| C000093016 | Class C         | INFCX           |
| C000093017 | Class I         | INDIX           |
| C000200962 | Class A         | INAAX           |
| C000215313 | Class II        | INDSX           |

## Nport-Ex

**Financial Investors Trust**

**Schedules of Investments**

**(Unaudited)**

**January 31, 2026**

ALPS\|CoreCommodity Management CompleteCommodities® Strategy Fund

**CONSOLIDATED STATEMENT OF INVESTMENTS**

***January 31, 2026 (Unaudited)***

---

| | | |
|:---|:---|:---|
| | **Shares** | **Value<br> (Note 2)** |
| **COMMON STOCKS (0.00%)<sup>(a)</sup>** | **COMMON STOCKS (0.00%)<sup>(a)</sup>** | **COMMON STOCKS (0.00%)<sup>(a)</sup>** |
| ***Great Britain (0.00%)<sup>(a)</sup>*** |  |  |
| &nbsp;&nbsp;&nbsp;Evraz PLC<sup>(b)(c)(d)(e)</sup> | 91946 | $1258 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $708,596)** |  | 1258 |
| **EXCHANGE TRADED FUNDS (38.79%)** |  |  |
| ***United States (38.79%)*** |  |  |
| &nbsp;&nbsp;&nbsp;ALPS \| CoreCommodity Natural Resources ETF<sup>(f)</sup> | 9295125 | 347940696 |
| **TOTAL EXCHANGE TRADED FUNDS** |  |  |
| **(Cost $186,155,228)** |  | 347940696 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **GOVERNMENT BONDS (50.32%)** | **GOVERNMENT BONDS (50.32%)** | **GOVERNMENT BONDS (50.32%)** |
| ***U.S. Treasury Bonds (50.32%)*** | ***U.S. Treasury Bonds (50.32%)*** | ***U.S. Treasury Bonds (50.32%)*** |
| &nbsp;&nbsp;&nbsp;United States Treasury Bill<sup>(g)</sup> |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.735%, 3/5/26<sup>(h)</sup> | $74700000 | $74468511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.730%, 3/24/26<sup>(h)</sup> | 48300000 | 48056141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.634%, 4/16/26<sup>(h)</sup> | 2700000 | 2680398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.480%, 6/25/26<sup>(h)</sup> | 50050000 | 49347340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.490%, 7/16/26 | 37100000 | 36504236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.525%, 7/30/26 | 20000000 | 19652035 |
| &nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Inflation Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.125%, 4/15/26 | 112700000 | 139210365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.125%, 7/15/26 | 60100000 | 81410708 |
|  |  | 451329734 |
| **TOTAL GOVERNMENT BONDS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;**(Cost $449,816,695)** |  | 451329734 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT TERM INVESTMENTS (7.15%)** |  |  |  |
| ***Money Market Fund (7.15%)*** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;BlackRock Liquidity Funds Treasury Trust Fund Portfolio | 3.558% | 64131726 | 64131726 |
| **TOTAL SHORT TERM INVESTMENTS** |  |  |  |
| **(Cost $64,131,726)** |  |  | 64131726 |

---

---

| | |
|:---|:---|
| | **Value**<br>**(Note 2)** |
| **TOTAL INVESTMENTS (96.26%)** |  |
| **(Cost $700,812,245)** | $863403414 |
| **Other Assets In Excess Of Liabilities (3.74%)** | 33569569 |
| **NET ASSETS - 100.00%** | $896972983 |

---

*<sup>(a)</sup>* *Less than 0.005%.*

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

*<sup>(c)</sup>* *Security deemed to be illiquid under the procedures utilized by the Valuation Designee. As of January 31, 2026, the fair value of illiquid securities in the aggregate was $1,258, representing less than 0.005% of the Fund's net assets.*

*<sup>(d)</sup>* *Fair valued security; valued by the Valuation Designee in accordance with the procedures utilized by the valuation designee. As of January 31, 2026, these securities had a total value of $1,258 or less than 0.005% of the Fund's net assets.*

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

*<sup>(f)</sup>* *Affiliated Company. See Note 4 in Notes to Quarterly Statement of Investments. Financials for the affiliated company can be found at www.sec.gov.*

*<sup>(g)</sup>* *Rate shown represents the bond equivalent yield to maturity at date of purchase.*

*<sup>(h)</sup>* *Security, or portion of security, is being held as collateral for total return swap contracts and futures contracts aggregating a total market value of $47,181,081.*

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

**FUTURES CONTRACTS**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Position** | **Contracts** | **Expiration Date** | **Notional Value (Note 2)** | **Unrealized Appreciation** |
| Brent Crude Future | Morgan Stanley | Long | 66 | 05/29/26 | $4460280 | $479463 |
| Cocoa Future | Morgan Stanley | Short | (14) | 07/16/26 | (598220) | 206039 |
| Corn Future | Morgan Stanley | Long | 21 | 07/14/26 | 464100 | 6155 |
| Cotton No.2 Future | Morgan Stanley | Short | (47) | 03/09/26 | (1484495) | 22107 |
| Cotton No.2 Future | Morgan Stanley | Short | (17) | 07/09/26 | (565675) | 7689 |
| Feeder Cattle Future | Morgan Stanley | Long | 3 | 08/27/26 | 531075 | 2600 |
| Frzn Concentrated OJ Future | Morgan Stanley | Long | 22 | 03/11/26 | 696630 | 41834 |
| Gasoline RBOB Future | Morgan Stanley | Long | 49 | 06/30/26 | 4418732 | 330252 |
| Gold 100 Oz Future | Morgan Stanley | Long | 19 | 06/26/26 | 9083330 | 905233 |
| Hard Red Winter Wheat Future | Morgan Stanley | Long | 58 | 07/14/26 | 1645750 | 43643 |
| Lean Hogs Future | Morgan Stanley | Long | 37 | 06/12/26 | 1597290 | 68308 |
| LME Aluminum Future | Morgan Stanley | Long | 151 | 03/16/26 | 11845610 | 1885512 |
| LME Aluminum Future | Morgan Stanley | Long | 161 | 05/18/26 | 12662851 | 1000707 |
| LME Aluminum Future | Morgan Stanley | Short | (27) | 07/13/26 | (2122909) | 1560 |
| LME Aluminum Future | Morgan Stanley | Long | 79 | 07/13/26 | 6211474 | 72924 |
| LME Copper Future | Morgan Stanley | Short | (1) | 03/16/26 | (328009) | 1513 |
| LME Copper Future | Morgan Stanley | Long | 5 | 07/13/26 | 1651425 | 29631 |
| LME Lead Future | Morgan Stanley | Short | (20) | 03/16/26 | (995560) | 24334 |
| LME Lead Future | Morgan Stanley | Short | (23) | 05/18/26 | (1162322) | 3914 |
| LME Lead Future | Morgan Stanley | Short | (2) | 07/13/26 | (102259) | 2485 |
| LME Nickel Future | Morgan Stanley | Long | 32 | 03/16/26 | 3427375 | 458688 |
| LME Nickel Future | Morgan Stanley | Long | 37 | 05/18/26 | 3994357 | 529775 |
| LME Nickel Future | Morgan Stanley | Long | 28 | 07/13/26 | 3041741 | 35876 |
| LME Zinc Future | Morgan Stanley | Long | 95 | 03/16/26 | 8103263 | 1095157 |
| LME Zinc Future | Morgan Stanley | Long | 52 | 05/18/26 | 4422951 | 445967 |
| LME Zinc Future | Morgan Stanley | Long | 40 | 07/13/26 | 3383770 | 186469 |
| Low Su Gasoil G Future | Morgan Stanley | Long | 71 | 07/10/26 | 4787175 | 458022 |
| Natural Gas Future | Morgan Stanley | Long | 165 | 02/25/26 | 7184100 | 617589 |
| Natural Gas Future | Morgan Stanley | Long | 164 | 06/26/26 | 7106120 | 1609693 |
| NY Harbor ULSD | Morgan Stanley | Long | 46 | 06/30/26 | 4431235 | 363922 |
| Palladium Future | Morgan Stanley | Short | (4) | 03/27/26 | (681240) | 89831 |
| Robusta Coffee Future | Morgan Stanley | Long | 14 | 07/27/26 | 551180 | 14465 |
| Soybean Meal Future | Morgan Stanley | Short | (18) | 03/13/26 | (528480) | 4271 |
| Soybean Oil Future | Morgan Stanley | Long | 81 | 07/14/26 | 2643354 | 169379 |
| Sugar #11 (World) Future | Morgan Stanley | Short | (8) | 06/30/26 | (124096) | 1581 |
| Wheat Future | Morgan Stanley | Long | 57 | 07/14/26 | 1583888 | 49985 |
| WTI Crude Future | Morgan Stanley | Long | 59 | 06/22/26 | 3749450 | 247673 |
|  |  |  |  |  | $104985241 | $11514246 |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Counterparty** | **Position** | **Contracts** | **Expiration Date** | **Notional Value (Note 2)** | **Unrealized Depreciation** |
| Brent Crude Future | Morgan Stanley | Short | (16) | 03/31/26 | $(1097760) | $(48562) |
| Cocoa Future | Morgan Stanley | Long | 9 | 03/16/26 | 374850 | (25671) |
| Coffee 'C' Future | Morgan Stanley | Long | 5 | 03/19/26 | 622969 | (50507) |
| Coffee 'C' Future | Morgan Stanley | Long | 2 | 07/21/26 | 231750 | (17368) |
| Copper Future | Morgan Stanley | Short | (6) | 03/27/26 | (888600) | (10226) |
| Copper Future | Morgan Stanley | Long | 10 | 07/29/26 | 1509000 | (28859) |
| Corn Future | Morgan Stanley | Short | (1) | 03/13/26 | (21413) | (3) |
| Feeder Cattle Future | Morgan Stanley | Long | 4 | 03/26/26 | 720550 | (3811) |
| Frzn Concentrated OJ Future | Morgan Stanley | Short | (14) | 07/13/26 | (443520) | (4376) |
| Gasoline RBOB Future | Morgan Stanley | Short | (6) | 02/27/26 | (489434) | (8013) |
| Gasoline RBOB Future | Morgan Stanley | Short | (25) | 05/29/26 | (2275665) | (141256) |
| Gold 100 Oz Future | Morgan Stanley | Short | (1) | 04/28/26 | (474510) | (12) |
| Hard Red Winter Wheat Future | Morgan Stanley | Short | (55) | 03/13/26 | (1498063) | (55037) |
| Lean Hogs Future | Morgan Stanley | Long | 11 | 04/15/26 | 418660 | (5420) |
| Live Cattle Future | Morgan Stanley | Long | 2 | 04/30/26 | 189440 | (425) |
| LME Aluminum Future | Morgan Stanley | Short | (152) | 03/16/26 | (11924058) | (993012) |
| LME Aluminum Future | Morgan Stanley | Short | (161) | 05/18/26 | (12662851) | (495415) |
| LME Aluminum Future | Morgan Stanley | Short | (32) | 06/15/26 | (2518840) | (148551) |
| LME Lead Future | Morgan Stanley | Long | 19 | 03/16/26 | 945782 | (14424) |
| LME Lead Future | Morgan Stanley | Long | 23 | 05/18/26 | 1162322 | (22900) |
| LME Lead Future | Morgan Stanley | Long | 39 | 07/13/26 | 1994051 | (43656) |
| LME Nickel Future | Morgan Stanley | Short | (41) | 03/16/26 | (4391324) | (532678) |
| LME Nickel Future | Morgan Stanley | Short | (37) | 05/18/26 | (3994357) | (350516) |
| LME Nickel Future | Morgan Stanley | Short | (4) | 06/15/26 | (433286) | (63856) |
| LME Nickel Future | Morgan Stanley | Short | (1) | 07/13/26 | (108634) | (4) |
| LME Zinc Future | Morgan Stanley | Short | (99) | 03/16/26 | (8444453) | (1004005) |
| LME Zinc Future | Morgan Stanley | Short | (52) | 05/18/26 | (4422951) | (327401) |
| LME Zinc Future | Morgan Stanley | Short | (3) | 07/13/26 | (253783) | (8811) |
| Low Su Gasoil G Future | Morgan Stanley | Short | (9) | 03/12/26 | (656550) | (55837) |
| Natural Gas Future | Morgan Stanley | Short | (83) | 05/27/26 | (3447820) | (910909) |
| NY Harbor ULSD | Morgan Stanley | Short | (11) | 02/27/26 | (1170246) | (41330) |
| NY Harbor ULSD | Morgan Stanley | Short | (24) | 05/29/26 | (2332613) | (215315) |
| Palladium Future | Morgan Stanley | Long | 4 | 06/26/26 | 691960 | (76777) |
| Platinum Future | Morgan Stanley | Long | 1 | 04/28/26 | 106080 | (20787) |
| Platinum Future | Morgan Stanley | Long | 7 | 07/29/26 | 749420 | (66209) |
| Silver Future | Morgan Stanley | Long | 2 | 03/27/26 | 785310 | (128249) |
| Silver Future | Morgan Stanley | Long | 11 | 07/29/26 | 4387350 | (94350) |
| Soybean Future | Morgan Stanley | Short | (15) | 03/13/26 | (798188) | (12029) |
| Soybean Future | Morgan Stanley | Short | (10) | 07/14/26 | (545250) | (622) |
| Soybean Meal Future | Morgan Stanley | Long | 80 | 07/14/26 | 2420800 | (35800) |
| Soybean Oil Future | Morgan Stanley | Long | 3 | 03/13/26 | 96318 | (506) |
| Sugar #11 (World) Future | Morgan Stanley | Long | 5 | 02/27/26 | 79912 | (3149) |
| Wheat Future | Morgan Stanley | Short | (16) | 03/13/26 | (430400) | (17231) |
| White Sugar Future | Morgan Stanley | Long | 24 | 07/16/26 | 485760 | (18535) |
| WTI Crude Future | Morgan Stanley | Short | (12) | 02/20/26 | (782520) | (33635) |
| WTI Crude Future | Morgan Stanley | Short | (165) | 05/19/26 | (10548450) | (831353) |
|  |  |  |  |  | $(59083255) | $(6967398) |

---

**TOTAL RETURN SWAP CONTRACTS<sup>(a)</sup>**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Swap**<br>**Counterparty** | <br>**Reference Obligation** | **Notional**<br>**Amount** | **Floating Rate/Fixed Amount**<br>**Paid by Fund\*** | **Termination**<br>**Date** |<br>**Value** | **Unrealized**<br>**Appreciation** |
| UBS Group AG | CRB 3m Fwd TR Index<sup>\*\*</sup> | $37674586 | USB3MTA + 25 bps | 11/30/2026 | $37674597 | $11 |
| Citigroup | CRB 3m Fwd TR Index<sup>\*\*</sup> | 10280133 | USB3MTA + 24 bps | 10/30/2026 | 10280142 | 9 |
| RBC | BCOM 3m Fwd TR Index<sup>\*\*\*</sup> | 13838954 | USB3MTA + 12 bps | 10/30/2026 | 13838962 | 8 |
| Societe Generale | CRB 3m Fwd TR Index<sup>\*\*</sup> | 21394721 | USB3MTA + 24 bps | 10/30/2026 | 21394729 | 8 |
| Bank of America - Merrill Lynch | BCOM 3m Fwd TR Index<sup>\*\*\*</sup> | 18189384 | USB3MTA + 12 bps | 10/30/2026 | 18189390 | 6 |
| RBC | CRB 3m Fwd TR Index<sup>\*\*</sup> | 11553150 | USB3MTA + 29 bps | 10/30/2026 | 11553154 | 4 |
| Goldman Sachs | BCOM 3m Fwd TR Index<sup>\*\*\*</sup> | 35082297 | USB3MTA + 11 bps | 10/30/2026 | 35082299 | 2 |
| Bank of America - Merrill Lynch | CRB 3m Fwd TR Index<sup>\*\*</sup> | 15571243 | USB3MTA + 25 bps | 6/30/2026 | 15571244 | 1 |
| Citigroup | BCOM TR Index<sup>\*\*\*</sup> | 137123961 | USB3MTA + 10 bps | 10/30/2026 | 137123962 | 1 |
| Bank of America - Merrill Lynch | BCOM TR Index<sup>\*\*\*</sup> | 57566516 | USB3MTA + 12 bps | 10/30/2026 | 57566517 | 1 |
| RBC | BCOM TR Index<sup>\*\*\*</sup> | 86892857 | USB3MTA + 12 bps | 10/30/2026 | 86892857 |  |
| Societe Generale | BCOM 3m Fwd TR Index<sup>\*\*\*</sup> | 35902059 | USB3MTA + 12 bps | 10/30/2026 | 35902059 |  |
| Citigroup | BCOM 3m Fwd TR Index<sup>\*\*\*</sup> | 17935093 | USB3MTA + 11 bps | 10/30/2026 | 17935093 | – |
|  |  | $499004954 |  |  | $499005005 | $51 |

---

---

| | |
|:---|:---|
| *<sup>(a)</sup>* | *For long positions in the total return swap, the Fund receives payments based on any positive return of the Reference Obligation less the rate paid by the Fund. The Fund makes payments on any negative return of such Reference Obligations plus the rate paid by the Fund. For the short positions in the total return swap, the Fund makes payments based on any positive return of the Reference Obligation less the rate paid by the Fund. The Fund receives payments on any negative return of such Reference Obligations plus the rate paid by the Fund.* |
| *<sup>\*</sup>* | *United States Auction Results 3 Month Treasury Bill High Discount. Total return swap resets monthly.* |
| *<sup>\*\*</sup>* | *CRB - Commodity Research Bureau* |
| *<sup>\*\*\*</sup>* | *BCOM – Bloomberg Commodity Index* |

---

 

*See Notes to Quarterly Statement of Investments.*

Kotak India Equity Fund

**STATEMENT OF INVESTMENTS**

***January 31, 2026 (Unaudited)***

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **COMMON STOCKS (99.45%)** |  |  |
| ***Communication Services (8.37%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Diversified Telecommunication Services (2.84%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Indus Towers, Ltd.<sup>(a)</sup> | 2195744 | $10651210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Interactive Media & Services (1.37%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Info Edge India, Ltd. | 375505 | 5110829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Wireless Telecommunication Services (4.16%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bharti Airtel, Ltd. | 663390 | 14227705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bharti Airtel, Ltd. partly paid | 78914 | 1350802 |
|  |  | 15578507 |
| **TOTAL COMMUNICATION SERVICES** |  | 31340546 |
| ***Consumer Discretionary (14.51%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Automobile Components (4.10%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apollo Tyres, Ltd. | 827078 | 4429656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;UNO Minda, Ltd. | 850733 | 10943113 |
|  |  | 15372769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Automobiles (4.76%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Eicher Motors, Ltd. | 71831 | 5566984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mahindra & Mahindra, Ltd. | 328109 | 12251502 |
|  |  | 17818486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Broadline Retail (1.51%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Vishal Mega Mart, Ltd.<sup>(a)</sup> | 4132502 | 5658616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Hotels, Restaurants & Leisure (4.14%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Eternal, Ltd.<sup>(a)</sup> | 3958571 | 11799560 |
| &nbsp;&nbsp;&nbsp;&nbsp;Swiggy, Ltd.<sup>(a)</sup> | 1096550 | 3697163 |
|  |  | 15496723 |
| **TOTAL CONSUMER DISCRETIONARY** |  | 54346594 |
| ***Consumer Staples (4.38%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Food Products (1.85%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Britannia Industries, Ltd. | 109035 | 6946592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Personal Care Products (2.53%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Godrej Consumer Products, Ltd. | 753979 | 9467176 |
| **TOTAL CONSUMER STAPLES** |  | 16413768 |
| ***Energy (6.76%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Oil, Gas & Consumable Fuels (6.76%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Reliance Industries, Ltd. | 1665346 | 25304825 |
| **TOTAL ENERGY** |  | 25304825 |
| ***Financials (30.62%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Banks (15.10%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HDFC Bank, Ltd., ADR | 102000 | 3302760 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Banks (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HDFC Bank, Ltd. | 2561674 | $25901791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICICI Bank, Ltd., Sponsored ADR | 835000 | 24457150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICICI Bank, Ltd. | 195598 | 2883629 |
|  |  | 56545330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Capital Markets (2.47%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICICI Prudential Asset Management Co., Ltd. | 285513 | 9226427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consumer Finance (9.95%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bajaj Finance, Ltd. | 1293398 | 13085778 |
| &nbsp;&nbsp;&nbsp;&nbsp;Poonawalla Fincorp, Ltd.<sup>(a)</sup> | 1799949 | 7822527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shriram Finance, Ltd. | 1473226 | 16353621 |
|  |  | 37261926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Insurance (3.10%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Max Financial Services, Ltd.<sup>(a)</sup> | 662405 | 11619587 |
| **TOTAL FINANCIALS** |  | 114653270 |
| ***Health Care (5.17%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Health Care Providers & Services (2.96%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Max Healthcare Institute, Ltd. | 1062274 | 11061615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Pharmaceuticals (2.21%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cipla, Ltd. | 327547 | 4720597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Piramal Pharma, Ltd. | 2118525 | 3568776 |
|  |  | 8289373 |
| **TOTAL HEALTH CARE** |  | 19350988 |
| ***Industrials (11.60%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Aerospace & Defense (3.50%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Aequs, Ltd.<sup>(a)</sup> | 1206900 | 1776221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bharat Electronics, Ltd. | 2319953 | 11334063 |
|  |  | 13110284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Building Products (0.44%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apollo Pipes, Ltd. | 562112 | 1643513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Construction & Engineering (1.31%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Voltas, Ltd. | 339911 | 4913292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Electrical Equipment (2.31%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GE Vernova T&D India, Ltd. | 245809 | 8632008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Machinery (1.10%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Jyoti CNC Automation, Ltd.<sup>(a)(b)</sup> | 469863 | 4123925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Passenger Airlines (2.94%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;InterGlobe Aviation, Ltd.<sup>(b)(c)</sup> | 220000 | 10994656 |
| **TOTAL INDUSTRIALS** |  | 43417678 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| ***Information Technology (10.83%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*IT Services (10.83%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cognizant Technology Solutions Corp., Class A | 216000 | $17724960 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mphasis, Ltd. | 273172 | 8215588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tech Mahindra, Ltd. | 770000 | 14610010 |
|  |  | 40550558 |
| **TOTAL INFORMATION TECHNOLOGY** |  | 40550558 |
| ***Materials (5.81%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Construction Materials (4.57%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dalmia Bharat, Ltd. | 241762 | 5443280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;UltraTech Cement, Ltd. | 84366 | 11660421 |
|  |  | 17103701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Paper & Forest Products (1.24%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Century Plyboards India, Ltd. | 531929 | 4645312 |
| **TOTAL MATERIALS** |  | 21749013 |
| ***Real Estate (1.40%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Real Estate Management & Development (1.40%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brigade Enterprises, Ltd. | 639899 | 5242208 |
| **TOTAL REAL ESTATE** |  | 5242208 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $327,783,506)** |  | 372369448 |
| **TOTAL INVESTMENTS (99.45%)** |  |  |
| **(Cost $327,783,506)** |  | 372369448 |
| **Assets In Excess Of Other Liabilities (0.55%)** |  | 2057381 |
| **NET ASSETS (100.00%)** |  | $374426829 |

---

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

*<sup>(b)</sup>* *Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines utilized by the Valuation Designee. As of January 31, 2026 the aggregate market value of those securities was $15,118,581, representing 4.04% of net assets.*

*<sup>(c)</sup>* *Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2026, the aggregate market value of those securities was $10,994,657, representing 2.94% of net assets.*

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

*See Notes to Quarterly Statement of Investments.*

ALPS Global Opportunity Fund

**STATEMENT OF INVESTMENTS**

***January 31, 2026 (Unaudited)***

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **CLOSED-END FUNDS (11.63%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Abrdn Private Equity Opportunities Trust PLC | 89211 | $755594 |
| &nbsp;&nbsp;&nbsp;&nbsp;HarbourVest Global Private Equity, Ltd.<sup>(a)</sup> | 17678 | 759319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HBM Healthcare Investments AG, Class A | 1958 | 608124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HgCapital Trust PLC | 319964 | 1982194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NB Private Equity Partners, Ltd. | 32775 | 689386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Oakley Capital Investments, Ltd. | 133197 | 969620 |
| **TOTAL CLOSED-END FUNDS** |  |  |
| **(Cost $4,314,354)** |  | 5764237 |
| **COMMON STOCKS (88.01%)** |  |  |
| ***Communications (4.69%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Internet (4.69%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Amazon.com, Inc.<sup>(a)</sup> | 4240 | 1014632 |
| &nbsp;&nbsp;&nbsp;&nbsp;GoDaddy, Inc.<sup>(a)</sup> | 4270 | 429220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Meta Platforms, Inc., Class A | 1230 | 881295 |
|  |  | 2325147 |
| **TOTAL COMMUNICATIONS** |  | 2325147 |
| ***Consumer Discretionary (1.98%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Retail (1.98%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wesfarmers, Ltd. | 16990 | 980095 |
| **TOTAL CONSUMER DISCRETIONARY** |  | 980095 |
| ***Consumer Staples (1.41%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Retail (1.41%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Costco Wholesale Corp. | 740 | 695785 |
| **TOTAL CONSUMER STAPLES** |  | 695785 |
| ***Financials (61.41%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Diversified Financial Services (37.67%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apollo Global Management, Inc. | 13690 | 1841852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ares Management LP, Class A | 13810 | 2066943 |
| &nbsp;&nbsp;&nbsp;&nbsp;Berkshire Hathaway, Inc., Class B<sup>(a)</sup> | 3549 | 1705401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Blackstone, Inc., Class A | 12235 | 1742509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Blue Owl Capital, Inc. | 58500 | 797940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hamilton Lane, Inc., Class A | 8715 | 1230906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Houlihan Lokey, Inc. | 7710 | 1297747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;KKR & Co., Inc., Class A | 18520 | 2116095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mastercard, Inc., Class A | 1085 | 584587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Partners Group Holding AG | 1724 | 2350751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;StepStone Group, Inc., Class A | 19655 | 1389412 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Diversified Financial Services (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TPG, Inc. | 26215 | $1544326 |
|  |  | 18668469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Holding Companies-Diversified Operations (1.30%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sofina SA | 2215 | 645479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Investment Companies (10.20%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3i Group PLC | 53435 | 2454748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investor AB, B Shares | 27880 | 1075044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Italmobiliare SpA | 16450 | 543184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mutares SE & Co. KGaA | 25405 | 981788 |
|  |  | 5054764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Private Equity (12.24%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brederode SA | 14639 | 1823733 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bridgepoint Group PLC<sup>(b)(c)</sup> | 201055 | 747866 |
| &nbsp;&nbsp;&nbsp;&nbsp;CVC Capital Partners PLC<sup>(b)(c)</sup> | 46625 | 828378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EQT AB | 34515 | 1310042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICG PLC | 41037 | 1021135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Integral Corp. | 14415 | 331270 |
|  |  | 6062424 |
| **TOTAL FINANCIALS** |  | 30431136 |
| ***Industrials (9.06%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Commercial Services (2.73%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FTAI Aviation, Ltd. | 4975 | 1354792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Electronics (1.38%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OEM International AB, Class B | 47695 | 682161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Engineering&Construction (1.21%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;IES Holdings, Inc.<sup>(a)</sup> | 1570 | 597055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Machinery-Diversified (3.74%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carlisle Cos., Inc. | 2850 | 971536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CSW Industrials, Inc. | 1345 | 363123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dover Corp. | 2585 | 520852 |
|  |  | 1855511 |
| **TOTAL INDUSTRIALS** |  | 4489519 |
| ***Technology (9.46%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Computers (1.20%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dell Technologies, Inc. | 5180 | 592799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Electronics (1.11%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Lagercrantz Group AB, B Shares | 25140 | 550833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Semiconductors (2.42%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Lam Research Corp. | 5146 | 1201385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Software (4.73%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Adobe, Inc.<sup>(a)</sup> | 1810 | 530783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Constellation Software, Inc. | 276 | 509365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Intuit, Inc. | 1035 | 516382 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Software (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Microsoft Corp. | 1830 | $787431 |
|  |  | 2343961 |
| **TOTAL TECHNOLOGY** |  | 4688978 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $35,150,953)** |  | 43610660 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT-TERM INVESTMENTS (0.30%)** | **SHORT-TERM INVESTMENTS (0.30%)** | **SHORT-TERM INVESTMENTS (0.30%)** | **SHORT-TERM INVESTMENTS (0.30%)** |
| ***Money Market Fund (0.30%)*** | ***Money Market Fund (0.30%)*** | ***Money Market Fund (0.30%)*** | ***Money Market Fund (0.30%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State Street Institutional Treasury Plus Money Market Fund - Premier Class | 3.642% | 149009 | 149009 |
| **TOTAL MONEY MARKET FUND** |  |  | 149009 |
| **TOTAL SHORT-TERM INVESTMENTS** | **TOTAL SHORT-TERM INVESTMENTS** | **TOTAL SHORT-TERM INVESTMENTS** | **TOTAL SHORT-TERM INVESTMENTS** |
| **(Cost $149,009)** |  |  | 149009 |
| **TOTAL INVESTMENTS (99.94%)** |  |  |  |
| **(Cost $39,614,316)** |  |  | 49523906 |
| **Assets In Excess Of Other Liabilities (0.06%)** |  |  | 31833 |
| **NET ASSETS (100.00%)** |  |  | $49555739 |

---

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

*<sup>(b)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2026, the aggregate market value of those securities was $1,576,244, representing 3.18% of net assets.*

*<sup>(c)</sup>* *Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines utilized by the Valuation Designee. As of January 31, 2026 the aggregate market value of those securities was $1,576,244, representing 3.18% of net assets.*

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

 

*See Notes to Quarterly Statement of Investments.*

**OUTSTANDING FORWARD FOREIGN CURRENCY CONTRACTS**

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Settlement<br> Date** | **Fund<br> Receiving** | **U.S. $ Value<br> at January 31, 2026** | **Fund<br> Delivering** | **U.S. $ Value<br> at January 31, 2026** | **Unrealized<br> (Depreciation)** |
| State Street Bank & Trust Company | 03/20/26 | USD | $1487219 | GBP | $1555723 | $(68504) |
| State Street Bank & Trust Company | 05/22/26 | USD | $1553216 | GBP | $1574745 | (21529) |
|  |  |  |  |  |  | $(90033) |

---

ALPS Balanced Opportunity Fund

**STATEMENT OF INVESTMENTS**

***January 31, 2026 (Unaudited)***

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **COMMON STOCKS (68.44%)** |  |  |
| ***Communications (7.38%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Entertainment Content (0.76%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Walt Disney Co. | 844 | $95203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Internet Media & Services (6.62%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alphabet, Inc., Class A | 1570 | 530660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Meta Platforms, Inc., Class A | 421 | 301647 |
|  |  | 832307 |
| **TOTAL COMMUNICATIONS** |  | 927510 |
| ***Consumer Discretionary (7.89%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Automotive (0.78%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Tesla, Inc.<sup>(a)</sup> | 229 | 98564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*E-Commerce Discretionary (3.31%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Amazon.com, Inc.<sup>(a)</sup> | 1744 | 417339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Leisure Facilities & Services (1.84%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Marriott International, Inc., Class A | 323 | 101842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;McDonald's Corp. | 414 | 130410 |
|  |  | 232252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Retail - Discretionary (1.96%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Lowe's Cos., Inc. | 450 | 120177 |
| &nbsp;&nbsp;&nbsp;&nbsp;O'Reilly Automotive, Inc.<sup>(a)</sup> | 1290 | 126949 |
|  |  | 247126 |
| **TOTAL CONSUMER DISCRETIONARY** |  | 995281 |
| ***Consumer Staples (1.58%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Retail - Consumer Staples (1.58%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Costco Wholesale Corp. | 88 | 82742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Walmart, Inc. | 980 | 116757 |
|  |  | 199499 |
| **TOTAL CONSUMER STAPLES** |  | 199499 |
| ***Energy (1.43%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Oil & Gas Producers (0.74%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ConocoPhillips | 892 | 92973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Oil & Gas Services & Equipment (0.69%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Baker Hughes Co. | 1555 | 87142 |
| **TOTAL ENERGY** |  | 180115 |
| ***Financials (8.17%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Banking (2.10%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. | 564 | 172522 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Banking (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co. | 1023 | $92571 |
|  |  | 265093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Institutional Financial Svcs (2.59%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc. | 251 | 234787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Intercontinental Exchange, Inc. | 525 | 91235 |
|  |  | 326022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Specialty Finance (3.48%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;American Express Co. | 535 | 188411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mastercard, Inc., Class A | 295 | 158943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;S&P Global, Inc. | 173 | 91308 |
|  |  | 438662 |
| **TOTAL FINANCIALS** |  | 1029777 |
| ***Health Care (11.49%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Biotech & Pharma (8.07%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Eli Lilly & Co. | 152 | 157647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gilead Sciences, Inc. | 1120 | 158984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Johnson & Johnson | 1910 | 434047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Merck & Co., Inc. | 990 | 109167 |
| &nbsp;&nbsp;&nbsp;&nbsp;Vertex Pharmaceuticals, Inc.<sup>(a)</sup> | 330 | 155067 |
|  |  | 1014912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Health Care Facilities & Svcs (1.29%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HCA Healthcare, Inc. | 151 | 73729 |
| &nbsp;&nbsp;&nbsp;&nbsp;IQVIA Holdings, Inc.<sup>(a)</sup> | 385 | 88608 |
|  |  | 162337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Medical Equipment & Devices (2.13%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Boston Scientific Corp.<sup>(a)</sup> | 859 | 80342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Thermo Fisher Scientific, Inc. | 325 | 188049 |
|  |  | 268391 |
| **TOTAL HEALTH CARE** |  | 1445640 |
| ***Industrials (11.03%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Aerospace & Defense (1.83%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;RTX Corp. | 1150 | 231070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Commercial Support Services (0.96%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Waste Management, Inc. | 546 | 121343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Electrical Equipment (4.52%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amphenol Corp., Class A | 2130 | 306890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Schneider Electric SE, ADR | 1360 | 77574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TE Connectivity PLC | 546 | 121638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trane Technologies PLC | 149 | 62666 |
|  |  | 568768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Machinery (3.10%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Caterpillar, Inc. | 391 | 257028 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Machinery (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deere & Co. | 252 | $133056 |
|  |  | 390084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Transportation & Logistics (0.62%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Old Dominion Freight Line, Inc. | 450 | 77940 |
| **TOTAL INDUSTRIALS** |  | 1389205 |
| ***Materials (1.52%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Base Metal (0.65%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Freeport-McMoRan, Inc. | 1361 | 81973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Chemicals (0.87%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Linde PLC | 241 | 110130 |
| **TOTAL MATERIALS** |  | 192103 |
| ***Real Estate (1.69%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*REIT (1.69%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Equity LifeStyle Properties, Inc. | 905 | 57169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Welltower, Inc. | 825 | 155397 |
|  |  | 212566 |
| **TOTAL REAL ESTATE** |  | 212566 |
| ***Technology (13.78%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Semiconductors (6.95%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Lam Research Corp. | 1099 | 256573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NVIDIA Corp. | 1557 | 297589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;QUALCOMM, Inc. | 600 | 90954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Taiwan Semiconductor Manufacturing Co., Ltd., Sponsored ADR | 696 | 230070 |
|  |  | 875186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Software (2.66%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Microsoft Corp. | 642 | 276247 |
| &nbsp;&nbsp;&nbsp;&nbsp;Synopsys, Inc.<sup>(a)</sup> | 126 | 58604 |
|  |  | 334851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Technology Hardware (3.33%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Apple, Inc. | 706 | 183193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Corning, Inc. | 1560 | 161070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Motorola Solutions, Inc. | 187 | 75275 |
|  |  | 419538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Technology Services (0.84%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;International Business Machines Corp. | 346 | 106118 |
| **TOTAL TECHNOLOGY** |  | 1735693 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| ***Utilities (2.48%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Electric Utilities (2.48%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alliant Energy Corp. | 760 | $50092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Duke Energy Corp. | 797 | 96715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NRG Energy, Inc. | 550 | 83947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PPL Corp. | 2257 | 81816 |
|  |  | 312570 |
| **TOTAL UTILITIES** |  | 312570 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $4,706,019)** |  | 8619959 |
| **EXCHANGE TRADED FUNDS (30.47%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;ALPS \| Smith Core Plus Bond ETF<sup>(b)</sup> | 147517 | 3838392 |
| **TOTAL EXCHANGE TRADED FUNDS** |  |  |
| **(Cost $3,856,642)** |  | 3838392 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS (0.00%<sup>(c)</sup>)** |  |  |
| ******Mortgage Securities*** *(**0.00%<sup>(c)</sup>**)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Freddie Mac REMICS, Series 1996-1843 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 04/15/2026 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 | 1 |
| **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |  |
| **(Cost $1)** |  | 1 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT TERM INVESTMENTS (0.94%)** | **SHORT TERM INVESTMENTS (0.94%)** | **SHORT TERM INVESTMENTS (0.94%)** | **SHORT TERM INVESTMENTS (0.94%)** |
| ***Money Market Fund (0.94%)*** | ***Money Market Fund (0.94%)*** | ***Money Market Fund (0.94%)*** | ***Money Market Fund (0.94%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State Street Institutional Treasury Plus Money Market Fund - Premier Class | 3.642% | 118467 | 118467 |
| **TOTAL SHORT TERM INVESTMENTS** | **TOTAL SHORT TERM INVESTMENTS** | **TOTAL SHORT TERM INVESTMENTS** | **TOTAL SHORT TERM INVESTMENTS** |
| **(Cost $118,467)** |  |  | 118467 |
| **TOTAL INVESTMENTS (99.85%)** |  |  |  |
| **(Cost $8,681,129)** |  |  | 12576819 |
| **Assets In Excess Of Other Liabilities (0.15%)** |  |  | 18977 |
| **NET ASSETS (100.00%)** |  |  | $12595796 |

---

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

*<sup>(b)</sup>* *Affiliated Company. See Note 4 in Notes to Quarterly Statement of Investments. Financials for the affiliated company can be found at www.sec.gov.*

*<sup>(c)</sup>* *Less than 0.005%.*

 

*See Notes to Quarterly Statement of Investments.*

ALPS Asset Allocation Growth & Income

**STATEMENT OF INVESTMENTS**

***January 31, 2026 (Unaudited)***

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **EXCHANGE TRADED FUNDS (99.39%)** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Debt (24.06%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> Core U.S. Aggregate Bond ETF | 45215 | $4527378 |
| &nbsp;&nbsp;&nbsp;&nbsp;RiverFront Dynamic Core Income ETF<sup>(a)</sup> | 62528 | 1415103 |
| &nbsp;&nbsp;&nbsp;&nbsp;Riverfront Strategic Income Fund<sup>(a)</sup> | 296730 | 6851466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vanguard<sup>®</sup> Intermediate-Term Treasury ETF | 36650 | 2195335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vanguard<sup>®</sup> Mortgage-Backed Securities ETF | 68680 | 3244443 |
|  |  | 18233725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Equity (75.33%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;ALPS Active Equity Opportunity ETF<sup>(a)</sup> | 165685 | 11570297 |
| &nbsp;&nbsp;&nbsp;&nbsp;ALPS Electrification Infrastructure ETF<sup>(a)</sup> | 118375 | 4491574 |
| &nbsp;&nbsp;&nbsp;&nbsp;ALPS International Sector Dividend Dogs ETF<sup>(a)</sup> | 97965 | 3943091 |
| &nbsp;&nbsp;&nbsp;&nbsp;ALPS O'Shares U.S. Quality Dividend ETF<sup>(a)</sup> | 55610 | 3262361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> Core MSCI International Developed Markets ETF | 93500 | 8069985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;iShares<sup>®</sup> Core S&P 500<sup>®</sup> ETF | 7130 | 4955564 |
| &nbsp;&nbsp;&nbsp;&nbsp;RiverFront Dynamic US Dividend Advantage ETF<sup>(a)</sup> | 204652 | 13226249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vanguard<sup>®</sup> International High Dividend Yield ETF | 18860 | 1794340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vanguard<sup>®</sup> Total Stock Market ETF | 16945 | 5770959 |
|  |  | 57084420 |
| **TOTAL EXCHANGE TRADED FUNDS** |  |  |
| **(Cost $57,745,655)** |  | 75318145 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT-TERM INVESTMENTS (0.67%)** | **SHORT-TERM INVESTMENTS (0.67%)** | **SHORT-TERM INVESTMENTS (0.67%)** | **SHORT-TERM INVESTMENTS (0.67%)** |
| ***Money Market Fund (0.67%)*** | ***Money Market Fund (0.67%)*** | ***Money Market Fund (0.67%)*** | ***Money Market Fund (0.67%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State Street Institutional Treasury Plus Money Market Fund- Premier Class | 3.642% | 502330 | 502330 |
| **TOTAL MONEY MARKET FUND** |  |  | 502330 |
| **TOTAL SHORT-TERM INVESTMENTS** | **TOTAL SHORT-TERM INVESTMENTS** | **TOTAL SHORT-TERM INVESTMENTS** | **TOTAL SHORT-TERM INVESTMENTS** |
| **(Cost $502,330)** |  |  | 502330 |

---

---

| | |
|:---|:---|
| | **Value**<br>**(Note 2)** |
| **TOTAL INVESTMENTS (100.06%)** |  |
| **(Cost $58,247,985)** | $75820475 |
| **Liabilities In Excess Of Other Assets (-0.06%)** | (41882) |
| **NET ASSETS (100.00%)** | $75778593 |

---

*<sup>(a)</sup>* *Affiliated Company. See Note 4 in Notes to Quarterly Statement of Investments. Financials for the affiliated company can be found at www.sec.gov.*

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

 

*See Notes to Quarterly Statement of Investments.*

**Notes to Quarterly Statements of Investments**

January 31, 2026 **(Unaudited)**

**1. ORGANIZATION**

Financial Investors Trust (the "Trust"), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended ("1940 Act"). The Trust consists of multiple separate portfolios or series. This report includes the statements of investments of the following 5 funds: ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy Fund, Kotak India Equity Fund (formerly ALPS \| Kotak India ESG Fund), ALPS Global Opportunity Fund, ALPS Balanced Opportunity Fund and ALPS Asset Allocation Growth & Income (formerly RiverFront Asset Allocation Growth & Income) (each, a "Fund" and collectively, the "Funds").

The ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy Fund seeks to maximize real returns, consistent with prudent investment management. Kotak India Equity Fund seeks to achieve long-term capital appreciation. The ALPS Global Opportunity Fund seeks to maximize total return. The ALPS Balanced Opportunity Fund seeks long-term capital growth, consistent with preservation of capital and balanced by current income. ALPS Asset Allocation Growth & Income seeks to achieve long-term growth and income.

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

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

CoreCommodity Management Cayman Commodity Fund Ltd. (the "Subsidiary"), a Cayman Islands exempted company, was incorporated on April 23, 2010 and is a wholly owned subsidiary of the ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy Fund (the "CoreCommodity Fund"). All intercompany transactions have been eliminated upon consolidation. The Subsidiary acts as an investment vehicle for the CoreCommodity Fund in order to effect certain commodity-related investments on behalf of the CoreCommodity Fund. CoreCommodity Fund is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of June 14, 2010, and it is intended that the CoreCommodity Fund will remain the sole shareholder and will continue to wholly own and control the Subsidiary. Under the Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. The CoreCommodity Fund may invest up to 25% of its total assets in shares of the Subsidiary. As a wholly owned subsidiary of the CoreCommodity Fund, the financial statements of the Subsidiary are included in the consolidated financial statements and financial highlights of the CoreCommodity Fund. All investments held by the Subsidiary are disclosed in the accounts of the CoreCommodity Fund. As of January 31, 2026, net assets of the CoreCommodity Fund were $896,972,983 of which $205,428,361 or 22.90%, represented the CoreCommodity Fund's ownership of all issued shares and voting rights of the Subsidiary.

**2. SIGNIFICANT ACCOUNTING POLICIES**

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. Each Fund is considered an investment company for financial reporting purposes, and follows accounting policies in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), including policies specific to investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds and subsidiaries, as applicable, in preparation of their financial statements. The Funds are an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification ("ASC") Topic 946 "Financial Services – Investment Companies". In regards to Financial Accounting Standards Board Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures ("ASU 2023-07"), the Chief Operating Decision Maker ("CODM") monitors the operating results of each Fund as a whole. The Funds' Treasurer is the CODM for each Fund. Each Fund's financial information is used by the CODM to assess each segment's performance. The CODM has determined that each Fund is a single operating segment as defined by ASU 2023-07 that recognizes revenues and incurs expenses. This is supported by the single investment strategy of each Fund, against which the CODM assesses performance.

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

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

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

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

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

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

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

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

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

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

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

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

The following is a summary of each Fund's investments/financial instruments in the fair value hierarchy as of January 31, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant<br> Observable Inputs** | **Level 3 - Significant<br> Unobservable Inputs** | **Total** |
| **ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy Fund** | **ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy Fund** | **ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy Fund** | **ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy Fund** | **ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy Fund** |
| Common Stocks<sup>(a)</sup> | $– | $– | $1258 | $1258 |
| Exchange Traded Funds | 347940696 |  |  | 347940696 |
| Government Bonds |  | 451329734 |  | 451329734 |
| Short Term Investments | 64131726 | – | – | 64131726 |
| Total | $412072422 | $451329734 | $1258 | $863403414 |
| **Other Financial Instruments** |  |  |  |  |
| **Assets** | **Assets** | **Assets** | **Assets** | **Assets** |
| Total Return Swap Contracts | $– | $51 | $– | $51 |
| Futures Contracts | 11514246 |  |  | 11514246 |
| **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** | **Liabilities** |
| Futures Contracts | (6967398) | – | – | (6967398) |
| Total | $4546848 | $51 | $– | $4546899 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant<br> Observable Inputs** | **Level 3 - Significant<br> Unobservable Inputs** | **Total** |
| **Kotak India Equity Fund** |  |  |  |  |
| Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Communication Services | $– | $31340546 | $– | $31340546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Discretionary |  | 54346594 |  | 54346594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Staples | 6946592 | 9467176 |  | 16413768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Energy |  | 25304825 |  | 25304825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 48605924 | 66047346 |  | 114653270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Health Care |  | 19350988 |  | 19350988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Industrials | 10408229 | 33009449 |  | 43417678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Information Technology | 17724960 | 22825598 |  | 40550558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Materials |  | 21749013 |  | 21749013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Real Estate | – | 5242208 | – | 5242208 |
| Total | $83685705 | $288683743 | $– | $372369448 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant <br> Observable Inputs** | **Level 3 - Significant<br> Unobservable Inputs** | **Total** |
| **ALPS Global Opportunity Fund** |  |  |  |  |
| Closed-End Funds | $969620 | $4794617 | $– | $5764237 |
| Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Communications | 2325147 |  |  | 2325147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Discretionary |  | 980095 |  | 980095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Consumer Staples | 695785 |  |  | 695785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Financials | 16317718 | 14113418 |  | 30431136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Industrials | 4489519 |  |  | 4489519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Technology | 4138145 | 550833 |  | 4688978 |
| Short-Term Investments | 149009 | – | – | 149009 |
| Total | $29084943 | $20438963 | $– | $49523906 |
| **Other Financial Instruments** |  |  |  |  |
| **Liabilities:** |  |  |  |  |
| Forward Contracts | – | (90033) | – | (90033) |
| Total | $– | $(90033) | $– | $(90033) |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant<br> Observable Inputs** | **Level 3 - Significant<br> Unobservable Inputs** | **Total** |
| **ALPS Balanced Opportunity Fund** |  |  |  |  |
| Common Stocks<sup>(a)</sup> | $8619959 | $– | $– | $8619959 |
| Exchange Traded Funds | 3838392 |  |  | 3838392 |
| Collateralized Mortgage Obligations |  | 1 |  | 1 |
| Short Term Investments | 118467 | – | – | 118467 |
| Total | $12576818 | $1 | $– | $12576819 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant <br> Observable Inputs** | **Level 3 - Significant<br> Unobservable Inputs** | **Total** |
| **ALPS Asset Allocation Growth & Income** |  |  |  |  |
| Exchange Traded Funds | $75318145 | $– | $– | $75318145 |
| Short-Term Investments | 502330 | – | – | 502330 |
| Total | $75820475 | $– | $– | $75820475 |

---

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

The Funds, except for the ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy, did not have any securities that used significant unobservable inputs (Level 3) in determining fair value and there were no transfers into or out of Level 3 during the period ended January 31, 2026. As of January 31, 2026, ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy held securities classified as Level 3 in the fair value hierarchy valued at $1,258, which represents less than 0.005% of net assets.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

**3. DERIVATIVE INSTRUMENTS**

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

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

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

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

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

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

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

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

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

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

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

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

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

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (coupons plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Funds will receive a payment from or make a payment to the counterparty. Credit default swaps are a type of swap agreement in which the protection "buyer" is generally obligated to pay the protection "seller" an upfront and/ or a periodic stream of payments over the term of the contract provided that no credit event, such as a default, on a reference obligation has occurred. Credit default swaps ("CDS") are typically two-party financial contracts that transfer credit exposure between the two parties. Under a typical CDS, one party (the "seller") receives pre-determined periodic payments from the other party (the "buyer"). The seller agrees to make compensating specific payments to the buyer if a negative credit event occurs, such as the bankruptcy or default by the issuer of the underlying debt instrument. Swap agreements held at January 31, 2026 are disclosed after the Statement of Investments or Consolidated Statement of Investments.

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

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

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

**4. AFFILIATED COMPANIES**

Funds may invest in certain securities that are considered securities issued by affiliated companies. As defined by the Investment Company Act of 1940, an affiliated person, including an affiliated company, is one in which a Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund.

The purchases, sales, dividend income, realized gains or losses, change in unrealized gains or losses, shares and value of investments in affiliated companies for ALPS \| CoreCommodity Management CompleteCommodities<sup>®</sup> Strategy for the period ended January 31, 2026 were as follows:

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Name** | **Fair Value as of October 31, 2025** | **Purchases** | **Sales** | **Fair Value as of January 31, 2026** | **Share Balance as of January 31, 2026** | **Dividends** | **Change in Unrealized Gain (Loss)** | **Realized Gain (Loss)** |
| ALPS \| CoreCommodity Natural Resources ETF | $370296561 | $- | $(77902809) | $347940696 | 9295125 | $13320873 | $36020108 | $19526836 |
|  | $370296561 | $- | $(77902809) | $347940696 |  | $13320873 | $36020108 | $19526836 |

---

The purchases, sales, dividend income, realized gains or losses, change in unrealized gains or losses, shares and value of investments in affiliated companies for ALPS Balanced Opportunity Fund for the period ended January 31, 2026 were as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Name** | **Fair Value as of October 31, 2025** | **Purchases** | **Sales** | **Fair Value as of January 31, 2026** | **Share Balance as of January 31, 2026** | **Dividends** | **Change in Unrealized Gain (Loss)** | **Realized Gain (Loss)** |
| ALPS \| Smith Core Plus Bond ETF | $4094480 | $- | $(233330) | $3838392 | 147517 | $42029 | $(20452) | $(2306) |
|  | $4094480 | $- | $(233330) | $3838392 |  | $42029 | $(20452) | $(2306) |

---

The purchases, sales, dividend income, realized gains or losses, change in unrealized gains or losses, shares and value of investments in affiliated companies for ALPS Asset Allocation Growth & Income for the period ended January 31, 2026 were as follows:

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Security Name** | **Fair Value as of October 31, 2025** | **Purchases** | **Sales** | **Fair Value as of January 31, 2026** | **Share Balance as of January 31, 2026** | **Dividends** | **Change in Unrealized Gain (Loss)** | **Realized Gain (Loss)** |
| RiverFront Dynamic Core Income ETF | $1989749 | $- | $(562737.00) | $1415103 | 62528 | $19994 | $7685 | $(19594) |
| Riverfront Strategic Income Fund | 6881169 |  |  | 6851466 | 296730 | 83583 | (29703) |  |
| ALPS Active Equity Opportunity ETF | 10971893 |  |  | 11570297 | 165685 | 19432 | 598404 |  |
| ALPS Electrification Infrastructure ETF | 4722179 |  | (379106) | 4491574 | 118375 | 14037 | 109137 | 39364 |
| ALPS International Sector Dividend Dogs ETF | 3605798 |  |  | 3943091 | 97965 | 36838 | 337293 |  |
| ALPS O'Shares U.S. Quality Dividend ETF | 3113604 |  |  | 3262361 | 55610 | 11536 | 148757 |  |
| RiverFront Dynamic US Dividend Advantage ETF | 14465171 | - | (1465088) | 13226249 | 204652 | 71134 | (554578) | 780744 |
|  | $45749563 | $- | $(2406931) | $44760141 |  | $256554 | $616995 | $800514 |

---

**Financial Investors Trust**

**Schedules of Investments**

**(Unaudited)**

**January 31, 2026**

ALPS \| Smith Short Duration Bond Fund

**STATEMENT OF INVESTMENTS**

***January 31, 2026 (Unaudited)***

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **BANK LOANS (0.27%)** |  |  |
| ***Aerospace & Defense (0.27%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 2.50%, 02/28/2031<sup>(a)</sup> | $1750000 | $1751164 |
| **TOTAL BANK LOANS** |  |  |
| **(Cost $1,760,907)** |  | 1751164 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS (0.01%)** |  |  |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-12, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 04/18/2027<sup>(a)</sup> | $1739 | $1742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-49, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 06/17/2027<sup>(a)</sup> | 1986 | 1987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-61, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/25/2026 | 228 | 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-80, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/25/2026 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-47, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 05/25/2027 | 2081 | 2063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-5, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 02/25/2028 | 14351 | 14134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-96, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/25/2026 | 36976 | 36769 |
|  |  | 56925 |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1996-1885, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 09/15/2026<sup>(a)</sup> | 107 | 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2332, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 01/15/2028<sup>(a)</sup> | 11486 | 11487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4177, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 03/15/2028 | 3921 | 3844 |
|  |  | 15438 |
| **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |  |
| **(Cost $73,080)** |  | 72363 |

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---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **MORTGAGE-BACKED SECURITIES (0.41%)** |  |  |
| Fannie Mae Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/01/2026 | $31885 | $31758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.270%, 07/01/2028 | 454300 | 460684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-MA0717, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/01/2026 | 1731 | 1726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AL9448, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.993%, 07/01/2026<sup>(a)</sup> | 76599 | 76259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN2079, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.910%, 07/01/2026 | 32667 | 32456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.030%, 07/01/2029 | 116332 | 113233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.490%, 07/01/2028 | 247517 | 235127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.580%, 12/01/2028 | 110000 | 103426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.550%, 03/01/2028 | 475000 | 477866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.900%, 03/01/2028 | 750000 | 758551 |
|  |  | 2291086 |
| Freddie Mac Gold Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-T40090, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/01/2027 | 13344 | 13241 |
| Freddie Mac Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 01/01/2028 | 104255 | 102756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/01/2028 | 43521 | 43293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.170%, 04/01/2028 | 113000 | 113513 |
|  |  | 259562 |
| Ginnie Mae I Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AF1057, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/15/2028 | 22664 | 22272 |
| Ginnie Mae II Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-4954, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/20/2026 | 263 | 262 |
| **TOTAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $2,553,504)** |  | 2586423 |

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---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **CORPORATE BONDS (60.67%)** |  |  |
| ***Aerospace & Defense (4.49%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BAE Systems PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 03/26/2027<sup>(b)</sup> | 4500000 | 4553728 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Boeing Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20%, 02/04/2026 | $5000000 | $4999151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.25%, 02/01/2028 | 3000000 | 2956918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.15%, 05/01/2030 | 3000000 | 3084336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.30%, 07/29/2030 | 1405000 | 1415170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;L3Harris Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 01/15/2027 | 6500000 | 6591147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Lockheed Martin Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.15%, 08/15/2028 | 3000000 | 3024809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;RTX Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 11/08/2026 | 2000000 | 2025604 |
| **Total *Aerospace & Defense*** |  | 28650863 |
| ***Airlines (1.52%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AS Mileage Plan IP, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.02%, 10/20/2029<sup>(b)</sup> | 3000000 | 3035008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Southwest Airlines Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.38%, 11/15/2028 | 5000000 | 5028328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United Airlines Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 03/01/2031 | 1585000 | 1602722 |
| **Total *Airlines*** |  | 9666058 |
| ***Apparel & Textile Products (1.19%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gildan Activewear, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.70%, 10/07/2030<sup>(b)</sup> | 4458000 | 4445933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VF Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.80%, 04/23/2027 | 3200000 | 3123745 |
| **Total *Apparel & Textile Products*** |  | 7569678 |
| ***Automobiles Manufacturing (5.34%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.97%, 04/06/2029 | 3096000 | 3113018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.73%, 09/05/2030 | 1752000 | 1794354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.80%, 03/05/2027 | 3000000 | 3042860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.95%, 03/06/2026 | 3750000 | 3756493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Motors Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 04/15/2030 | 1500000 | 1563090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.20%, 10/27/2028 | 1714000 | 1718754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 05/08/2027 | 1500000 | 1524464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hyundai Capital America |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 01/08/2029<sup>(b)</sup> | 6327000 | 6341235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 06/24/2026<sup>(b)</sup> | 3000000 | 3017501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nissan Motor Acceptance Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 09/29/2028<sup>(b)</sup> | 5000000 | 5019770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Stellantis Financial Services US Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.95%, 09/15/2028<sup>(b)</sup> | 3100000 | 3143877 |
| **Total *Automobiles Manufacturing*** |  | 34035416 |
| ***Banks (7.15%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital One NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.97%, 08/09/2028<sup>(a)</sup> | 2711000 | 2797073 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Citizens Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.70%, 01/29/2029<sup>(a)</sup> | $3000000 | $3005355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs Bank USA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.78%, 03/18/2027<sup>(a)</sup> | 6000000 | 6009269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.08%, 01/14/2028<sup>(a)</sup> | 3500000 | 3531785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Private Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.77%, 07/06/2028<sup>(a)</sup> | 3000000 | 3019682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.78%, 11/17/2028<sup>(a)</sup> | 1530000 | 1534553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PNC Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.63%, 05/13/2027<sup>(a)</sup> | 3000000 | 3004177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PNC Financial Services Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.61%, 01/26/2029<sup>(a)</sup> | 3000000 | 3004933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Truist Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.30%, 05/15/2026 | 3500000 | 3495134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series I |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.66%, 01/27/2029<sup>(a)</sup> | 3000000 | 3004133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;US Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.91%, 05/15/2028<sup>(a)</sup> | 3000000 | 3029395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.74%, 01/23/2030<sup>(a)</sup> | 2000000 | 2001958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.07%, 04/22/2028<sup>(a)</sup> | 8000000 | 8161728 |
| **Total *Banks*** |  | 45599175 |
| ***Biotechnology (0.54%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amgen, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.15%, 03/02/2028 | 3300000 | 3378528 |
| ***Cable & Satellite (1.09%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CCO Holdings LLC / CCO Holdings Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.13%, 05/01/2027<sup>(b)</sup> | 3000000 | 3002638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 05/01/2026 | 2900000 | 2901465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cox Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 09/15/2028<sup>(b)</sup> | 1000000 | 1028740 |
| **Total *Cable & Satellite*** |  | 6932843 |
| ***Chemicals (0.48%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ecolab, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.30%, 06/15/2028 | 3000000 | 3030806 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Commercial Finance (0.47%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Penske Truck Leasing Co. Lp / PTL Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 05/24/2026<sup>(b)</sup> | $3000000 | $3011738 |
| ***Consumer Finance (2.14%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;American Express Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.26%, 04/25/2029<sup>(a)</sup> | 3000000 | 3045519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 0.75%, 04/23/2027<sup>(a)(c)</sup> | 5000000 | 5018397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fidelity National Information Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.25%, 03/01/2031 | 939000 | 841070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fiserv, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.65%, 06/01/2030 | 3300000 | 3049458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Global Payments, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 11/15/2028 | 1650000 | 1657724 |
| **Total *Consumer Finance*** |  | 13612168 |
| ***Consumer Services (1.59%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cintas Corp. No 2 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.20%, 05/01/2028 | 5000000 | 5030057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sodexo, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.15%, 08/15/2030<sup>(b)</sup> | 5000000 | 5121819 |
| **Total *Consumer Services*** |  | 10151876 |
| ***Containers & Packaging (0.47%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sonoco Products Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.45%, 09/01/2026 | 3000000 | 3007965 |
| ***Department Stores (1.05%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kohl's Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.00%, 06/01/2030<sup>(b)</sup> | 6100000 | 6688663 |
| ***Diversified Banks (2.04%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.11%, 05/09/2029<sup>(a)</sup> | 3000000 | 3040567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.84%, 01/22/2032<sup>(a)</sup> | 839000 | 836975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.19%, 01/23/2028<sup>(a)</sup> | 3000000 | 3030904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Toronto-Dominion Bank |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series GMTN |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.98%, 04/05/2027 | 3000000 | 3038115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.91%, 01/13/2028 | 3000000 | 3002152 |
| **Total *Diversified Banks*** |  | 12948713 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Electrical Equipment Manufacturing (0.52%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vontier Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.80%, 04/01/2026 | $3350000 | $3336049 |
| ***Entertainment Content (1.22%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discovery Communications LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 05/15/2029 | 3900000 | 3791737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Paramount Global |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.70%, 06/01/2028 | 1600000 | 1559624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 07/30/2030 | 1370000 | 1473002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Warnermedia Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.05%, 03/15/2029 | 951000 | 923060 |
| **Total *Entertainment Content*** |  | 7747423 |
| ***Exploration & Production (0.40%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Diamondback Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.20%, 04/18/2027 | 1000000 | 1014094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hilcorp Energy I LP / Hilcorp Finance Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 11/01/2028<sup>(b)</sup> | 1500000 | 1513148 |
| **Total *Exploration & Production*** |  | 2527242 |
| ***Financial Services (8.52%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bank of New York Mellon Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.63%, 01/22/2030<sup>(a)</sup> | 2000000 | 1998455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 08/24/2026 | 5000000 | 5050696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 1.05%, 03/03/2027<sup>(a)(c)</sup> | 2471000 | 2490431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Citadel Securities Global Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 06/18/2030<sup>(b)</sup> | 3731000 | 3835306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.71%, 01/21/2029<sup>(a)</sup> | 5000000 | 5004657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.96%, 01/21/2032<sup>(a)</sup> | 1174000 | 1173816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jane Street Group / JSG Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 11/15/2029<sup>(b)</sup> | 4931000 | 4861924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;LPL Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.90%, 04/03/2028 | 2000000 | 2030752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.70%, 05/20/2027 | 2900000 | 2954685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Lseg US Fin Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 03/28/2027<sup>(b)</sup> | 2500000 | 2528108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.80%, 01/09/2030<sup>(a)</sup> | 2000000 | 2004060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;National Securities Clearing Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.90%, 06/26/2029<sup>(b)</sup> | 5000000 | 5131200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.15%, 06/26/2026<sup>(b)</sup> | 5000000 | 5026600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;UBS Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.60%, 12/22/2027<sup>(a)(b)</sup> | 7000000 | 7138872 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;USAA Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.38%, 06/01/2028<sup>(b)</sup> | $3000000 | $3035258 |
| **Total *Financial Services*** |  | 54264820 |
| ***Food & Beverage (0.63%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Campbell's Company |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.30%, 03/20/2026 | 1000000 | 1001640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mars, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.45%, 03/01/2027<sup>(b)</sup> | 3000000 | 3022576 |
| **Total *Food & Beverage*** |  | 4024216 |
| ***Hardware (0.63%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dell International LLC / EMC Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 04/01/2028 | 2000000 | 2028665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hewlett Packard Enterprise Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.45%, 09/25/2026 | 2000000 | 2006257 |
| **Total *Hardware*** |  | 4034922 |
| ***Health Care Facilities & Services (1.12%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 03/01/2028 | 5000000 | 5095134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.20%, 06/01/2028 | 2000000 | 2049442 |
| **Total *Health Care Facilities & Services*** |  | 7144576 |
| ***Industrial Other (1.03%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Element Fleet Management Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.64%, 11/24/2030<sup>(b)</sup> | 2500000 | 2506668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.27%, 06/26/2026<sup>(b)</sup> | 4000000 | 4029014 |
| **Total *Industrial Other*** |  | 6535682 |
| ***Integrated Oils (0.25%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Saudi Arabian Oil Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 02/02/2029<sup>(b)</sup> | 1603000 | 1594003 |
| ***Internet Media (1.23%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alphabet, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.10%, 11/15/2030 | 5000000 | 5005466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Meta Platforms, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.20%, 11/15/2030 | 2817000 | 2812779 |
| **Total *Internet Media*** |  | 7818245 |
| ***Life Insurance (0.32%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jackson National Life Global Funding |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.90%, 01/13/2027<sup>(b)</sup> | 2000000 | 2018946 |
| ***Medical Equipment & Devices Manufacturing (2.60%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alcon Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.75%, 09/23/2026<sup>(b)</sup> | 6150000 | 6101552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Illumina, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.65%, 09/09/2026 | 2000000 | 2005323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Medline Borrower LP/Medline Co.-Issuer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 04/01/2029<sup>(b)</sup> | 3000000 | 3100082 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Solventum Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 03/01/2029 | $776000 | $804447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 02/25/2027 | 1533000 | 1555270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Stryker Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.55%, 02/10/2027 | 3000000 | 3023123 |
| **Total *Medical Equipment & Devices Manufacturing*** |  | 16589797 |
| ***Metals & Mining (0.47%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Steel Dynamics, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 12/15/2028 | 3000000 | 2996750 |
| ***Pipeline (1.27%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Columbia Pipelines Holding Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.04%, 08/15/2028<sup>(b)</sup> | 1000000 | 1042044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.06%, 08/15/2026<sup>(b)</sup> | 1500000 | 1512544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.55%, 01/15/2031 | 1176000 | 1175131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kinetik Holdings LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63%, 12/15/2028<sup>(b)</sup> | 1000000 | 1030273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NuStar Logistics LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 04/28/2027 | 3000000 | 3037505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Targa Resources Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.35%, 01/15/2029 | 338000 | 339720 |
| **Total *Pipeline*** |  | 8137217 |
| ***Power Generation (0.87%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Calpine Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 02/15/2028<sup>(b)</sup> | 3100000 | 3098914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Constellation Energy Generation LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.90%, 01/08/2028 | 2007000 | 2005338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.70%, 01/31/2031<sup>(b)</sup> | 504000 | 503531 |
| **Total *Power Generation*** |  | 5607783 |
| ***Property & Casualty Insurance (0.98%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.60%, 12/23/2026 | 1555000 | 1564460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.70%, 06/23/2028 | 1550000 | 1571139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.90%, 06/23/2030 | 3100000 | 3148432 |
| **Total *Property & Casualty Insurance*** |  | 6284031 |
| ***Refining & Marketing (0.50%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sunoco LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 05/01/2029<sup>(b)</sup> | 3050000 | 3173238 |
| ***Restaurants (0.48%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Starbucks Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 05/15/2028 | 3000000 | 3032517 |
| ***Retail - Consumer Discretionary (1.63%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amazon.com, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.90%, 11/20/2028 | 1165000 | 1169412 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AutoNation, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.45%, 01/15/2029 | $6000000 | $6014393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gap, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.63%, 10/01/2029<sup>(b)</sup> | 3400000 | 3237147 |
| **Total *Retail - Consumer Discretionary*** |  | 10420952 |
| ***Semiconductors (0.98%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Broadcom, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.05%, 07/12/2027 | 1578000 | 1606477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foundry JV Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 01/25/2031<sup>(b)</sup> | 4500000 | 4663173 |
| **Total *Semiconductors*** |  | 6269650 |
| ***Software & Services (2.01%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Crowdstrike Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.00%, 02/15/2029 | 3848000 | 3684591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Roper Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 09/15/2028 | 3000000 | 3017656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Synopsys, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.55%, 04/01/2027 | 3000000 | 3021983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.65%, 04/01/2028 | 3000000 | 3038942 |
| **Total *Software & Services*** |  | 12763172 |
| ***Supermarkets & Pharmacies (0.85%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 02/15/2028<sup>(b)</sup> | 5330000 | 5419353 |
| ***Transportation & Logistics (0.79%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fedex Freight Holding Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.30%, 03/15/2029<sup>(b)</sup> | 5000000 | 5006557 |
| ***Travel & Lodging (0.24%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carnival Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 08/01/2028<sup>(b)</sup> | 1515000 | 1500082 |
| ***Utilities (0.64%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;DTE Energy Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.95%, 07/01/2027 | 2000000 | 2025585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sempra |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 08/01/2026 | 2000000 | 2011744 |
| **Total *Utilities*** |  | 4037329 |
| ***Wireless Telecommunications Services (0.93%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SoftBank Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.70%, 07/09/2030<sup>(b)</sup> | 860000 | 864247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.80%, 07/15/2028 | 5000000 | 5089643 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **Total *Wireless Telecommunications Services*** |  | 5953890 |
| **TOTAL CORPORATE BONDS** |  |  |
| **(Cost $382,538,665)** |  | 386522932 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **GOVERNMENT BONDS (38.23%)** |  |  |
| ***U.S. Treasury Bonds (38.23%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Inflation Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.63%, 10/15/2029 | 15808003 | 16129467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 10/31/2027 | 27604000 | 27586748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 12/15/2028 | 6199000 | 6182776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 09/30/2029 | 26718000 | 26551013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.63%, 08/31/2027 | 30934000 | 30977500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.63%, 12/31/2030 | 621000 | 616197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.75%, 04/30/2027 | 22700000 | 22760297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.75%, 06/30/2027 | 27456000 | 27539655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 05/31/2030 | 717000 | 724142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 01/31/2027 | 26664000 | 26813038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 10/31/2029 | 23011000 | 23354367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 11/30/2029 | 6464000 | 6560581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 03/15/2027 | 17494000 | 17628622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 01/31/2030 | 9900000 | 10095100 |
| **Total *U.S. Treasury Bonds*** |  | 243519503 |
| **TOTAL GOVERNMENT BONDS** |  |  |
| **(Cost $241,980,337)** |  | 243519503 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT TERM INVESTMENTS (0.81%)** |  |  |  |
| ***Money Market Fund (0.81%)*** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 3.62% | 5165115 | 5165115 |
| **TOTAL SHORT TERM INVESTMENTS** |  |  |  |
| **(Cost $5,165,115)** |  |  | 5165115 |

---

---

| | |
|:---|:---|
| | **Value**<br>**(Note 2)** |
| **TOTAL INVESTMENTS (100.40%)** |  |
| **(Cost $634,071,608)** | $639617500 |
| **Liabilities In Excess Of Other Assets (-0.40%)** | (2570814) |
| **NET ASSETS (100.00%)** | $637046686 |

---

**Investment Abbreviations:**

SOFR - Secured Overnight Financing Rate

SOFRINDX - Secured Overnight Financing Rate Index

TI - Treasury Index

**Reference Rates:**

30D US SOFR - 30 Day SOFR as of January 31, 2026 was 3.67%

1D US SOFR - 1 Day SOFR as of January 31, 2026 was 3.68%

1Y US TI - 1 Year US TI as of January 31, 2026 was 3.48%

1M US SOFR- 1 Month SOFR as of January 31, 2026 was 3.67%

*<sup>(a)</sup>* *Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2026 is based on the reference rate plus the displayed spread as of the security's last reset date.*

*<sup>(b)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2026, the aggregate market value of those securities was $134,905,010, representing 21.18% of net assets.*

*<sup>(c)</sup>* *The SOFRINDX is a compounded average of the daily Secured Overnight Financing Rate determined by reference to the SOFR Index for any interest period.*

 

*See Notes to Quarterly Statement of Investments.*

ALPS \| Smith Total Return Bond Fund

**STATEMENT OF INVESTMENTS**

***January 31, 2026 (Unaudited)***

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **BANK LOANS (0.95%)** |  |  |
| ***Aerospace & Defense (0.47%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 2.50%, 02/28/2031<sup>(a)</sup> | $15878769 | $15889328 |
| ***Biotechnology (0.14%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BioMarin Pharmaceutical Inc |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3M SOFR + 0.00%, 01/29/2031<sup>(a)</sup> | 4900000 | 4912250 |
| ***Casinos & Gaming (0.21%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Caesars Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 2.25%, 02/06/2031<sup>(a)</sup> | 7319625 | 7284857 |
| ***Pharmaceuticals (0.13%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amneal Pharmaceuticals LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 3.50%, 08/02/2032<sup>(a)</sup> | 4359973 | 4381773 |
| **TOTAL BANK LOANS** |  |  |
| **(Cost $32,585,120)** |  | 32468208 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS (7.80%)** |  |  |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-76, Class FO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 09/17/2027<sup>(a)</sup> | $2098 | $2099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1999-58, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 11/18/2029<sup>(a)</sup> | 14236 | 14226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2000-40, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 07/25/2030<sup>(a)</sup> | 5376 | 5380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2000-45, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 12/25/2030<sup>(a)</sup> | 2193 | 2193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-27, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 06/25/2031<sup>(a)</sup> | 2358 | 2359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-29, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 07/25/2031 | 26280 | 27043 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-52, Class XZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 10/25/2031 | $11362 | $11842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-59, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 11/25/2031<sup>(a)</sup> | 50551 | 50696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-60, Class OF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.06%, 10/25/2031<sup>(a)</sup> | 78138 | 78924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-63, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 12/18/2031<sup>(a)</sup> | 3954 | 3962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-63, Class TC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/25/2031 | 9358 | 9682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-68, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/25/2031 | 7876 | 8151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-71, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.76%, 11/25/2031<sup>(a)</sup> | 35308 | 35446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-71, Class FS, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 11/25/2031<sup>(a)</sup> | 28875 | 28958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-81, Class GE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/25/2032 | 6616 | 6873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-11, Class JF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.84%, 03/25/2032<sup>(a)</sup> | 22000 | 22126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-12, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.16%, 01/25/2032<sup>(a)</sup> | 24835 | 25133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-13, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.01%, 03/25/2032<sup>(a)</sup> | 15940 | 16029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-16, Class TM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 04/25/2032 | 5516 | 5726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-17, Class JF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 04/25/2032<sup>(a)</sup> | 12464 | 12611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-18, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.91%, 02/25/2032<sup>(a)</sup> | 23058 | 23226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-23, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.01%, 04/25/2032<sup>(a)</sup> | 18459 | 18634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-34, Class EO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 05/18/2032<sup>(b)</sup> | 6191 | 6057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-36, Class FS, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 06/25/2032<sup>(a)</sup> | 1599 | 1600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-44, Class FJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 04/25/2032<sup>(a)</sup> | 34602 | 35014 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-47, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 11/25/2031<sup>(a)</sup> | $6732 | $6751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-48, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 07/25/2032<sup>(a)</sup> | 19092 | 19319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-49, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 11/18/2031<sup>(a)</sup> | 18991 | 19193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-60, Class FV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 04/25/2032<sup>(a)</sup> | 46266 | 46810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-63, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 10/25/2032 | 4666 | 4845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-64, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/25/2032 | 25816 | 26535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-68, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 10/25/2032<sup>(a)</sup> | 8411 | 8511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-7, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.86%, 01/25/2032<sup>(a)</sup> | 27097 | 27262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-71, Class AQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/25/2032 | 11044 | 10938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-8, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.86%, 03/18/2032<sup>(a)</sup> | 14065 | 14150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-80, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/25/2032 | 113656 | 110421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-9, Class FW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 03/25/2032<sup>(a)</sup> | 6985 | 6997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-91, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 01/25/2033<sup>(a)</sup> | 10119 | 10137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-107, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 11/25/2033<sup>(a)</sup> | 6896 | 6896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-110, Class CK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/25/2033 | 10259 | 10114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-116, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 11/25/2033<sup>(a)</sup> | 12789 | 12771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-119, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/25/2033 | 34461 | 33708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-119, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 12/25/2033<sup>(a)</sup> | 20930 | 20928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-128, Class MF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 01/25/2034<sup>(a)</sup> | 30073 | 30159 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-131, Class CH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/25/2034 | $48317 | $49867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-134, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 12/25/2032<sup>(a)</sup> | 15508 | 15553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-19, Class MB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/25/2031 | 16100 | 15831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-21, Class OG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/25/2033 | 2432 | 2419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-22, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/25/2033 | 16733 | 17350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-27, Class EK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/25/2033 | 13442 | 13754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-30, Class JQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2033 | 14212 | 14573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-32, Class UJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/25/2033 | 23539 | 24512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-41, Class OB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/25/2033 | 89278 | 86965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-41, Class OZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.750%, 05/25/2033 | 135960 | 130022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-42, Class JH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/25/2033 | 33319 | 34435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-46, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/25/2033 | 19813 | 20606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-47, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 06/25/2033 | 22699 | 23685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-64, Class JK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/25/2033 | 21794 | 21496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-64, Class ZC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/25/2033 | 14854 | 15159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-71, Class HD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/25/2033 | 52310 | 53706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-76, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/25/2033 | 77892 | 79492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-94, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 10/25/2033 | 94 | 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-10, Class ZB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 02/25/2034 | 105034 | 109470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-101, Class TB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/25/2035 | 62983 | 65154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-14, Class QB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 03/25/2034 | 94111 | 96592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-17, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/25/2034 | 118388 | 122041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-17, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2034 | 5844 | 5970 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-36, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 05/25/2034<sup>(a)</sup> | $12718 | $12687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-36, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/25/2034 | 46204 | 47350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-53, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 07/25/2034<sup>(a)</sup> | 103228 | 103077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-54, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 07/25/2034<sup>(a)</sup> | 50330 | 50278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-60, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2034 | 10639 | 10640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-68, Class LC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/25/2029 | 13435 | 13590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-77, Class AY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/25/2034 | 9640 | 9751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-82, Class HK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/25/2034 | 27618 | 28908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-92, Class TB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/25/2034 | 50168 | 51886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-110, Class MP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/25/2035 | 7070 | 7260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-120, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.63%, 01/25/2036<sup>(a)</sup> | 12402 | 12388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-122, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/25/2036 | 162679 | 170266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-17, Class EX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 03/25/2035 | 25000 | 24911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-17, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/25/2035 | 29824 | 29716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-29, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2035 | 774660 | 802725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3, Class CH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 02/25/2035 | 53061 | 54690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-35, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/25/2035 | 75073 | 76885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-48, Class TD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/25/2035 | 71711 | 74648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-52, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.91%, 05/25/2035<sup>(a)</sup> | 58627 | 59031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-62, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 07/25/2035 | 268066 | 280747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-64, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/25/2035 | 29735 | 30632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-68, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/25/2035 | 175587 | 181440 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-68, Class BE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 08/25/2035 | $33772 | $34584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-68, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/25/2035 | 13674 | 14053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-69, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/25/2035 | 5743 | 5646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-7, Class MZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 02/25/2035 | 9511 | 9459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-70, Class NA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/25/2035 | 6172 | 6328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-70, Class KP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/25/2035 | 30468 | 31250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-72, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.36%, 08/25/2035<sup>(a)</sup> | 4863 | 4832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-79, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/25/2035 | 49535 | 51641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-84, Class XM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 10/25/2035 | 26498 | 27338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-89, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.41%, 10/25/2035<sup>(a)</sup> | 11087 | 11028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-99, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/25/2035 | 541000 | 550441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-99, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.41%, 11/25/2035<sup>(a)</sup> | 885 | 885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-99, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/25/2035 | 136087 | 138504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-112, Class QC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/25/2036 | 12710 | 13227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-114, Class HE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/25/2036 | 59334 | 61378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-115, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.47%, 12/25/2036<sup>(a)</sup> | 9768 | 9703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-16, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/25/2036 | 171713 | 178049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-39, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 05/25/2036<sup>(a)</sup> | 9498 | 9462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-46, Class UD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/25/2036 | 22096 | 22919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-48, Class TF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 06/25/2036<sup>(a)</sup> | 24905 | 24774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-48, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/25/2036 | 191525 | 200482 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-56, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.41%, 07/25/2036<sup>(a)</sup> | $6241 | $6214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-62, Class FX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.86%, 07/25/2036<sup>(a)</sup> | 123267 | 121645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-63, Class QH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/25/2036 | 21292 | 22163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-70, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 08/25/2036<sup>(a)</sup> | 54225 | 53976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-71, Class ZH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 07/25/2036 | 26051 | 27432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-95, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 10/25/2036<sup>(a)</sup> | 48397 | 48211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-100, Class YF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 10/25/2037<sup>(a)</sup> | 10873 | 10865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-109, Class GF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.79%, 12/25/2037<sup>(a)</sup> | 30986 | 31088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-111, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 12/25/2037<sup>(a)</sup> | 19455 | 19485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-117, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.81%, 01/25/2038<sup>(a)</sup> | 119243 | 119797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-12, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 03/25/2037 | 297334 | 301671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-12, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 03/25/2037 | 91476 | 93181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-14, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/25/2037 | 107233 | 111565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-18, Class MZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 03/25/2037 | 113234 | 119674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-22, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.53%, 03/25/2037<sup>(a)</sup> | 14728 | 14628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-26, Class ZB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2037 | 150279 | 156723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-30, Class MB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.250%, 04/25/2037 | 33856 | 33894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-33, Class HE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2037 | 27440 | 28547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-34, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.50%, 04/25/2037<sup>(a)</sup> | 16049 | 15936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-41, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 05/25/2037<sup>(a)</sup> | 4969 | 4951 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-51, Class CP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/25/2037 | $15494 | $15915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-51, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/25/2037 | 13504 | 13451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-55, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/25/2047 | 214126 | 227989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-57, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.34%, 06/25/2037<sup>(a)</sup> | 12378 | 12287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-6, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.53%, 02/25/2037<sup>(a)</sup> | 29659 | 29465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-63, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 07/25/2037<sup>(a)</sup> | 12507 | 12408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-63, Class VZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/25/2037 | 115520 | 120325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-65, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/25/2037 | 495663 | 516310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-65, Class KF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.49%, 07/25/2037<sup>(a)</sup> | 39725 | 39447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-70, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 07/25/2037<sup>(a)</sup> | 17184 | 17056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-77, Class JE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/25/2037 | 249783 | 263810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-85, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.65%, 09/25/2037<sup>(a)</sup> | 65303 | 65307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-85, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.65%, 09/25/2037<sup>(a)</sup> | 18105 | 18085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-86, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 09/25/2037<sup>(a)</sup> | 18008 | 17965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-9, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 03/25/2037<sup>(a)</sup> | 16238 | 16107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-18, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.01%, 03/25/2038<sup>(a)</sup> | 107716 | 108899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-24, Class WD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/25/2038 | 138216 | 140085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-25, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.06%, 04/25/2038<sup>(a)</sup> | 26927 | 27257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-27, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2038 | 464905 | 488253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-46, Class LA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/25/2038 | 8533 | 8891 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-66, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.06%, 08/25/2038<sup>(a)</sup> | $15868 | $16074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-86, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.21%, 12/25/2038<sup>(a)</sup> | 108597 | 110228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-103, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.81%, 11/25/2039<sup>(a)</sup> | 20798 | 20861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-104, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.91%, 12/25/2039<sup>(a)</sup> | 27501 | 27735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-11, Class MP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 03/25/2049 | 84022 | 91169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-110, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.86%, 01/25/2040<sup>(a)</sup> | 48528 | 48763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-111, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 03/25/2038 | 99212 | 101687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-12, Class LA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14.422%, 03/25/2039<sup>(a)</sup> | 218406 | 260180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-12, Class LD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16.545%, 03/25/2039<sup>(a)</sup> | 286390 | 387711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-19, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 04/25/2039 | 318705 | 336337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-36, Class MX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/25/2039 | 58000 | 59801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-39, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/25/2039 | 1640652 | 1736431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-42, Class TZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/25/2039 | 182509 | 177410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-47, Class BN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/25/2039 | 20989 | 21239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-62, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.585%, 08/25/2039<sup>(a)</sup> | 48382 | 48939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-68, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.36%, 09/25/2039<sup>(a)</sup> | 36169 | 37038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-70, Class CO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 01/25/2037<sup>(b)</sup> | 53463 | 44495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-70, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.31%, 09/25/2039<sup>(a)</sup> | 18976 | 19426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-86, Class OT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 10/25/2037<sup>(b)</sup> | 19635 | 16936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-87, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.86%, 11/25/2039<sup>(a)</sup> | 26618 | 26707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-90, Class UZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/25/2039 | 687471 | 668750 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-1, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.273%, 02/25/2040<sup>(a)</sup> | $8356 | $8500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-1, Class EL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/25/2040 | 216119 | 216387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-102, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/25/2040 | 191050 | 191196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-102, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/25/2050 | 49242 | 46979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-103, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/25/2040 | 243831 | 242020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-103, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/25/2040 | 21922 | 22131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-111, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.63%, 10/25/2040<sup>(a)</sup> | 32397 | 32300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-118, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 10/25/2040 | 29971 | 30372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-122, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 07/25/2040 | 11458 | 11714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-123, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.54%, 11/25/2040<sup>(a)</sup> | 11162 | 11115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-123, Class KU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/25/2040 | 163486 | 163099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-129, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/25/2040 | 38286 | 37043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-130, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/25/2040 | 862698 | 862152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-14, Class FJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 03/25/2040<sup>(a)</sup> | 32906 | 32929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-141, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/25/2040 | 770515 | 759175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-141, Class MN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/25/2040 | 90000 | 87316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-141, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.58%, 12/25/2040<sup>(a)</sup> | 30897 | 30748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-141, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/25/2040 | 241731 | 238396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-142, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.58%, 12/25/2040<sup>(a)</sup> | 10231 | 10180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-154, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/25/2040 | 208496 | 202051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-16, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 03/25/2040 | 71000 | 73043 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-19, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 03/25/2040 | 205367 | 210276 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-33, Class KN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/25/2040 | $12630 | $12620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-37, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/25/2040 | 22175 | 22768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-39, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.63%, 06/25/2037<sup>(a)</sup> | 23694 | 23687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-45, Class WD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/25/2040 | 180000 | 185437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-54, Class LX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/25/2040 | 263955 | 265293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-58, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.84%, 06/25/2040<sup>(a)</sup> | 33424 | 33571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-64, Class DM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/25/2040 | 15477 | 15725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-67, Class BD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/25/2040 | 457778 | 460362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-68, Class WB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/25/2040 | 85000 | 85137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-82, Class WZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/25/2040 | 190695 | 194865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-9, Class ME, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/25/2040 | 656290 | 674352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-114, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 11/25/2041 | 118571 | 113519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-118, Class KL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 07/25/2040 | 40939 | 40450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-121, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/25/2041 | 86911 | 86275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-128, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/25/2041 | 800000 | 796809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-130, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/25/2041 | 25875 | 24799 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-132, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/25/2041 | 99476 | 99492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-145, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/25/2041 | 4747 | 4733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-148, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/25/2042 | 425000 | 412239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-15, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.62%, 03/25/2041<sup>(a)</sup> | 19841 | 19795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-17, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/25/2041 | 3935 | 3877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-26, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 04/25/2041 | 64510 | 65249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-27, Class ZD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 09/25/2040 | 176703 | 165738 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.79%, 02/25/2041<sup>(a)</sup> | $109340 | $109641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-30, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/25/2041 | 771698 | 791590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-43, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/25/2031 | 10603 | 10446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-45, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/25/2031 | 9244 | 9227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-47, Class GF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.68%, 06/25/2041<sup>(a)</sup> | 67364 | 67358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-5, Class PO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 09/25/2040<sup>(b)</sup> | 6482 | 4853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-55, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/25/2041 | 333947 | 319168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-74, Class UB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 07/25/2040 | 121008 | 113807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-86, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 02/25/2040<sup>(a)</sup> | 13398 | 13392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-86, Class NF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 09/25/2041<sup>(a)</sup> | 59520 | 59467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-93, Class ST, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/25/2041 | 14302 | 14164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-93, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/25/2039 | 7403 | 7287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-100, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/25/2042 | 689351 | 630036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-103, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/25/2042 | 180000 | 159109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-106, Class QN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/25/2042 | 49007 | 46124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-108, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2042 | 474926 | 434203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-110, Class JB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/25/2042 | 204000 | 158149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-111, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 10/25/2042 | 54088 | 58613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-112, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2042 | 135565 | 125616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-115, Class DY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/25/2042 | 225000 | 182564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-120, Class AH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 02/25/2032 | 2222 | 2212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-125, Class GY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 11/25/2042 | 621000 | 513463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-126, Class TA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2042 | 130109 | 121057 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-128, Class NP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 11/25/2042 | $8142 | $5584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-129, Class HT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/25/2032 | 28713 | 26231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-13, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/25/2042 | 187888 | 187381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-131, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 09/25/2042<sup>(a)</sup> | 33296 | 32946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-137, Class CF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.41%, 08/25/2041<sup>(a)</sup> | 2415 | 2413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-139, Class GB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 12/25/2042 | 210538 | 147499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-139, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/25/2042 | 235000 | 182024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-141, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 10/25/2041 | 53517 | 51196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-149, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/25/2041 | 36149 | 35606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-149, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 01/25/2043 | 14086 | 13218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-149, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/25/2043 | 74767 | 72443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-151, Class NX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 01/25/2043 | 255763 | 224774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-151, Class WC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/25/2043 | 249000 | 188531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-152, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 01/25/2043 | 36320 | 35365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-153, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 07/25/2042 | 18943 | 20794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-17, Class JB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/25/2042 | 200000 | 171785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-17, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/25/2041 | 221128 | 212015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-19, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/25/2042 | 192126 | 184232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-20, Class TD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/25/2042 | 14285 | 14260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-26, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/25/2042 | 100023 | 95491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-27, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 03/25/2042 | 150407 | 119002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-33, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.63%, 04/25/2042<sup>(a)</sup> | 21114 | 21059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-37, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 12/25/2035<sup>(a)</sup> | 33408 | 33364 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-38, Class MC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/25/2042 | $147000 | $126195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-46, Class YB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/25/2042 | 61440 | 58230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-46, Class CD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/25/2041 | 1294 | 1289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-47, Class JM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/25/2042 | 140340 | 127594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-47, Class HF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 05/25/2027<sup>(a)</sup> | 4411 | 4411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-50, Class HC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 03/25/2042 | 73156 | 69225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-51, Class ZX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/25/2042 | 2180421 | 1784566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-51, Class HJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/25/2042 | 364384 | 322003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-52, Class BM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 01/25/2042 | 336449 | 335119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-56, Class UB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 06/25/2042 | 410930 | 391616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-56, Class WB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/25/2042 | 55389 | 53686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-69, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/25/2042 | 52179 | 51422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-70, Class WC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/25/2042 | 172000 | 146312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-80, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/25/2042 | 324371 | 301330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-82, Class E, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 04/25/2042 | 14081 | 13627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-83, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/25/2042 | 85000 | 77777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-90, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/25/2042 | 46307 | 44784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-90, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/25/2042 | 208382 | 202105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-93, Class TL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/25/2042 | 420000 | 364398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-98, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 09/25/2042 | 781275 | 832655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-99, Class DC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 08/25/2041 | 75633 | 72544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-104, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 10/25/2043 | 50000 | 51349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-108, Class GU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2033 | 24933 | 24159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-114, Class LM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/25/2042 | 173637 | 170704 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-130, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 01/25/2044<sup>(a)</sup> | $25747 | $25567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-136, Class QB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/25/2042 | 136377 | 130199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-17, Class YM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/25/2033 | 8038 | 8015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-2, Class QF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 02/25/2043<sup>(a)</sup> | 8738 | 8699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-20, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/25/2043 | 152288 | 137610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-35, Class CV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/25/2043 | 200000 | 194777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 02/25/2043 | 120000 | 91811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-52, Class GM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/25/2043 | 89000 | 86992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-68, Class LE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 04/25/2043 | 55552 | 51809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-68, Class P, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/25/2042 | 75301 | 73635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-70, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/25/2043 | 127384 | 120254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-72, Class YA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/25/2033 | 2612 | 2463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-81, Class YK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/25/2043 | 200000 | 191126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-9, Class BC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 07/25/2042 | 160458 | 171009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-9, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/25/2042 | 328667 | 340317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-91, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/25/2043 | 140000 | 131202 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-10, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.347%, 03/25/2054<sup>(a)</sup> | 203930 | 211915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-20, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/25/2036 | 427 | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-21, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/25/2041 | 37262 | 36289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-23, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/25/2044 | 636723 | 585198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-23, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/25/2044 | 407017 | 383751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-26, Class YW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/25/2044 | 50538 | 49651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-3, Class BM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 06/25/2043 | 36224 | 34537 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-43, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/25/2043 | $249037 | $212734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-49, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/25/2044 | 50966 | 49779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-52, Class LM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/25/2044 | 1089776 | 986368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-63, Class LN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2044 | 125000 | 101825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-73, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 11/25/2044<sup>(a)</sup> | 10280 | 10136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-80, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/25/2044 | 2916848 | 2691387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-81, Class GC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/25/2038 | 9669 | 9585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-86, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/25/2044 | 686630 | 614639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-88, Class ER, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 02/25/2036 | 11457 | 11183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-16, Class ZY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/25/2045 | 11093657 | 9699115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-2, Class CD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/25/2045 | 162467 | 139100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-51, Class CD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/25/2044 | 62884 | 61581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-53, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/25/2045 | 625601 | 579462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-56, Class MH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/25/2045 | 852391 | 790388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-65, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/25/2045 | 143915 | 126555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-75, Class LB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2045 | 125000 | 95427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-96, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/25/2026 | 36976 | 36769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-14, Class NC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/25/2046 | 67542 | 65292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-2, Class BH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.700%, 07/25/2045 | 144620 | 136151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-23, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/25/2045 | 298685 | 257004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-27, Class HK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/25/2041 | 184533 | 178560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-31, Class TM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/25/2045 | 360000 | 329586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-33, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/25/2045 | 101803 | 97496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-33, Class LE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 11/25/2033 | 24559 | 23506 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-48, Class UF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 08/25/2046<sup>(a)</sup> | $43852 | $43643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-52, Class MZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/25/2046 | 265858 | 209308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-55, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 07/25/2043 | 698766 | 607768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-57, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 06/25/2046 | 190314 | 164096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-75, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 10/25/2046<sup>(a)</sup> | 22877 | 22756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-8, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/25/2046 | 778689 | 740811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-83, Class KL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 11/25/2046 | 132401 | 92169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-85, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 11/25/2046 | 5543 | 3846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-9, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/25/2046 | 24344 | 22504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-9, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 06/25/2045 | 114242 | 108651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-1, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/25/2045 | 54727 | 54313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-10, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 03/25/2047<sup>(a)</sup> | 17816 | 17715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-100, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/25/2047 | 115737 | 106479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-110, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/25/2057 | 140000 | 106673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-15, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/25/2046 | 33792 | 32932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-19, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/25/2047 | 175095 | 162217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-25, Class QE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/25/2047 | 124417 | 107941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-35, Class AH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/25/2053 | 3806 | 3792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-38, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/25/2047 | 100304 | 91828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-46, Class P, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/25/2047 | 2159967 | 1993943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-56, Class BY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/25/2047 | 128765 | 108858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-56, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/25/2045 | 51993 | 50856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-68, Class HQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/25/2046 | 629432 | 597496 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-84, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.750%, 10/25/2047 | $105581 | $94060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-90, Class WB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/25/2047 | 1119992 | 914506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-96, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/25/2054 | 80895 | 79399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-99, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/25/2047 | 121220 | 111642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-15, Class KG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/25/2048 | 85290 | 73734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-19, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/25/2046 | 21120 | 20770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-2, Class HD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/25/2047 | 11079 | 10881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-25, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/25/2048 | 187296 | 172114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-38, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/25/2047 | 45673 | 45089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-39, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.36%, 11/25/2033<sup>(a)</sup> | 59171 | 58665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-41, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 06/25/2048 | 1060750 | 896101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-43, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.36%, 09/25/2038<sup>(a)</sup> | 65144 | 64520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-45, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/25/2048 | 29787 | 26932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-5, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/25/2047 | 32656 | 30995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-50, Class DY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2047 | 394550 | 366378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-56, Class CH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/25/2048 | 24661 | 22298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-6, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/25/2048 | 154058 | 139577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-60, Class KL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/25/2048 | 96000 | 86223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-67, Class DY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/25/2048 | 304029 | 276141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-70, Class HB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/25/2058 | 314994 | 279038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-74, Class AB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/25/2048 | 261688 | 246054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-8, Class KL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/25/2047 | 208814 | 192337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-83, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 11/25/2048 | 119817 | 108896 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-83, Class LH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/25/2048 | $15473 | $14785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-9, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/25/2048 | 395045 | 367473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-94, Class KD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/25/2048 | 38125 | 35032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-94, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 01/25/2049 | 210312 | 163183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-10, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/25/2049 | 57610 | 52028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-11, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/25/2048 | 163729 | 156206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-12, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 11/25/2057 | 207542 | 201626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-13, Class MH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/25/2049 | 259395 | 239258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-34, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/25/2049 | 122864 | 64093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-45, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/25/2049 | 188994 | 173463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-50, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.750%, 09/25/2049 | 186260 | 86708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-55, Class MQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/25/2049 | 499107 | 458613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-60, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 10/25/2049<sup>(a)</sup> | 10249 | 10066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-65, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 11/25/2049 | 373844 | 323647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-75, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2049 | 416045 | 376861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-81, Class LB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 12/25/2049 | 420422 | 349992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-82, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/25/2050 | 361615 | 310805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-10, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/25/2050 | 208683 | 180289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-11, Class JW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/25/2050 | 237000 | 181885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-36, Class GD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/25/2037 | 94690 | 87686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-45, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 07/25/2050 | 259992 | 111792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-47, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/25/2050 | 223607 | 137073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-73, Class ED, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.815%, 11/25/2049<sup>(a)</sup> | 691457 | 512430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-12, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 07/25/2050 | 109914 | 81536 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-15, Class JB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.250%, 04/25/2051 | $120361 | $48358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-17, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 04/25/2051 | 165572 | 81315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-43, Class JC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 05/25/2051 | 111600 | 93235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-47, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 07/25/2051 | 687737 | 557674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-47, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 07/25/2051 | 687737 | 547124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-59, Class H, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 06/25/2048 | 196921 | 166860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-6, Class KU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 02/25/2051 | 181291 | 105360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-66, Class HU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 10/25/2051 | 259997 | 126017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-66, Class JG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 10/25/2051 | 449768 | 375758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-68, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/25/2049 | 2212699 | 1841574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-69, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 04/25/2049 | 277759 | 236393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-72, Class NL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 10/25/2051 | 316302 | 205814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-72, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 10/25/2051 | 140000 | 62491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-8, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 03/25/2051 | 485144 | 251006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-80, Class KE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 11/25/2051 | 184846 | 154000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-17, Class GV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/25/2052 | 3569000 | 2590320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-37, Class QL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 07/25/2052 | 1683000 | 1651226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-4, Class CK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 04/25/2051 | 103750 | 57768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-43, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/25/2052 | 263116 | 260561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-43, Class AN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.250%, 07/25/2052 | 240932 | 194925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-64, Class GM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/25/2052 | 3161000 | 2852975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-68, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 10/25/2052 | 666334 | 657014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-81, Class DO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 11/25/2052<sup>(b)</sup> | 1474278 | 714988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-88, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/25/2052 | 4750102 | 5006205 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-90, Class AY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/25/2041 | $180000 | $180329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-12, Class GB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/25/2045 | 4136849 | 4218204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-19, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/25/2053 | 6198009 | 6084781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-42, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 07/25/2045 | 12926927 | 13185080 |
|  |  | 109501025 |
| Fannie Mae Grantor Trust 2002-T12 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-T12, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/25/2042 | 113441 | 118100 |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-1935, Class FK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.81%, 02/15/2027<sup>(a)</sup> | 690 | 691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1997-1980, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 07/15/2027 | 3850 | 3873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1998-2034, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 02/15/2028 | 3857 | 3922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1998-2035, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.950%, 03/15/2028 | 917 | 927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1998-2053, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 04/15/2028 | 4195 | 4238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1998-2060, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/15/2028 | 1901 | 1932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1998-2095, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 11/15/2028 | 4393 | 4474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1998-2102, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/15/2028 | 12251 | 12482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1999-2115, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 01/15/2029<sup>(a)</sup> | 2020 | 2020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1999-2126, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.250%, 02/15/2029 | 2626 | 2653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1999-2137, Class TH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 03/15/2029 | 1486 | 1515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1999-2154, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/15/2029 | 40755 | 41296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2000-2224, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.000%, 03/15/2030 | 4818 | 5007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2274, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 01/15/2031 | 2829 | 2873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2279, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/15/2031 | 3371 | 3427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2320, Class FI, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 09/15/2029<sup>(a)</sup> | 9894 | 9901 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2322, Class FV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 06/15/2030<sup>(a)</sup> | $11069 | $11078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2324, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 06/15/2031 | 65010 | 67928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2334, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/15/2028 | 19539 | 19793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2341, Class FP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.01%, 07/15/2031<sup>(a)</sup> | 12778 | 12887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2367, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.64%, 06/15/2031<sup>(a)</sup> | 10848 | 10863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2372, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 10/15/2031<sup>(a)</sup> | 5487 | 5490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2388, Class FR, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.76%, 06/15/2031<sup>(a)</sup> | 9291 | 9326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2388, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 01/15/2029<sup>(a)</sup> | 6974 | 6987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2391, Class HF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 06/15/2031<sup>(a)</sup> | 3723 | 3730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2396, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 12/15/2031<sup>(a)</sup> | 3325 | 3325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-2396, Class FN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.76%, 12/15/2031<sup>(a)</sup> | 65621 | 65880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2411, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 02/15/2032<sup>(a)</sup> | 6582 | 6590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2412, Class OF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.06%, 12/15/2031<sup>(a)</sup> | 14557 | 14710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2417, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 12/15/2031<sup>(a)</sup> | 4356 | 4368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2424, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 03/15/2032<sup>(a)</sup> | 20730 | 20730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2430, Class WF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 03/15/2032 | 4169 | 4379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2433, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.06%, 02/15/2032<sup>(a)</sup> | 15236 | 15394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2460, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 03/15/2032<sup>(a)</sup> | 31380 | 31035 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2466, Class FV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 03/15/2032<sup>(a)</sup> | $28222 | $28273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2470, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 03/15/2032<sup>(a)</sup> | 33641 | 34034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2478, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 02/15/2032<sup>(a)</sup> | 9496 | 9607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2481, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 03/15/2032<sup>(a)</sup> | 9506 | 9617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2488, Class FU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 03/15/2032<sup>(a)</sup> | 32182 | 32274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2494, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.16%, 06/15/2031<sup>(a)</sup> | 14412 | 14577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2495, Class ZB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/15/2032 | 18814 | 18586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2510, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 10/15/2032<sup>(a)</sup> | 838 | 838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2513, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 02/15/2032<sup>(a)</sup> | 25384 | 25679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2516, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 02/15/2032<sup>(a)</sup> | 24123 | 24403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2517, Class FR, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 10/15/2032<sup>(a)</sup> | 17262 | 17231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2524, Class DH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 11/15/2032 | 21570 | 22481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2525, Class NU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2032 | 39678 | 39788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2535, Class AW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/15/2032 | 5065 | 5227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2538, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 12/15/2032<sup>(a)</sup> | 73640 | 73850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2541, Class BL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/15/2032 | 21195 | 21875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2554, Class MN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/15/2033 | 24441 | 24993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2557, Class HL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.300%, 01/15/2033 | 79460 | 80604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2557, Class NU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 03/15/2032 | 27373 | 27750 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2557, Class WF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 01/15/2033<sup>(a)</sup> | $17814 | $17791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2568, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/15/2033 | 21787 | 22561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2571, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.86%, 12/15/2032<sup>(a)</sup> | 10948 | 11019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2577, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 02/15/2033<sup>(a)</sup> | 49056 | 49085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2587, Class FW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.58%, 03/15/2033<sup>(a)</sup> | 18737 | 18731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2590, Class OZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/15/2033 | 125192 | 123047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2614, Class FV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.61%, 05/15/2033<sup>(a)</sup> | 128062 | 130785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2624, Class QH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/15/2033 | 7031 | 7209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2626, Class ZX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/15/2033 | 232989 | 232340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2627, Class CN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/15/2033 | 20886 | 21419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2631, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/15/2033 | 142744 | 145619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2647, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 04/15/2032 | 33096 | 32620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2648, Class WZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/15/2033 | 307303 | 311312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2668, Class LH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/15/2033 | 12792 | 13120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2707, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.76%, 04/15/2032<sup>(a)</sup> | 39208 | 39357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2711, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 11/15/2033<sup>(a)</sup> | 73876 | 74891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2717, Class LH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/15/2033 | 3527 | 3682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-2725, Class TA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/15/2033 | 108322 | 109545 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2750, Class TC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 02/15/2034 | 1719 | 1760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2768, Class PW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.250%, 03/15/2034 | 95515 | 95514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2802, Class OH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 05/15/2034 | 4764 | 4920 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2835, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/15/2034 | $22159 | $22935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2835, Class TB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/15/2034 | 234802 | 236259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2896, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 11/15/2034 | 44427 | 45452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-2901, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/15/2034 | 60627 | 62219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2916, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/15/2035 | 99330 | 102672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2927, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/15/2035 | 3703 | 3754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2929, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/15/2035 | 22442 | 23058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2933, Class HD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/15/2035 | 9803 | 10094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2942, Class ZN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/15/2035 | 544628 | 554242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2953, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/15/2035 | 10998 | 11464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2962, Class KF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.31%, 04/15/2035<sup>(a)</sup> | 4123 | 4104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2973, Class GE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/15/2035 | 243000 | 252355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2980, Class QA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 05/15/2035 | 20665 | 21687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2996, Class GX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/15/2035 | 61633 | 64024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3012, Class WZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/15/2035 | 273116 | 278784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3012, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 08/15/2035 | 46175 | 48325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3028, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/15/2035 | 22149 | 22743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3028, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/15/2035 | 1008277 | 1023413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3028, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.36%, 09/15/2035<sup>(a)</sup> | 4651 | 4624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3033, Class WY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/15/2035 | 48989 | 50824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3036, Class NE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/15/2035 | 59828 | 61548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3042, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 09/15/2035 | 182989 | 193485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3052, Class WH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/15/2035 | 11461 | 11948 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3059, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/15/2035 | $54596 | $55864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3062, Class DE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/15/2035 | 79045 | 82767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3068, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/15/2035 | 90931 | 94776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3070, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 11/15/2035<sup>(a)</sup> | 6973 | 6952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3072, Class NF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 11/15/2035<sup>(a)</sup> | 22679 | 22647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3085, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.91%, 08/15/2035<sup>(a)</sup> | 26015 | 26241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3098, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/15/2036 | 41057 | 42371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3122, Class OH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 03/15/2036<sup>(b)</sup> | 11250 | 9876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3136, Class KF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.41%, 04/15/2036<sup>(a)</sup> | 6529 | 6495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3137, Class XP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/15/2036 | 13340 | 14071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3143, Class BC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/15/2036 | 59356 | 61748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3145, Class FN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.54%, 04/15/2036<sup>(a)</sup> | 7252 | 7222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3148, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/15/2036 | 12255 | 12937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3153, Class UG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.56%, 05/15/2036<sup>(a)</sup> | 14440 | 14405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3154, Class PN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/15/2036 | 40307 | 42361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3201, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 08/15/2036<sup>(a)</sup> | 56842 | 56907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3202, Class HF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 08/15/2036<sup>(a)</sup> | 23522 | 23403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3203, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/15/2036 | 122314 | 125237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3204, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/15/2034 | 55958 | 57529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3206, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 08/15/2036<sup>(a)</sup> | 22813 | 22690 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3235, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 11/15/2036 | $714574 | $762810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3236, Class EF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.41%, 11/15/2036<sup>(a)</sup> | 6898 | 6840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3237, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/15/2036 | 117018 | 119633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3240, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.22%, 11/15/2036<sup>(a)</sup> | 119259 | 116656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-3249, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.250%, 12/15/2036 | 225516 | 225127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3279, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.43%, 02/15/2037<sup>(a)</sup> | 47071 | 46631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3284, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/15/2037 | 7764 | 7677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3301, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.53%, 04/15/2037<sup>(a)</sup> | 11854 | 11785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3311, Class DF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.45%, 05/15/2037<sup>(a)</sup> | 65392 | 64848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3312, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/15/2037 | 9524 | 9940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3316, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.41%, 08/15/2035<sup>(a)</sup> | 18448 | 18315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3349, Class HG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/15/2037 | 10903 | 11376 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3361, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 11/15/2036<sup>(a)</sup> | 42166 | 41872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3367, Class YF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 09/15/2037<sup>(a)</sup> | 12258 | 12248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3368, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.83%, 09/15/2037<sup>(a)</sup> | 38298 | 38477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3378, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.69%, 06/15/2037<sup>(a)</sup> | 20196 | 20214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3380, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.70%, 10/15/2037<sup>(a)</sup> | 51329 | 51365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3382, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.71%, 11/15/2037<sup>(a)</sup> | 27656 | 27687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3382, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.81%, 11/15/2037<sup>(a)</sup> | 42110 | 42303 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3387, Class PF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.53%, 11/15/2037<sup>(a)</sup> | $16163 | $16092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-3388, Class FJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.81%, 11/15/2037<sup>(a)</sup> | 77211 | 77521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3404, Class DC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/15/2038 | 285000 | 296228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3405, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/15/2038 | 29194 | 29982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3409, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/15/2038 | 74461 | 78813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3411, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.81%, 02/15/2038<sup>(a)</sup> | 12704 | 12763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3415, Class DF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.81%, 08/15/2035<sup>(a)</sup> | 54002 | 54250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3415, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/15/2037 | 21819 | 22344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3415, Class TF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.85%, 08/15/2035<sup>(a)</sup> | 26747 | 26904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3450, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/15/2038 | 35368 | 36200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-3469, Class CF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.90%, 07/15/2038<sup>(a)</sup> | 11988 | 11364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3536, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 05/15/2039<sup>(a)</sup> | 15097 | 15324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3539, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/15/2029 | 29882 | 30022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3545, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.96%, 06/15/2039<sup>(a)</sup> | 37579 | 37968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3548, Class ZE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/15/2032 | 76276 | 78375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3549, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.31%, 07/15/2039<sup>(a)</sup> | 13379 | 13693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3564, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/15/2039 | 225249 | 231627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3574, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/15/2039 | 46996 | 48229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3584, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.81%, 12/15/2036<sup>(a)</sup> | 16383 | 16467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3587, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/15/2039 | 69461 | 70043 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3588, Class CW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.645%, 10/15/2037<sup>(a)</sup> | $181442 | $189116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3604, Class PO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 05/15/2036<sup>(b)</sup> | 37763 | 32301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3605, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.97%, 11/15/2039<sup>(a)</sup> | 85070 | 85959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3606, Class ZC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2036 | 557354 | 571191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-3611, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.86%, 07/15/2034<sup>(a)</sup> | 6731 | 6768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3620, Class EL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/15/2030 | 7848 | 7824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3622, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/15/2040 | 258489 | 266028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3626, Class ME, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/15/2040 | 351158 | 361752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3631, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/15/2040 | 108816 | 107684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3653, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 04/15/2030 | 25158 | 25293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3656, Class PM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2040 | 92890 | 95618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3662, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2040 | 118415 | 121809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3664, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/15/2037 | 35121 | 35071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3747, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/15/2040 | 242037 | 239207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3747, Class CY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/15/2040 | 194471 | 196269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3770, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/15/2040 | 313891 | 317375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3770, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/15/2040 | 6459049 | 6309175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-3778, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/15/2040 | 6967 | 6952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3798, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/15/2041 | 36349 | 35914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3800, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 02/15/2041<sup>(a)</sup> | 12988 | 12962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3819, Class ZQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/15/2036 | 9617 | 10140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3822, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 02/15/2033<sup>(a)</sup> | 12922 | 12904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3825, Class BP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/15/2041 | 62908 | 61249 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3843, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 04/15/2041<sup>(a)</sup> | $29794 | $29732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3843, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2041 | 414446 | 424377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3844, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2041 | 195000 | 200672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3852, Class QN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26.79629% - 30D US SOFR, 05/15/2041<sup>(a)</sup> | 26005 | 25072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3852, Class TP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27.08024% - 30D US SOFR, 05/15/2041<sup>(a)</sup> | 16690 | 16509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3857, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/15/2041 | 1050285 | 1073053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3862, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/15/2041 | 44716 | 45571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3891, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 07/15/2041<sup>(a)</sup> | 24967 | 24917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3894, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/15/2041 | 316542 | 314389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3905, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/15/2041 | 184833 | 149991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3919, Class DL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/15/2030 | 298000 | 296681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3934, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 10/15/2041 | 458906 | 474383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3935, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/15/2041 | 1211913 | 1195016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3939, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/15/2041 | 267274 | 260523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3939, Class BZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/15/2041 | 546911 | 543614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3940, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/15/2041 | 211021 | 205290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3957, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/15/2041 | 553022 | 527403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3958, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/15/2041 | 126500 | 128213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3959, Class MB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/15/2041 | 44199 | 40370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3963, Class JB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/15/2041 | 70952 | 71615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3968, Class LA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/15/2041 | 5519 | 5459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3969, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/15/2041 | 10501 | 10500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3978, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/15/2041 | 1692669 | 1605360 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3984, Class DF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.66%, 01/15/2042<sup>(a)</sup> | $21700 | $21653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3989, Class JW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 01/15/2042 | 138784 | 133174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3994, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/15/2042 | 871671 | 831817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3997, Class EC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/15/2042 | 59120 | 52178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-3997, Class FQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 02/15/2042<sup>(a)</sup> | 28410 | 28262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4001, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.61%, 02/15/2042<sup>(a)</sup> | 19122 | 18974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4010, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.11%, 03/15/2042<sup>(a)</sup> | 239601 | 239977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4011, Class DC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/15/2041 | 151915 | 149349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4011, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/15/2041 | 148421 | 145919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4012, Class GC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/15/2040 | 727 | 726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4020, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/15/2027 | 1179 | 1172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4037, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2027 | 16968 | 16886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4039, Class LT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/15/2042 | 113000 | 99377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4048, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/15/2042 | 611000 | 592107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4050, Class ND, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 09/15/2041 | 1332 | 1329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4062, Class MZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/15/2042 | 384811 | 366771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4064, Class AY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/15/2027 | 12482 | 12420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4068, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/15/2042 | 288995 | 268884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4075, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/15/2042 | 75832 | 70795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4077, Class BE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 07/15/2042 | 130000 | 122897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4088, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/15/2042 | 110147 | 100532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4094, Class CW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 08/15/2042 | 107721 | 91968 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4097, Class UF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 08/15/2032<sup>(a)</sup> | $27113 | $27092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4097, Class CU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 08/15/2027 | 23141 | 22689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4101, Class QN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/15/2042 | 299651 | 274940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4102, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/15/2042 | 150000 | 138356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4104, Class AJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 09/15/2027 | 3513 | 3456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4116, Class YB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 05/15/2042 | 132000 | 112510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4120, Class TC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 10/15/2027 | 1661 | 1633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4122, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.815%, 05/15/2040<sup>(a)(c)</sup> | 103246 | 97785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4133, Class TA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/15/2042 | 308106 | 258173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4141, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 12/15/2042 | 274000 | 199154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4160, Class HB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 12/15/2032 | 14094 | 13445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4161, Class LT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 08/15/2042 | 237741 | 223139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4170, Class FW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.06%, 01/15/2033<sup>(a)</sup> | 6281 | 6237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4171, Class MN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/15/2043 | 144000 | 110755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4176, Class YD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2043 | 50000 | 42867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4183, Class ME, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 02/15/2042 | 214634 | 208937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4185, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2043 | 347378 | 329642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4203, Class DJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/15/2033 | 15245 | 14928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4204, Class QP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/15/2043 | 153000 | 132152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4218, Class DG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/15/2042 | 79183 | 74790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4220, Class EH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 06/15/2028 | 1353 | 1346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4231, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 10/15/2032<sup>(a)</sup> | 5314 | 5312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4246, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/15/2043 | 493003 | 467813 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4265, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 01/15/2035<sup>(a)</sup> | $32485 | $32336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-4283, Class EW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 12/15/2043<sup>(a)</sup> | 146352 | 147524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4293, Class NM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/15/2043 | 12235 | 12130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4294, Class PF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 01/15/2044<sup>(a)</sup> | 10521 | 10383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4319, Class PM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2043 | 25722 | 25421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4320, Class AP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/15/2039 | 77611 | 76533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4324, Class AY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2029 | 449470 | 446078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4368, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.125%, 06/15/2041<sup>(d)</sup> | 1111007 | 1116676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4370, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 09/15/2041 | 1710 | 1704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4403, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/15/2044 | 161395 | 96514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-4419, Class DC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/15/2044 | 240000 | 207247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4457, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2045 | 63918 | 57394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4459, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/15/2034 | 5838 | 5947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4461, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/15/2037 | 15879 | 15761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4498, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/15/2037 | 77368 | 71121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4508, Class UZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/15/2043 | 57665 | 47129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4555, Class CP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2045 | 247422 | 241308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4582, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/15/2045 | 88188 | 83881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4583, Class UP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/15/2045 | 114411 | 108832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4590, Class AK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/15/2027 | 4765 | 4756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4601, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/15/2045 | 118307 | 75935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4613, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 1.21%, 11/15/2037<sup>(a)</sup> | 64363 | 65301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4629, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/15/2046 | 1000000 | 846851 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4639, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 04/15/2053<sup>(d)</sup> | $1175870 | $989612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4656, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/15/2047 | 327283 | 314670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4670, Class TY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2047 | 346000 | 284233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4672, Class QD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/15/2045 | 14832 | 14696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4680, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2046 | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4707, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/15/2047 | 134351 | 85539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4710, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2045 | 53329 | 52677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4714, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/15/2047 | 950225 | 877478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4736, Class CL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/15/2047 | 154734 | 136526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-4748, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/15/2045 | 3000 | 2991 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4767, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/15/2047 | 39299 | 23122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4773, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/15/2048 | 140044 | 134205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4787, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/15/2048 | 35077 | 33898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4808, Class DG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/15/2045 | 30058 | 29994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4813, Class CJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/15/2048 | 174667 | 155115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4818, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/15/2048 | 328759 | 297557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4821, Class YZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/15/2042 | 1748114 | 1633952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4821, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/15/2048 | 312216 | 283614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4839, Class AE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/15/2051 | 184873 | 183210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4846, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 06/15/2047 | 633 | 632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4863, Class AJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/15/2038 | 31758 | 30995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4863, Class H, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 03/15/2049 | 112738 | 121133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4896, Class BD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/25/2049 | 1062753 | 932432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4911, Class HG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.250%, 04/15/2049 | 1342237 | 1144186 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-4926, Class BP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2049 | $474694 | $425346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4954, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 02/25/2050 | 129186 | 59814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4961, Class JB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 12/15/2042 | 106335 | 98579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4989, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 10/15/2040<sup>(a)</sup> | 77965 | 76812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-4989, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.46%, 08/15/2040<sup>(a)</sup> | 87522 | 86268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5000, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 08/25/2050 | 256282 | 135170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5007, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 08/25/2050 | 218000 | 89926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5013, Class NH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 09/25/2050 | 173578 | 90682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5014, Class BP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.250%, 09/25/2040 | 180809 | 161676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5039, Class ZK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 11/25/2050 | 158473 | 79251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5049, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 11/25/2050 | 146456 | 68011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5049, Class WB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.750%, 12/25/2050 | 307930 | 246834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5068, Class UB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.500%, 01/25/2051 | 109000 | 62582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5080, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 02/25/2051 | 864862 | 485603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5083, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 03/25/2051 | 612856 | 365170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5085, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 03/25/2051 | 147216 | 78224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5103, Class LM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 05/25/2041 | 119098 | 68923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5103, Class LQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 04/25/2050 | 199842 | 106667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5119, Class LM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 05/25/2041 | 202779 | 112554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5121, Class KE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 06/25/2051 | 301427 | 150308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5129, Class KC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 11/25/2049 | 121117 | 106521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5144, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 09/25/2051 | 314196 | 273632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5156, Class EC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 10/25/2051 | 434985 | 217128 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5171, Class KY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 12/25/2051 | $172000 | $91741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5174, Class TQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 08/25/2051 | 433881 | 376224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5178, Class LY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 12/25/2051 | 178029 | 84226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5182, Class M, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 05/25/2049 | 282967 | 257131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5189, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 09/25/2051 | 72725 | 67466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5198, Class ZM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/25/2052 | 667942 | 545570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5200, Class WK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/25/2052 | 217000 | 145632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5201, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/25/2048 | 530427 | 488980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5207, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/25/2052 | 395707 | 222353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5208, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 04/25/2042 | 1386302 | 1070163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5230, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/25/2051 | 600000 | 497961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-5234, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/25/2051 | 665826 | 650816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-5407, Class LB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 05/25/2054 | 6901530 | 7151981 |
|  |  | 58897015 |
| Freddie Mac Strips |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-299, Class 300, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/15/2043 | 126197 | 116407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-300, Class 300, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/15/2043 | 106219 | 97024 |
|  |  | 213431 |
| Freddie Mac Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-32, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.37%, 08/25/2031<sup>(a)</sup> | 42119 | 42100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-41, Class 3A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.476%, 07/25/2032<sup>(a)</sup> | 1609526 | 1493639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-55, Class 1A3A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 03/25/2043<sup>(a)</sup> | 190863 | 190335 |
|  |  | 1726074 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-76, Class TG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/20/2033 | 94317 | 94105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-1, Class TE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/20/2033 | 14436 | 14400 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-15, Class AY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/20/2034 | $103258 | $103897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-22, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/20/2034 | 188024 | 188935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-26, Class ED, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/16/2034 | 40792 | 40974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-34, Class QL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/16/2034 | 115946 | 115757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-55, Class MC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/20/2034 | 26362 | 26722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-7, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/16/2034 | 1672113 | 1669566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-87, Class BC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/20/2034 | 7772 | 7755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-11, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2035 | 21223 | 21381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-13, Class BG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2035 | 114566 | 115415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-13, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2035 | 7589 | 7625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3, Class QB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/16/2035 | 28986 | 29090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3, Class OC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/20/2035 | 105849 | 106231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3, Class JL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/16/2034 | 41153 | 41055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-3, Class JM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 01/20/2035 | 29445 | 29363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-44, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/20/2035 | 72281 | 72120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-45, Class BF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.41%, 06/20/2035<sup>(a)</sup> | 21556 | 21432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-49, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/20/2035 | 51573 | 52592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-51, Class DC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/20/2035 | 79512 | 80159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-56, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/17/2035 | 8158 | 8156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-56, Class BD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/20/2035 | 27199 | 28413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-69, Class WD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/18/2035 | 27771 | 27770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-73, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/20/2035 | 75550 | 75393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-92, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/20/2035 | 100648 | 103420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-10, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/20/2036 | 175400 | 179281 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-38, Class OH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 08/20/2036 | $19109 | $19065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-18, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2035 | 47923 | 48755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-18, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/20/2035 | 137000 | 139835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-35, Class NE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/16/2037 | 31666 | 32205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-35, Class TE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/20/2037 | 71798 | 72524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-40, Class FY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.44%, 07/16/2037<sup>(a)</sup> | 20955 | 20835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-44, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 07/20/2037 | 79347 | 81611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-57, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/20/2037 | 686996 | 699395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-6, Class LE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/20/2037 | 181543 | 182055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-7, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/16/2037 | 16202 | 16589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-79, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.55%, 12/20/2037<sup>(a)</sup> | 84544 | 84175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-13, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 02/20/2038<sup>(a)</sup> | 17069 | 17030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-20, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/16/2037 | 156394 | 159153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-21, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/20/2037 | 381317 | 380490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-31, Class PC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/20/2038 | 34860 | 35332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-33, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/20/2038 | 98901 | 99832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-37, Class L, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/20/2038 | 29554 | 29868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-38, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2038 | 152309 | 156280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-38, Class PN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2038 | 29292 | 30056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-38, Class BG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/16/2038 | 51944 | 52324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-40, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 05/16/2038 | 118000 | 120958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-41, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2038 | 49932 | 51198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-43, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2038 | 97200 | 97670 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-47, Class ML, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 06/16/2038 | $17921 | $18254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-49, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 06/20/2038 | 20788 | 20747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-50, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/20/2038 | 159540 | 164308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-51, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.88%, 06/16/2038<sup>(a)</sup> | 56853 | 57137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-51, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 06/20/2038 | 26497 | 27513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-55, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/20/2038 | 22816 | 22797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-58, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/16/2038 | 53950 | 54558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-60, Class JP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/20/2038 | 166776 | 166840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-60, Class JN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/20/2038 | 83980 | 84013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-65, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/20/2038 | 150739 | 150418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-66, Class FN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.06%, 08/20/2038<sup>(a)</sup> | 64430 | 64616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-7, Class PQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2038 | 66933 | 66760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-76, Class QE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 09/20/2038 | 58000 | 58375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-77, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.81%, 09/20/2038<sup>(a)</sup> | 41347 | 41351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-85, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 10/20/2038 | 23934 | 23908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-89, Class JD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/20/2038 | 32805 | 32720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-89, Class JC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/20/2038 | 28243 | 28173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-9, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 02/20/2038<sup>(a)</sup> | 11693 | 11692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-1, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.164%, 01/20/2039<sup>(a)</sup> | 48899 | 49194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-10, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/20/2039 | 20937 | 21066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-10, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/16/2039 | 56063 | 57266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-118, Class PY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/16/2039 | 13045 | 13404 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-12, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 03/20/2039 | $38018 | $37943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-13, Class E, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/16/2039 | 66621 | 66533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-15, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.15%, 03/20/2039<sup>(a)</sup> | 46466 | 46479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-24, Class WB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 03/20/2039 | 155192 | 154921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-32, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2039 | 360987 | 369426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-40, Class AD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/20/2039 | 309000 | 309302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-47, Class LT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/20/2039 | 82102 | 82616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-55, Class FN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.11%, 07/20/2039<sup>(a)</sup> | 17235 | 17318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-58, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/20/2039 | 50219 | 49733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-61, Class AP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2039 | 23099 | 22802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-61, Class MP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/20/2039 | 21021 | 21183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-69, Class PH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/16/2039 | 92000 | 94145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-75, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2039 | 68689 | 69366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-76, Class JB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/20/2039 | 6686 | 6689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-76, Class XA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/16/2039 | 425664 | 438444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-77, Class KJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 09/20/2039 | 81806 | 84566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-83, Class TF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.01%, 08/20/2039<sup>(a)</sup> | 26645 | 26861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-94, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.81%, 10/16/2039<sup>(a)</sup> | 55909 | 56142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-103, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.656%, 08/20/2034<sup>(a)</sup> | 126572 | 129469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-105, Class BH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/16/2040 | 42202 | 41399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-111, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.46%, 09/20/2040<sup>(a)</sup> | 33630 | 33395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-134, Class YL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 10/20/2040 | 101000 | 99940 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-14, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/16/2040 | $80059 | $80263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-147, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/20/2040 | 18512 | 18422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-157, Class OP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 12/20/2040<sup>(b)</sup> | 7026 | 6106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-167, Class WL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2040 | 607097 | 613090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-169, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/20/2040 | 161005 | 154478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-19, Class GW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 02/20/2040 | 108305 | 103248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-62, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.56%, 04/16/2034<sup>(a)</sup> | 8173 | 8173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-76, Class NC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/20/2040 | 113194 | 109176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-84, Class YB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 07/20/2040 | 15571 | 15350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H01, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.93%, 01/20/2060<sup>(a)</sup> | 3660 | 3684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H10, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.11%, 05/20/2060<sup>(a)</sup> | 21368 | 21571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H20, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.44%, 10/20/2060<sup>(a)</sup> | 31561 | 31506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H22, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.46%, 05/20/2059<sup>(a)</sup> | 323 | 319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-H27, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.49%, 12/20/2060<sup>(a)</sup> | 12619 | 12536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-100, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 07/20/2041 | 147932 | 146104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-128, Class MD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/20/2040 | 45280 | 45174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-137, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.581%, 07/20/2040<sup>(a)</sup> | 155121 | 161164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-59, Class QC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/20/2040 | 157091 | 155889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-66, Class UA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/16/2041 | 148383 | 142406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-71, Class ZC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/16/2034 | 115413 | 116237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-97, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.068%, 11/20/2038<sup>(a)</sup> | 18766 | 19120 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H01, Class AF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.56%, 11/20/2060<sup>(a)</sup> | $21470 | $21465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H11, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 04/20/2061<sup>(a)</sup> | 13089 | 13097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H11, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 03/20/2061<sup>(a)</sup> | 31248 | 31263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H15, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.56%, 06/20/2061<sup>(a)</sup> | 9134 | 9132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-108, Class CB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 09/20/2042 | 149000 | 122685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-116, Class BY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/16/2042 | 267000 | 219948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-127, Class PG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 09/16/2042 | 99559 | 92741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-32, Class PE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/16/2042 | 117000 | 108054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-39, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/16/2040 | 14301 | 14093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-56, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2040 | 1401502 | 1291638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-68, Class GE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2042 | 4247 | 3420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-76, Class GF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.41%, 06/16/2042<sup>(a)</sup> | 15745 | 15653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-84, Class TB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/20/2042 | 390245 | 335623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H08, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.68%, 04/20/2062<sup>(a)</sup> | 65482 | 65585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H14, Class FK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.69%, 07/20/2062<sup>(a)</sup> | 33230 | 33272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H20, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.407%, 07/20/2062<sup>(a)</sup> | 2854 | 2865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H24, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.71%, 10/20/2062<sup>(a)</sup> | 985 | 987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-100, Class MA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2043 | 18993 | 18861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-115, Class PM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2043 | 363987 | 349654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-169, Class EZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 11/16/2043 | 118737 | 104201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-22, Class GB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 08/20/2042 | 115781 | 106647 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-41, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/20/2043 | $228530 | $208998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-54, Class WA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.874%, 11/20/2042<sup>(a)</sup> | 308521 | 316831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-6, Class BE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/20/2043 | 104000 | 81289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-69, Class NA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/20/2042 | 165021 | 153988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-70, Class LA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 05/20/2043 | 82539 | 69729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-93, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/20/2043 | 730924 | 766132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-98, Class KF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.41%, 11/20/2041<sup>(a)</sup> | 2435 | 2430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-99, Class MF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.41%, 07/20/2043<sup>(a)</sup> | 45033 | 44494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H01, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.650%, 01/20/2063 | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H04, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.650%, 02/20/2063 | 1602 | 1538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H07, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.58%, 03/20/2063<sup>(a)</sup> | 24188 | 24191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H09, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.650%, 04/20/2063 | 4993 | 4790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H18, Class EA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 07/20/2063<sup>(a)</sup> | 1883 | 1885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-118, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2044 | 351939 | 337185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-119, Class ZK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/16/2044 | 1133497 | 1073691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-32, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2044 | 101590 | 88250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-53, Class JM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.944%, 04/20/2039<sup>(a)</sup> | 79913 | 85101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-98, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/16/2044 | 253477 | 202325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-98, Class HE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2044 | 53984 | 45281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H10, Class TA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.71%, 04/20/2064<sup>(a)</sup> | 123785 | 124013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H15, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 07/20/2064<sup>(a)</sup> | 7846 | 7850 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H16, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.58%, 07/20/2064<sup>(a)</sup> | $115156 | $115166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H19, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/20/2064 | 10885 | 10564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-100, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2045 | 157637 | 147463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-63, Class KA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/20/2040 | 33494 | 28635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-84, Class QA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2045 | 180413 | 165943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-91, Class QA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.829%, 05/20/2045<sup>(a)</sup> | 1340679 | 1197233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H09, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.73%, 04/20/2065<sup>(a)</sup> | 81304 | 81419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H12, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.71%, 05/20/2065<sup>(a)</sup> | 18697 | 18720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H15, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.69%, 06/20/2065<sup>(a)</sup> | 41145 | 41181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H22, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.71%, 09/20/2065<sup>(a)</sup> | 14163 | 14180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H26, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.63%, 10/20/2065<sup>(a)</sup> | 71880 | 71937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H26, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.63%, 10/20/2065<sup>(a)</sup> | 14793 | 14803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H27, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.86%, 09/20/2065<sup>(a)</sup> | 496904 | 498532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H29, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.81%, 10/20/2065<sup>(a)</sup> | 352 | 354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H30, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.71%, 11/20/2065<sup>(a)</sup> | 14441 | 14465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H31, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.76%, 11/20/2065<sup>(a)</sup> | 4105 | 4120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H32, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.77%, 12/20/2065<sup>(a)</sup> | 37380 | 37484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-116, Class GV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2026 | 3291 | 3277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-120, Class KA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/20/2046 | 4738 | 2641 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-136, Class MY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2046 | $100000 | $66255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-136, Class PJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 01/20/2046 | 188893 | 159854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-163, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/20/2046 | 119000 | 94395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-19, Class AC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/20/2046 | 259000 | 218911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-46, Class Z, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/20/2046 | 129911 | 83582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-82, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/20/2045 | 15711 | 15610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H06, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.03%, 02/20/2066<sup>(a)</sup> | 39314 | 39513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H08, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.83%, 02/20/2066<sup>(a)</sup> | 15513 | 15584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H11, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.91%, 05/20/2066<sup>(a)</sup> | 1071734 | 1076132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H13, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.69%, 05/20/2066<sup>(a)</sup> | 624 | 625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H14, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.91%, 06/20/2066<sup>(a)</sup> | 140954 | 141506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H15, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.91%, 07/20/2066<sup>(a)</sup> | 335938 | 337294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H17, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.94%, 08/20/2066<sup>(a)</sup> | 63397 | 63685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H17, Class FK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.96%, 07/20/2066<sup>(a)</sup> | 20938 | 21036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H17, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.250%, 03/20/2066 | 29829 | 29153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H20, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.120%, 09/20/2066<sup>(a)</sup> | 163076 | 167841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H23, Class F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.86%, 10/20/2066<sup>(a)</sup> | 50055 | 50219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H23, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.016%, 09/20/2066<sup>(a)</sup> | 175740 | 179762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H24, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.86%, 10/20/2066<sup>(a)</sup> | 152966 | 153437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H26, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.11%, 12/20/2066<sup>(a)</sup> | 36067 | 36324 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-150, Class JE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2047 | $50357 | $47920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-170, Class MC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2047 | 43223 | 39686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-36, Class MJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/20/2047 | 29436 | 26140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-56, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/20/2047 | 124169 | 104556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-80, Class LO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 05/20/2047<sup>(b)</sup> | 80888 | 62162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-80, Class BJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/20/2047 | 70320 | 66658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H06, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.66%, 02/20/2067<sup>(a)</sup> | 22368 | 22390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H14, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.58%, 06/20/2067<sup>(a)</sup> | 38360 | 38363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H15, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.58%, 06/20/2067<sup>(a)</sup> | 53112 | 53119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H16, Class PT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.465%, 05/20/2066<sup>(a)</sup> | 6646 | 6607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H17, Class FG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 08/20/2067<sup>(a)</sup> | 7459 | 7462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H22, Class FH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y CME TERM SOFR + 0.93%, 11/20/2067<sup>(a)</sup> | 116182 | 116990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-131, Class QA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/20/2047 | 222332 | 206706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-160, Class AD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2048 | 175563 | 169470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-36, Class CZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/20/2048 | 303828 | 272251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-37, Class C, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/20/2046 | 102269 | 97129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H07, Class FD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.41%, 05/20/2068<sup>(a)</sup> | 38822 | 38728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H09, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y CME TERM SOFR + 1.22%, 04/20/2068<sup>(a)</sup> | 334127 | 340853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-1, Class EY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/20/2048 | 1066499 | 980856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-103, Class EK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/20/2049 | 2783301 | 2622627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-111, Class TE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/20/2049 | 32503 | 27446 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-128, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2049 | $300000 | $207813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-15, Class A, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.430%, 07/20/2048<sup>(a)</sup> | 300226 | 182917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-18, Class HD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2049 | 165000 | 149941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-36, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/20/2049 | 199687 | 181802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-H01, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.51%, 10/20/2068<sup>(a)</sup> | 10790 | 10795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-H04, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/20/2069 | 9370 | 9308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-H05, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.43%, 04/20/2069<sup>(a)</sup> | 9730 | 9734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-H08, Class FM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.76%, 05/20/2069<sup>(a)</sup> | 1706009 | 1704354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-122, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/20/2050 | 275233 | 171356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-125, Class GC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 08/20/2050 | 19864 | 16863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-125, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/20/2050 | 283372 | 245889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-127, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 08/20/2050 | 580254 | 240652 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-134, Class ZU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/20/2050 | 119039 | 68483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-148, Class ZP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 10/20/2050 | 236561 | 103532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-149, Class LU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 10/20/2050 | 199995 | 91502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-153, Class MP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2050 | 261951 | 226576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-153, Class ML, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2050 | 246771 | 213535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-187, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/20/2050 | 171573 | 74609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-32, Class UM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/20/2050 | 1031075 | 894561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-5, Class LC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/2049 | 82392 | 78976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-61, Class AB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2048 | 12121 | 12065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-62, Class PD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2050 | 400722 | 350117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-62, Class WD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.453%, 05/20/2050<sup>(a)</sup> | 488945 | 286516 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-83, Class ML, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/20/2050 | $75846 | $68887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-98, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2050 | 961465 | 898315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H01, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.50%, 01/20/2070<sup>(a)</sup> | 10189 | 10203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H02, Class DA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.250%, 12/20/2069 | 23216 | 22993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H04, Class FP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 06/20/2069<sup>(a)</sup> | 114314 | 114483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H12, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.21%, 06/20/2070<sup>(a)</sup> | 899802 | 915133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H13, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.56%, 07/20/2070<sup>(a)</sup> | 183726 | 182564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-104, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 06/20/2051 | 120000 | 56785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-116, Class WZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/20/2051 | 391552 | 224964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-116, Class LZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/20/2051 | 351727 | 226042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-142, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.750%, 08/20/2051 | 310101 | 182751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-146, Class PO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 07/20/2051<sup>(b)</sup> | 338715 | 121653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-146, Class DE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.750%, 08/20/2051 | 328149 | 301613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-158, Class GK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/20/2051 | 150492 | 95927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-205, Class NK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 11/20/2051 | 215000 | 119211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-25, Class HA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 02/20/2051 | 663426 | 551756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-8, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 01/20/2051 | 161342 | 61539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-8, Class AQ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 01/20/2051 | 125170 | 124769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-H01, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.36%, 11/20/2070<sup>(a)</sup> | 2680250 | 2727576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-H12, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.520%, 07/20/2071<sup>(a)</sup> | 32922 | 32834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-100, Class EB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/20/2052 | 1729475 | 1330822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-104, Class KY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/20/2052 | 383627 | 345223 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-112, Class BM, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/20/2052 | $344718 | $262163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-126, Class BY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2052 | 960094 | 600342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-127, Class WC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/20/2052 | 329622 | 213175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-127, Class UL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 07/20/2052 | 309557 | 154547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-137, Class PL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2052 | 288633 | 225350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-20, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/20/2052 | 114926 | 49060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-212, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/20/2052 | 2921601 | 2981266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-44, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/20/2052 | 637854 | 569346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-51, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/20/2052 | 317638 | 183368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-68, Class MD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/20/2052 | 223000 | 165835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-76, Class PA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/20/2052 | 604531 | 596850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-78, Class YX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 01/20/2051 | 604535 | 611592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-H06, Class AB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.810%, 07/20/2067<sup>(a)</sup> | 32935 | 32544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-150, Class JD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 10/20/2053 | 407200 | 424405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-173, Class DX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 11/20/2053 | 2720000 | 2829971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-47, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 03/20/2053 | 1455207 | 1468046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-55, Class HB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 04/20/2053 | 2284233 | 2396854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-55, Class EB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/20/2053 | 19105603 | 19781953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-57, Class CV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/20/2034 | 1727325 | 1774209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-59, Class GL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 04/20/2053 | 7761342 | 7954821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-68, Class HB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/20/2053 | 8380221 | 8821637 |
|  |  | 95059144 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| Vendee Mortgage Trust 2011-2 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-2, Class DZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.750%, 10/15/2041 | $749956 | $706185 |
| **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |  |
| **(Cost $268,830,324)** |  | 266220974 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES (1.37%)** |  |  |
| Fannie Mae-Aces |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-M1, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.460%, 02/25/2031<sup>(a)</sup> | 53739 | 53990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-M2, Class A3F, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.345%, 09/25/2031<sup>(a)</sup> | 118184 | 119709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-M6, Class 1AC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.383%, 02/25/2043<sup>(a)</sup> | 9283126 | 9093714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-M11, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.944%, 07/25/2039 | 299908 | 275840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-M15, Class 1A2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.700%, 01/25/2036 | 470000 | 446233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-M24, Class 2XA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.148%, 03/25/2031<sup>(a)(c)</sup> | 7586985 | 356748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-M1, Class A2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.444%, 10/25/2029 | 300000 | 284893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-M10, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.771%, 12/25/2030<sup>(a)(c)</sup> | 750314 | 42051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-M10, Class X4, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.885%, 07/25/2032<sup>(a)(c)</sup> | 57943404 | 2328942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-M12, Class IO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.281%, 07/25/2029<sup>(a)(c)</sup> | 56814594 | 1759031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-M13, Class X2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.219%, 09/25/2030<sup>(a)(c)</sup> | 10295495 | 308165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-M5, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.336%, 01/01/2034<sup>(a)</sup> | 260468 | 246319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-M8, Class A2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.936%, 12/25/2031<sup>(a)</sup> | 100000 | 88512 |
|  |  | 15404147 |
| Freddie Mac Multiclass Certificates Series 2020-P003 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-P003, Class A3, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.956%, 09/25/2046 | 1600000 | 1256795 |
| Freddie Mac Multifamily Structured Pass Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-K153, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.263%, 10/25/2031<sup>(a)(c)</sup> | 96745372 | 885617 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-Q006, Class A2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.184%, 04/25/2028<sup>(a)</sup> | $3989393 | $3902412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-K154, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.285%, 11/25/2032<sup>(a)(c)</sup> | 131382433 | 1850889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-K156, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.069%, 06/25/2033<sup>(a)(c)</sup> | 615731684 | 3388310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-K158, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.071%, 10/25/2033<sup>(a)(c)</sup> | 345373152 | 2311548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-KLU2, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.258%, 08/25/2029<sup>(a)(c)</sup> | 56431615 | 2020788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-Q013, Class APT2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.165%, 04/25/2027<sup>(a)</sup> | 3224778 | 3130554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-1521, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.978%, 08/25/2036<sup>(a)(c)</sup> | 15494647 | 1151175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-KLU3, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.928%, 01/25/2031<sup>(a)(c)</sup> | 172009146 | 11296391 |
|  |  | 29937684 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $48,807,383)** |  | 46598626 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **MORTGAGE-BACKED SECURITIES (11.63%)** |  |  |
| Fannie Mae Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-386375, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.790%, 08/01/2028 | 359854 | 358966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-843080, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/01/2034 | 90855 | 92774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 02/01/2036 | 84700 | 87066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-943003, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/01/2047 | 73083 | 74699 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/01/2039 | 264616 | 262329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-463331, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 08/01/2029 | 339607 | 347623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-930895, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/01/2039 | 13022 | 13041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-931707, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/01/2039 | 78260 | 77248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-958348, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.440%, 04/01/2027 | 117646 | 117352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-958878, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.750%, 07/01/2027 | 1172249 | 1169336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/01/2040 | 247165 | 238769 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-468477, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.590%, 08/01/2026 | $356942 | $357496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-469013, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.470%, 08/01/2026 | 922810 | 928606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-AH9290, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/01/2041 | 17873 | 17320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/01/2042 | 83367 | 76324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/01/2043 | 101101 | 93558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.040%, 12/01/2030 | 1077713 | 1031737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/01/2042 | 43764 | 41317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-470020, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.200%, 01/01/2030 | 1462529 | 1467816 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-AM0279, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.210%, 08/01/2027 | 262709 | 260610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-AM1387, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.260%, 11/01/2032 | 81314 | 79282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-MA1214, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/01/2042 | 469960 | 430266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/01/2043 | 233302 | 215901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/01/2043 | 300571 | 275181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/01/2043 | 183227 | 167747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/01/2043 | 203432 | 186245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/01/2043 | 56358 | 52312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.380%, 05/01/2028 | 228409 | 227281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.370%, 07/01/2028 | 781308 | 793075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.410%, 09/01/2028 | 79749 | 80817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AM4781, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.180%, 11/01/2028 | 1107868 | 1118424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AR2289, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/01/2033 | 135769 | 131753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-AT9663, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 07/01/2043 | 348831 | 303698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-MA1586, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/01/2043 | 134369 | 124345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/01/2053 | 930470 | 828100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.300%, 11/01/2026 | 245109 | 244018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.730%, 07/01/2034 | 493029 | 485433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.060%, 03/01/2030 | 436149 | 437218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.180%, 07/01/2035 | 625109 | 573839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.390%, 07/01/2035 | 178860 | 168369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/01/2045 | 1127165 | 1048121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.600%, 02/01/2040 | 210826 | 199370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.610%, 08/01/2030 | 300000 | 294742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/01/2041 | 90788 | 89380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/01/2045 | 111570 | 112027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AM8666, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.960%, 06/01/2030 | 159275 | 153162 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AM8918, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 09/01/2030 | $731000 | $706058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-AM9173, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.110%, 06/01/2027 | 218598 | 216483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.159%, 07/01/2036<sup>(a)</sup> | 1584079 | 1428201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 07/01/2039 | 80131 | 82880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AL8405, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/01/2041 | 80561 | 80980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN0665, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.070%, 02/01/2026 | 182437 | 181995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN3542, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.410%, 11/01/2046 | 329582 | 286661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-AN3749, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.520%, 12/01/2026 | 418571 | 413764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-BC0943, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/01/2046 | 241059 | 228754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 01/01/2032 | 83965 | 79565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.880%, 09/01/2027 | 4525295 | 4463100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/01/2027 | 1183925 | 1169222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.010%, 07/01/2027 | 245309 | 242907 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.160%, 07/01/2027 | 141814 | 140572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.170%, 01/01/2029 | 190311 | 186219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.200%, 01/01/2029 | 137551 | 135284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.210%, 11/01/2032 | 100000 | 93982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.235%, 02/01/2032 | 131572 | 125186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.350%, 01/01/2029 | 184897 | 181663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/01/2047 | 239018 | 223580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN4431, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.220%, 01/01/2027 | 85000 | 84460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN4469, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.640%, 01/01/2029 | 634552 | 630695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN4529, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.620%, 01/01/2027 | 761180 | 760028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN4833, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.320%, 04/01/2027 | 95000 | 94535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN5279, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.340%, 04/01/2029 | 420158 | 413846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN5742, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.190%, 05/01/2030 | 127173 | 123217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN5796, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.030%, 06/01/2027 | 253841 | 251306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN6670, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.210%, 09/01/2027 | 1793201 | 1772599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7060, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.930%, 10/01/2027 | 1780000 | 1750057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7234, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.010%, 12/01/2027 | 947525 | 934796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7384, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.880%, 12/01/2027 | 45309 | 44655 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7547, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.370%, 11/01/2027 | $1012851 | $1002947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-AN7823, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.890%, 12/01/2027 | 230716 | 227409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-CA0522, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/01/2047 | 168822 | 150578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/01/2033 | 36437 | 35335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/01/2048 | 771733 | 705626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.320%, 04/01/2028 | 550000 | 543943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.430%, 03/01/2033 | 952313 | 907065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.485%, 04/01/2028 | 6350000 | 6310120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/01/2028 | 130000 | 129220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/01/2048 | 160818 | 160381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.545%, 04/01/2028 | 623517 | 620201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.740%, 07/01/2028 | 175000 | 174837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.940%, 10/01/2036 | 308163 | 293378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.010%, 12/01/2030 | 291680 | 291277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/01/2040 | 95637 | 94752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/01/2041 | 222791 | 219732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/01/2041 | 210575 | 213543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/01/2048 | 417074 | 429990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/01/2048 | 99281 | 102436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-109435, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.890%, 08/01/2028 | 1768078 | 1766094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-387770, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.625%, 07/01/2028 | 2570000 | 2560695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-387983, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.630%, 08/01/2028 | 1925116 | 1898134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN8272, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.170%, 02/01/2028 | 100000 | 98835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN8493, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.300%, 02/01/2030 | 395446 | 382530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN8982, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.440%, 05/01/2028 | 975080 | 966212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN9038, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.460%, 05/01/2028 | 133602 | 132700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN924, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.210%, 05/01/2033 | 430732 | 433227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-AN9976, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.960%, 02/01/2030 | 470000 | 467878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.520%, 11/01/2029 | 135543 | 129018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.820%, 10/01/2039 | 895882 | 756443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/01/2049 | 63258 | 57421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/01/2048 | 102830 | 96851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.940%, 06/01/2035 | 2582980 | 2486127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 07/01/2048 | 528724 | 513784 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.070%, 11/01/2026 | 127165 | 126857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/01/2058 | 354064 | 347506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/01/2049 | 138170 | 144040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 05/01/2049 | 1472769 | 1541964 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL1300, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.200%, 01/01/2029 | $1375000 | $1385319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL1567, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.590%, 02/01/2029 | 2690291 | 2660428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL1596, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.480%, 03/01/2029 | 154019 | 152496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BL2460, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.400%, 05/01/2029 | 542418 | 534523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BM6011, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.343%, 11/01/2026<sup>(a)</sup> | 30437 | 30302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-BM6152, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/01/2044 | 811394 | 772042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-MA3784, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/01/2049 | 1904986 | 1746497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.400%, 11/01/2032 | 7945000 | 6617624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 01/01/2036 | 536602 | 482350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.150%, 09/01/2029 | 500000 | 469697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/01/2050 | 203214 | 179493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/01/2050 | 165616 | 151832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.710%, 08/01/2031 | 751000 | 660648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 11/01/2051 | 686333 | 629100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.030%, 12/01/2028 | 98184 | 93846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.150%, 03/01/2029 | 150000 | 141956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.400%, 03/01/2029 | 139910 | 134379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.130%, 01/01/2029 | 143212 | 140483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.790%, 05/01/2032 | 2148000 | 2063381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.890%, 07/01/2032 | 690000 | 670393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.910%, 06/01/2032 | 1181000 | 1142597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.980%, 10/01/2032 | 700000 | 683617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.110%, 09/01/2032 | 1815000 | 1778349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.140%, 08/01/2032 | 2038000 | 1999480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.240%, 07/01/2032 | 1650997 | 1629433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.520%, 10/01/2032 | 1209000 | 1211200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.080%, 10/01/2029 | 941535 | 975161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.120%, 11/01/2032 | 2979000 | 3088225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.250%, 10/01/2032 | 7898000 | 8207006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.440%, 12/01/2032 | 2122000 | 2223157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/01/2042 | 1047764 | 1082747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/01/2052 | 9795923 | 10121527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.620%, 11/01/2032 | 2901983 | 3072967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.120%, 11/01/2032 | 1640789 | 1721025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 11/01/2052 | 1932369 | 1983217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 01/01/2042 | 3651673 | 3114174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.885%, 03/01/2033 | 750000 | 777848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.030%, 04/01/2028 | 4957000 | 4957233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.470%, 11/01/2033 | 999986 | 1042956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/01/2053 | 6544416 | 6683521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.555%, 01/01/2030 | 8933000 | 9257094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 02/01/2053 | 385371 | 397492 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 06/01/2043 | $1973066 | $2044206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 04/01/2053 | 1575385 | 1644656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/01/2053 | 5265700 | 5553645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 06/01/2053 | 1214129 | 1259692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 08/01/2053 | 6078823 | 6331937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 04/01/2053 | 468501 | 484147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.500%, 01/01/2054 | 282856 | 300033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.340%, 07/01/2029 | 10000000 | 10210845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 02/01/2054 | 621078 | 653827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 05/01/2054 | 1164750 | 1228905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.500%, 01/01/2054 | 709914 | 742109 |
|  |  | 178301246 |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2936, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.51%, 03/15/2029<sup>(a)</sup> | 6379 | 6367 |
| Freddie Mac Gold Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/01/2035 | 144015 | 141995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/01/2036 | 12629 | 12707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/01/2037 | 52024 | 52958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/01/2042 | 92084 | 86808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-G80393, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 08/20/2036 | 93038 | 93585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-T65180, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/01/2043 | 76629 | 70331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/01/2045 | 1584844 | 1446342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-U49046, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/01/2029 | 8598 | 8563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/01/2046 | 300600 | 284849 |
|  |  | 2198138 |
| Freddie Mac Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/01/2045 | 189886 | 174690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 09/01/2045 | 631043 | 577187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/01/2045 | 342487 | 305480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/01/2045 | 46102 | 43292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 07/01/2048 | 223848 | 231615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 06/01/2050 | 778550 | 617449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.190%, 06/01/2034 | 142827 | 121560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/01/2046 | 3246596 | 2916083 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.600%, 01/01/2033 | $6743000 | $6753693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 01/01/2033 | 16673950 | 16844014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.900%, 01/01/2033 | 5000000 | 5094452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/01/2053 | 6825710 | 6949558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 04/01/2053 | 16455292 | 17115456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/01/2053 | 7918583 | 8285510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 08/01/2053 | 2650347 | 2766346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 01/01/2053 | 2204014 | 2317604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.030%, 02/01/2029 | 5000000 | 5058059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 08/01/2054 | 1268545 | 1309588 |
|  |  | 77481636 |
| Ginnie Mae I Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/15/2040 | 243948 | 240107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 03/15/2043 | 294064 | 272936 |
|  |  | 513043 |
| Ginnie Mae II Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2040 | 67773 | 64548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/20/2040 | 67095 | 63904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 12/20/2040 | 139890 | 134559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/20/2040 | 230000 | 226403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.875%, 01/20/2035 | 109383 | 109981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M RFUCCT + 2.57%, 08/20/2060<sup>(a)</sup> | 90282 | 92922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2041 | 123909 | 119717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/20/2041 | 56812 | 55598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/20/2042 | 279478 | 254506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/20/2042 | 56625 | 51566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/20/2042 | 98759 | 89933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2042 | 60356 | 54962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/20/2042 | 67174 | 61171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/20/2042 | 54564 | 49687 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/2042 | 67738 | 61684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/20/2042 | 185365 | 168797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/20/2042 | 18044 | 17185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/20/2042 | 80052 | 76242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2042 | 84582 | 81311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-5302, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2042 | 159191 | 144964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 02/20/2043 | 97594 | 84729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/20/2043 | 163335 | 148186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/20/2043 | 336013 | 311056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.250%, 04/20/2033 | 180875 | 175267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/20/2043 | 176730 | 160932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/20/2043 | 81971 | 75549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2043 | 78827 | 72748 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2043 | $242489 | $232118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-MA1149, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2043 | 9781 | 8776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/20/2034 | 217027 | 217773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 06/20/2034 | 431604 | 433189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 02/20/2044 | 185390 | 189094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/20/2044 | 678822 | 670324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M RFUCCT + 2.37%, 02/20/2064<sup>(a)</sup> | 239060 | 243395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/20/2040 | 187405 | 170035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2035 | 180599 | 174879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.750%, 05/20/2045 | 85759 | 80666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 08/20/2045 | 481334 | 475985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 05/20/2031 | 115031 | 111143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 06/20/2046 | 203725 | 185393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 07/20/2046 | 170837 | 154436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/20/2046 | 336131 | 310394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2045 | 209856 | 207167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 03/20/2046 | 134604 | 137471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-MA3588, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/20/2046 | 214720 | 195515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-MA3793, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 07/20/2046 | 584433 | 532158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-MA3865, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/20/2046 | 363574 | 331054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/20/2032 | 145850 | 141158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/20/2032 | 166459 | 161363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/2047 | 152272 | 140795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/20/2047 | 578812 | 530897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.422%, 01/20/2067<sup>(a)</sup> | 88451 | 88233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2036 | 1576892 | 1529026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/20/2047 | 92508 | 86020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 01/20/2048 | 50408 | 46639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/20/2048 | 369614 | 343283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2048 | 2015183 | 1916047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2048 | 1899952 | 1807756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 07/20/2048 | 458830 | 445283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2048 | 208757 | 206463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/20/2048 | 352197 | 360921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/20/2047 | 347697 | 322075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/20/2049 | 340945 | 314975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/20/2049 | 117757 | 106735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/20/2049 | 87768 | 82071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/20/2049 | 313600 | 308967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 11/20/2049 | 650751 | 636119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 06/20/2049 | 95891 | 97998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 01/20/2049 | 291802 | 303325 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-784688, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 02/20/2049 | $518545 | $520886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-MA5864, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/20/2049 | 19895 | 18030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-MA5920, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2049 | 7183 | 6445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-MA5936, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/20/2049 | 30083 | 32037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 11/20/2050 | 2634180 | 2166503 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 01/20/2050 | 147055 | 126183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 11/20/2050 | 131996 | 117115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 12/20/2049 | 1497214 | 1341893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/20/2050 | 168062 | 152910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/20/2050 | 321258 | 304958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/20/2050 | 508220 | 479004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2050 | 138726 | 129723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/20/2050 | 657573 | 610926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 09/20/2051 | 1978928 | 1623869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/20/2051 | 754092 | 690078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/20/2051 | 159508 | 149164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/20/2051 | 1498831 | 1424747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2022-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/20/2044 | 2049128 | 1852307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 05/20/2052 | 2747139 | 2444163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 08/20/2052 | 1778082 | 1683349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/20/2052 | 10173643 | 9618684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/20/2052 | 822667 | 817435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/20/2052 | 568246 | 570129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/20/2052 | 1467967 | 1524133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2023-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/20/2053 | 4194864 | 4292757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/20/2053 | 11407530 | 11870167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 04/20/2053 | 8016073 | 8427193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 10/20/2053 | 9759522 | 10185511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 11/20/2053 | 1211333 | 1265745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 10/20/2053 | 2466776 | 2572578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.000%, 12/20/2063 | 1170811 | 1230667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2024-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/20/2050 | 4258286 | 3812547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 06/20/2054 | 2214441 | 2289676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 11/20/2064 | 9201414 | 9456178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 08/20/2054 | 1133912 | 1172279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 04/20/2064 | 502985 | 523722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/20/2064 | 1921344 | 2000560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 10/20/2064 | 4026323 | 4192324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.000%, 04/20/2054 | 2627546 | 2705424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.000%, 12/20/2053 | 945068 | 992014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.000%, 08/20/2054 | 1582185 | 1666703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.000%, 12/20/2063 | 2499478 | 2621016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2025-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 07/20/2055 | 5245683 | 5357896 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 01/20/2065 | $14709874 | $15316356 |
|  |  | 138401205 |
| **TOTAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $392,614,215)** |  | 396901635 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **CORPORATE BONDS (41.05%)** |  |  |
| ***Aerospace & Defense (4.20%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Boeing Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20%, 02/04/2026 | 10030000 | 10028297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.53%, 05/01/2034 | 15220000 | 16842357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.01%, 05/01/2064 | 29000000 | 33137914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Dynamics Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.95%, 08/15/2035 | 5235000 | 5327591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.90%, 01/29/2036 | 7956000 | 8050438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;L3Harris Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.35%, 06/01/2034 | 13800000 | 14225779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Lockheed Martin Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 08/15/2035 | 11902000 | 12133496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Northrop Grumman Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 07/15/2035 | 19680000 | 20363945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;RTX Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.10%, 03/15/2034 | 21275000 | 23224488 |
| **Total *Aerospace & Defense*** |  | 143334305 |
| ***Airlines (1.38%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alaska Airlines 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.80%, 08/15/2027<sup>(e)</sup> | 4906425 | 4932742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AS Mileage Plan IP, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.02%, 10/20/2029<sup>(e)</sup> | 11250000 | 11381281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.31%, 10/20/2031<sup>(e)</sup> | 8000000 | 8095231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Southwest Airlines Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 11/15/2035 | 11236000 | 11002741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United Airlines 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 20-1 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 10/15/2027 | 3062327 | 3140526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United Airlines Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 03/01/2031 | 8480000 | 8574815 |
| **Total *Airlines*** |  | 47127336 |
| ***Apparel & Textile Products (0.93%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gildan Activewear, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 10/07/2035<sup>(e)</sup> | 13531000 | 13520998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VF Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.95%, 04/23/2030 | 19978000 | 18241081 |
| **Total *Apparel & Textile Products*** |  | 31762079 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Auto Parts Manufacturing (0.14%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goodyear Tire & Rubber Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63%, 07/15/2030 | $4514000 | $4626019 |
| ***Automobiles Manufacturing (2.31%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 02/07/2035 | 24776000 | 25854925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.80%, 05/12/2028 | 9919000 | 10381467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Motors Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 04/15/2030 | 3100000 | 3230386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 04/15/2035 | 15800000 | 16782364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 01/08/2036 | 8425000 | 8464592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hyundai Capital America |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.55%, 01/08/2031<sup>(e)</sup> | 8470000 | 8479194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 06/24/2026<sup>(e)</sup> | 5541000 | 5573325 |
| **Total *Automobiles Manufacturing*** |  | 78766253 |
| ***Banks (4.36%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital One NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.97%, 08/09/2028<sup>(a)</sup> | 9250000 | 9543683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Citizens Financial Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 1.45%, 01/29/2036<sup>(a)</sup> | 739000 | 742675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cooperatieve Rabobank UA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.75%, 07/21/2026 | 4500000 | 4493673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Danske Bank A/S |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.95%, 03/01/2028<sup>(a)(e)</sup> | 6412000 | 6506040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 1.40%, 03/01/2030<sup>(a)(e)</sup> | 4580000 | 4765132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fifth Third Bancorp |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.95%, 04/29/2032<sup>(a)</sup> | 2582000 | 2580278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.24%, 01/29/2037<sup>(a)</sup> | 3689000 | 3665084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Citizens BancShares, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.41%, 03/12/2031<sup>(a)</sup> | 3392000 | 3442585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 1.97%, 03/12/2040<sup>(a)</sup> | 18300000 | 18622720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs Bank USA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.78%, 03/18/2027<sup>(a)</sup> | 3297000 | 3302094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Huntington Bancshares, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 1.35%, 01/28/2041<sup>(a)</sup> | 1924000 | 1915421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Private Bank NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.02%, 11/19/2031<sup>(a)</sup> | 8300000 | 8304982 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pinnacle Financial Partners, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.35%, 11/01/2030<sup>(a)</sup> | $15900000 | $16578494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PNC Financial Services Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 1.17%, 01/25/2041<sup>(a)</sup> | 8385000 | 8380410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Regions Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.06%, 09/06/2035<sup>(a)</sup> | 7890000 | 8114551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Truist Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.96%, 01/27/2032<sup>(a)</sup> | 1846000 | 1851114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;US Bancorp |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.87%, 01/26/2032<sup>(a)</sup> | 1846000 | 1850435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.10%, 01/26/2037<sup>(a)</sup> | 1108000 | 1105969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.10%, 01/23/2037<sup>(a)</sup> | 8483000 | 8416999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.23%, 01/23/2047<sup>(a)</sup> | 5196000 | 5095712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.34%, 09/15/2036<sup>(a)</sup> | 3782000 | 3742056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.74%, 04/23/2036<sup>(a)</sup> | 12576000 | 13114478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.02%, 04/24/2034<sup>(a)</sup> | 12653000 | 13089653 |
| **Total *Banks*** |  | 149224238 |
| ***Biotechnology (0.82%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amgen, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 03/02/2033 | 14778000 | 15297322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BioMarin Pharmaceutical, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 02/15/2034<sup>(e)</sup> | 6801000 | 6828340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GENMAB A/S/GENMAB FINANCE LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 12/15/2032<sup>(e)</sup> | 5571000 | 5714358 |
| **Total *Biotechnology*** |  | 27840020 |
| ***Cable & Satellite (0.44%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CCO Holdings LLC / CCO Holdings Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 02/01/2028<sup>(e)</sup> | 7490000 | 7452319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sirius XM Radio LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 08/01/2027<sup>(e)</sup> | 7421000 | 7412294 |
| **Total *Cable & Satellite*** |  | 14864613 |
| ***Casinos & Gaming (0.21%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Station Casinos LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 02/15/2028<sup>(e)</sup> | 7096000 | 7066931 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Chemicals (0.36%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Celanese US Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 02/15/2031 | $8203000 | $8395803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ecolab, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 09/01/2035 | 3758000 | 3834138 |
| **Total *Chemicals*** |  | 12229941 |
| ***Consumer Finance (1.36%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;American Express Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.24%, 10/24/2036<sup>(a)</sup> | 9761000 | 9572223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.79%, 04/25/2036<sup>(a)</sup> | 1950000 | 2043669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 1.32%, 01/30/2036<sup>(a)(f)</sup> | 4155000 | 4290790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital One Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.50%, 01/30/2037<sup>(a)</sup> | 4388000 | 4381663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fidelity National Information Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.25%, 03/01/2031 | 5213000 | 4669329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fiserv, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.65%, 06/01/2030 | 5500000 | 5082429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Global Payments, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 11/15/2030 | 5550000 | 5552566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.55%, 11/15/2035 | 7470000 | 7410142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Synchrony Financial |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.70%, 08/04/2026 | 3192000 | 3185614 |
| **Total *Consumer Finance*** |  | 46188425 |
| ***Consumer Products (0.24%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;L'Oreal SA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 05/20/2035<sup>(e)</sup> | 8100000 | 8247920 |
| ***Consumer Services (0.25%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sodexo, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.80%, 08/15/2035<sup>(e)</sup> | 8075000 | 8406490 |
| ***Diversified Banks (1.21%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.91%, 04/25/2034<sup>(a)</sup> | 7638000 | 7848580 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 0.93%, 04/22/2028<sup>(a)</sup> | $4054000 | $4131178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.07%, 01/22/2037<sup>(a)</sup> | 5571000 | 5530769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.19%, 10/22/2036<sup>(a)</sup> | 5662000 | 5583897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.30%, 02/05/2037<sup>(a)</sup> | 4079000 | 4067009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.62%, 01/23/2035<sup>(a)</sup> | 10386000 | 10701306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.63%, 07/23/2036<sup>(a)</sup> | 3740000 | 3843738 |
| **Total *Diversified Banks*** |  | 41706477 |
| ***Entertainment Content (1.09%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discovery Communications LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 05/15/2029 | 3861000 | 3753819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Paramount Global |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.20%, 05/19/2032 | 14313000 | 12928036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.38%, 03/15/2043 | 4248000 | 2927477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.95%, 05/19/2050 | 5097000 | 3577946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Warnermedia Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.05%, 03/15/2029 | 4756000 | 4616272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.28%, 03/15/2032 | 5629000 | 4960556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.14%, 03/15/2052 | 6765000 | 4513124 |
| **Total *Entertainment Content*** |  | 37277230 |
| ***Exploration & Production (2.07%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ascent Resources Utica Holdings LLC / ARU Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63%, 07/15/2033<sup>(e)</sup> | 575000 | 595788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hilcorp Energy I LP / Hilcorp Finance Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 11/01/2028<sup>(e)</sup> | 5537000 | 5585532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.25%, 02/15/2035<sup>(e)</sup> | 14155000 | 13705211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Occidental Petroleum Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 09/15/2031 | 17116000 | 19721054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Permian Resources Operating LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 07/01/2029<sup>(e)</sup> | 3782000 | 3796708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 02/01/2033<sup>(e)</sup> | 5925000 | 6107200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 01/15/2032<sup>(e)</sup> | 8564000 | 8982745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.88%, 07/15/2031<sup>(e)</sup> | 4113000 | 4414775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Viper Energy Partners LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.70%, 08/01/2035 | 8102000 | 8252859 |
| **Total *Exploration & Production*** |  | 71161872 |
| ***Financial Services (4.72%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Affiliated Managers Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 02/15/2036 | 6921000 | 6927332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Charles Schwab Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SOFRINDX + 1.05%, 03/03/2027<sup>(a)(f)</sup> | 9431000 | 9505160 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Citadel Securities Global Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 06/18/2030<sup>(e)</sup> | $9550000 | $9816985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.20%, 06/18/2035<sup>(e)</sup> | 9392000 | 9877557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.19%, 01/21/2037<sup>(a)</sup> | 8506000 | 8472811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.55%, 04/25/2035<sup>(a)</sup> | 3245000 | 3431257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.55%, 07/23/2035<sup>(a)</sup> | 8235000 | 8417567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.58%, 04/23/2031<sup>(a)</sup> | 6521000 | 6718350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 1.18%, 02/02/2041<sup>(a)</sup> | 6865000 | 6803587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jane Street Group / JSG Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.13%, 11/01/2032<sup>(e)</sup> | 5091000 | 5188019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/01/2033<sup>(e)</sup> | 6320000 | 6576647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.13%, 04/30/2031<sup>(e)</sup> | 15700000 | 16516134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.18%, 01/30/2037<sup>(a)</sup> | 5484000 | 5464862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.42%, 01/18/2036<sup>(a)</sup> | 3490000 | 3634783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.75%, 04/17/2036<sup>(a)</sup> | 14400000 | 15049011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.05%, 11/01/2034<sup>(a)</sup> | 8443000 | 9387152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 1.17%, 01/18/2041<sup>(a)</sup> | 9714000 | 9598603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series I |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.31%, 10/22/2036<sup>(a)</sup> | 8260000 | 8134731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;UBS Group AG |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.34%, 03/23/2037<sup>(a)(e)</sup> | 11650000 | 11514034 |
| **Total *Financial Services*** |  | 161034582 |
| ***Food & Beverage (0.80%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mars, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.80%, 03/01/2030<sup>(e)</sup> | 3400000 | 3474801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.20%, 03/01/2035<sup>(e)</sup> | 3400000 | 3482305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pilgrim's Pride Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 03/01/2032 | 822000 | 760359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 07/01/2033 | 5630000 | 6025468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 05/15/2034 | 12266000 | 13584374 |
| **Total *Food & Beverage*** |  | 27327307 |
| ***Health Care Facilities & Services (0.61%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.38%, 07/15/2031 | 11927000 | 10687457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 09/15/2034 | 8000000 | 8214661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.70%, 11/15/2055 | 1873000 | 1786106 |
| **Total *Health Care Facilities & Services*** |  | 20688224 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Integrated Oils (0.57%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Saudi Arabian Oil Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.38%, 02/02/2031<sup>(e)</sup> | $3427000 | $3399413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 02/02/2036<sup>(e)</sup> | 7293000 | 7180644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TotalEnergies Capital USA LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.57%, 01/13/2033 | 4445000 | 4447208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.86%, 01/13/2036 | 4446000 | 4422857 |
| **Total *Integrated Oils*** |  | 19450122 |
| ***Internet Media (0.72%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alphabet, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.70%, 11/15/2035 | 8261000 | 8226899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.35%, 11/15/2045 | 1924000 | 1899284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 11/15/2055 | 2749000 | 2683192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.70%, 11/15/2075 | 4123000 | 4051287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Meta Platforms, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 11/15/2035 | 4125000 | 4081788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series . |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 11/15/2055 | 3712000 | 3534526 |
| **Total *Internet Media*** |  | 24476976 |
| ***Manufactured Goods (0.13%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chart Industries, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.50%, 01/01/2030<sup>(e)</sup> | 4228000 | 4404371 |
| ***Medical Equipment & Devices Manufacturing (1.37%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Insulet Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 04/01/2033<sup>(e)</sup> | 1244000 | 1295345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Medline Borrower LP/Medline Co.-Issuer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 04/01/2029<sup>(e)</sup> | 16405000 | 16952282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Solventum Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 03/13/2031 | 7429000 | 7752824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.60%, 03/23/2034 | 12179000 | 12666951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VSP Optical Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 12/01/2035<sup>(e)</sup> | 8310000 | 8343658 |
| **Total *Medical Equipment & Devices Manufacturing*** |  | 47011060 |
| ***Pharmaceuticals (0.13%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amneal Pharmaceuticals LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 08/01/2032<sup>(e)</sup> | 4123000 | 4346545 |
| ***Pipeline (2.27%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Buckeye Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 03/01/2028<sup>(e)</sup> | 7290000 | 7275664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 07/01/2029<sup>(e)</sup> | 12612000 | 13119179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.35%, 01/15/2036 | 5564000 | 5560115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.38%, 02/01/2031<sup>(e)</sup> | 8947000 | 9286187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Flex Intermediate Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.36%, 06/30/2031<sup>(e)</sup> | 12936000 | 11933604 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.32%, 12/30/2039<sup>(e)</sup> | 9061000 | 7681581 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kinetik Holdings LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63%, 12/15/2028<sup>(e)</sup> | $7715000 | $7948556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MPLX LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.20%, 09/15/2055 | 6391000 | 6396984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NuStar Logistics LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.38%, 10/01/2030 | 6012000 | 6302620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Targa Resources Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.35%, 01/15/2029 | 1849000 | 1858407 |
| **Total *Pipeline*** |  | 77362897 |
| ***Power Generation (0.56%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Calpine Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 02/15/2028<sup>(e)</sup> | 1956000 | 1955314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Constellation Energy Generation LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.40%, 01/15/2031 | 4142000 | 4133437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 01/15/2066 | 7412000 | 7236330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.35%, 01/31/2036<sup>(e)</sup> | 1854000 | 1844896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.75%, 10/15/2031<sup>(e)</sup> | 3738000 | 3957013 |
| **Total *Power Generation*** |  | 19126990 |
| ***Property & Casualty Insurance (0.24%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.55%, 06/23/2035 | 7850000 | 8036060 |
| ***Publishing & Broadcasting (0.36%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nexstar Media, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 11/01/2028<sup>(e)</sup> | 8000000 | 7956218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 07/15/2027<sup>(e)</sup> | 4376000 | 4379308 |
| **Total *Publishing & Broadcasting*** |  | 12335526 |
| ***Real Estate (0.85%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CoStar Group, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.80%, 07/15/2030<sup>(e)</sup> | 8601000 | 7922061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cushman & Wakefield US Borrower LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/15/2028<sup>(e)</sup> | 10401000 | 10472382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Iron Mountain, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 03/15/2028<sup>(e)</sup> | 1397000 | 1397349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VICI Properties LP / VICI Note Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 08/15/2030<sup>(e)</sup> | 9328000 | 9056027 |
| **Total *Real Estate*** |  | 28847819 |
| ***Refining & Marketing (0.22%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HF Sinclair Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 02/01/2028 | 2667000 | 2667462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sunoco LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 03/15/2031<sup>(e)</sup> | 2237000 | 2251762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 03/15/2034<sup>(e)</sup> | 2237000 | 2244009 |
| **Total *Refining & Marketing*** |  | 7163233 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Restaurants (0.34%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Starbucks Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.35%, 03/12/2050 | $4775000 | $3291713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 05/15/2035 | 8106000 | 8405348 |
| **Total *Restaurants*** |  | 11697061 |
| ***Retail - Consumer Discretionary (0.24%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amazon.com, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.65%, 11/20/2035 | 8317000 | 8238496 |
| ***Semiconductors (1.23%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Broadcom, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.80%, 02/15/2036 | 2650000 | 2616846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.95%, 01/15/2036 | 1852000 | 1850883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.20%, 07/15/2035 | 5628000 | 5753101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foundry JV Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.10%, 01/25/2036<sup>(e)</sup> | 7900000 | 8322208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 01/25/2035<sup>(e)</sup> | 6100000 | 6493589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.30%, 01/25/2039<sup>(e)</sup> | 15850000 | 16892723 |
| **Total *Semiconductors*** |  | 41929350 |
| ***Software & Services (1.48%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fair Isaac Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 05/15/2033<sup>(e)</sup> | 7950000 | 8105105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Leidos, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 03/15/2032 | 10534000 | 10960963 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Synopsys, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.85%, 04/01/2030 | 6800000 | 6941264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.15%, 04/01/2035 | 9895000 | 10034453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VMware LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.20%, 08/15/2031 | 4979000 | 4434181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.70%, 05/15/2030 | 9961000 | 10132357 |
| **Total *Software & Services*** |  | 50608323 |
| ***Supermarkets & Pharmacies (1.06%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 03/31/2031<sup>(e)</sup> | 1809000 | 1814461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 02/15/2028<sup>(e)</sup> | 14670000 | 14915928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Albertsons Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;03/31/2032<sup>(e)</sup> | $2724000 | $2722643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kroger Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 09/15/2034 | 16584000 | 16605197 |
| **Total *Supermarkets & Pharmacies*** |  | 36058229 |
| ***Transportation & Logistics (0.32%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Allison Transmission, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 12/01/2033<sup>(e)</sup> | 1742000 | 1767660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fedex Freight Holding Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 03/15/2036<sup>(e)</sup> | 9181000 | 9100531 |
| **Total *Transportation & Logistics*** |  | 10868191 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Travel & Lodging (0.55%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carnival Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 08/01/2028<sup>(e)</sup> | $3953000 | $3914075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 08/01/2032<sup>(e)</sup> | 14604000 | 15016913 |
| **Total *Travel & Lodging*** |  | 18930988 |
| ***Utilities (0.36%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;American Water Capital Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.15%, 03/01/2034 | 4761000 | 4887172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 03/01/2035 | 7161000 | 7359803 |
| **Total *Utilities*** |  | 12246975 |
| ***Wireless Telecommunications Services (0.55%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SoftBank Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.33%, 07/09/2035<sup>(e)</sup> | 9757000 | 9780679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.95%, 11/15/2035 | 5286000 | 5242049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 01/15/2036 | 3733000 | 3691644 |
| **Total *Wireless Telecommunications Services*** |  | 18714372 |
| **TOTAL CORPORATE BONDS** |  |  |
| **(Cost $1,379,207,351)** |  | 1400733846 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **GOVERNMENT BONDS (33.62%)** |  |  |
| ***U.S. Treasury Bonds (33.62%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 11/15/2045 | 147375000 | 143356729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 11/15/2055 | 124017000 | 118881921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 08/15/2055 | 123245000 | 120568273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 08/15/2045 | 98923000 | 99510355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Inflation Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.63%, 10/15/2029 | 33119125 | 33792621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.63%, 04/15/2030 | 16747784 | 17005470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 10/31/2027 | 33268000 | 33247208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 01/31/2028 | 17538000 | 17526696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 11/30/2030 | 37626000 | 37146856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.63%, 08/31/2027 | 77794000 | 77903398 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.63%, 12/31/2030 | 27746000 | 27531402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.75%, 06/30/2027 | 24355000 | 24429207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 05/31/2030 | 1977000 | 1996693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/2035 | 135301000 | 132542129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 10/31/2029 | 59762000 | 60653761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 11/30/2029 | 77729000 | 78890381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.25%, 01/31/2030 | 90367000 | 92147865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 02/28/2026 | 30282000 | 30299845 |
| **Total *U.S. Treasury Bonds*** |  | 1147430810 |
| **TOTAL GOVERNMENT BONDS** |  |  |
| **(Cost $1,150,781,443)** |  | 1147430810 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **PREFERRED STOCK (2.91%)** |  |  |
| ***Energy (0.07%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Pipeline (0.07%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Energy Transfer LP, Series B, 6.625%<sup>(g)</sup> | 2506000 | $2541615 |
| **Total *Energy*** |  | 2541615 |
| ***Financials (1.51%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Banks (0.44%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bank of Hawaii., 8.000%<sup>(g)</sup> | 149327 | 3924314 |
| &nbsp;&nbsp;&nbsp;&nbsp;US Bancorp, 5Y US TI + 2.54%<sup>(a)(g)</sup> | 6364000 | 6278591 |
| &nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co., Series BB, 5Y US TI + 3.45%<sup>(a)(g)</sup> | 5270000 | 5266848 |
|  |  | 15469753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consumer Finance (0.20%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ally Financial, Inc., Series C, 4.700%<sup>(g)</sup> | 2982000 | 2860139 |
| &nbsp;&nbsp;&nbsp;&nbsp;American Express Co., 3.550%<sup>(g)</sup> | 4021000 | 3981670 |
|  |  | 6841809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Diversified Banks (0.03%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bank of America Corp., 5Y US TI + 2.67%<sup>(a)(g)</sup> | 866000 | 900333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Financial Services (0.78%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Charles Schwab Corp., Series I, 5Y US TI + 3.17%<sup>(a)(g)</sup> | 10656000 | 10618433 |
| &nbsp;&nbsp;&nbsp;&nbsp;Goldman Sachs Group, Inc., Series X, 5Y US TI + 2.81%<sup>(a)(g)</sup> | 3724000 | 3933330 |
| &nbsp;&nbsp;&nbsp;&nbsp;UBS Group AG, 6.000%<sup>(e)(g)</sup> | 11239000 | 11363236 |
|  |  | 25914999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Life Insurance (0.06%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Jackson Financial, Inc., 8.000%<sup>(g)</sup> | 80297 | 2096555 |
| **Total *Financials*** |  | 51223449 |
| ***Government (0.39%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Government Agencies (0.39%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;CoBank ACB, Series M, 5Y US TI + 2.82%<sup>(a)(g)</sup> | 7000000 | 7245224 |
| &nbsp;&nbsp;&nbsp;&nbsp;Farm Credit Bank of Texas, 5Y US TI + 3.29%<sup>(a)(g)</sup> | 3980000 | 4173118 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;Farm Credit Bank of Texas, Series 6, 5Y US TI + 3.01%<sup>(a)(g)</sup> | 1950000 | $2030067 |
|  |  | 13448409 |
| **Total *Government*** |  | 13448409 |
| ***Health Care (0.25%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Health Care Facilities & Services (0.25%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;CVS Health Corp., 5Y US TI + 2.89%<sup>(a)(g)</sup> | 8000000 | 8376728 |
| **Total *Health Care*** |  | 8376728 |
| ***Utilities (0.69%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Power Generation (0.57%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;American Electric Power Co., Inc., 5Y US TI + 2.67%<sup>(a)(g)</sup> | 10228000 | 10085980 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dominion Energy, Inc., 5Y US TI + 2.26%<sup>(a)(g)</sup> | 2826000 | 2857618 |
| &nbsp;&nbsp;&nbsp;&nbsp;Dominion Energy, Inc., 5Y US TI + 2.00%<sup>(a)(g)</sup> | 2543000 | 2552914 |
| &nbsp;&nbsp;&nbsp;&nbsp;Vistra Corp., 5Y US TI + 6.93%<sup>(a)(e)(g)</sup> | 3967000 | 4042738 |
|  |  | 19539250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Utilities (0.12%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Entergy Corp., 5Y US TI + 2.67%<sup>(a)(g)</sup> | 3980000 | 4169122 |
| **Total *Utilities*** |  | 23708372 |
| **TOTAL PREFERRED STOCK** |  |  |
| **(Cost $96,383,395)** |  | 99298573 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT TERM INVESTMENTS (1.45%)** |  |  |  |
| ***Money Market Fund (1.45%)*** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 3.62% | 49378302 | 49378302 |
| **TOTAL SHORT TERM INVESTMENTS** |  |  |  |
| **(Cost $49,378,302)** |  |  | 49378302 |

---

---

| | |
|:---|:---|
| | **Value**<br>**(Note 2)** |
| **TOTAL INVESTMENTS (100.78%)** |  |
| **(Cost $3,418,587,533)** | $3439030974 |
| **Liabilities In Excess Of Other Assets (-0.78%)** | (26546868) |
| **NET ASSETS (100.00%)** | $3412484106 |

---

**Investment Abbreviations:**

RFUCCT - FTSE USD IBOR Consumer Cash Fallbacks Term

SOFR - Secured Overnight Financing Rate

SOFRINDX - Secured Overnight Financing Rate Index

TI - Treasury Index

**Reference Rates:**

1M RFUCCT - 1 Month RFUCCT as of January 31, 2026 was 3.67%

1M US SOFR - 1 Month SOFR as of January 31, 2026 was 3.67%

30D US SOFR - 30 Day SOFR as of January 31, 2026 was 3.67%

1D US SOFR - 1 Day SOFR as of January 31, 2026 was 3.68%

1Y US TI - 1 Year US TI as of January 31, 2026 was 3.48%

5Y US TI - 5 Year US TI as of January 31, 2026 was 3.79%

1M CME TERM - 1 Month CME TERM SOFR as of January 31, 2026 was 3.67%

*<sup>(a)</sup>* *Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2026 is based on the reference rate plus the displayed spread as of the security's last reset date.*

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

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

*<sup>(d)</sup>* *Step bond. Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect as of January 31, 2026.*

*<sup>(e)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2026, the aggregate market value of those securities was $494,872,892, representing 14.50% of net assets.*

*<sup>(f)</sup>* *The SOFRINDX is a compounded average of the daily Secured Overnight Financing Rate determined by reference to the SOFR Index for any interest period.*

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

 

*See Notes to Quarterly Statement of Investments.*

ALPS \| Smith Credit Opportunities Fund

**STATEMENT OF INVESTMENTS**

***January 31, 2026 (Unaudited)***

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **BANK LOANS (4.43%)** |  |  |
| ***Aerospace & Defense (0.96%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TransDigm, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 2.50%, 02/28/2031<sup>(a)</sup> | $1069785 | $1070496 |
| ***Apparel & Textile Products (1.01%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ABG Intermediate Holdings 2 LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 2.25%, 12/21/2028<sup>(a)</sup> | 1125916 | 1126687 |
| ***Food & Beverage (1.05%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chobani LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 2.25%, 10/28/2032<sup>(a)</sup> | 1164195 | 1168270 |
| ***Medical Equipment & Devices Manufacturing (0.98%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Medline Borrower LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 1.75%, 10/23/2030<sup>(a)</sup> | 1080860 | 1085200 |
| ***Pharmaceuticals (0.20%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amneal Pharmaceuticals LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 3.50%, 08/02/2032<sup>(a)</sup> | 224737 | 225860 |
| ***Restaurants (0.23%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Raising Cane's Restaurants LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M US SOFR + 2.00%, 11/03/2032<sup>(a)</sup> | 256000 | 255681 |
| **TOTAL BANK LOANS** |  |  |
| **(Cost $4,927,644)** |  | 4932194 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **COMMON STOCKS (0.20%)** | **COMMON STOCKS (0.20%)** | **COMMON STOCKS (0.20%)** |
| ***Communications (0.11%)*** | ***Communications (0.11%)*** | ***Communications (0.11%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Verizon Communications, Inc. | 2799 | $124611 |
| **Total *Communications*** |  | 124611 |
| ***Consumer Staples (0.09%)*** | ***Consumer Staples (0.09%)*** | ***Consumer Staples (0.09%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kraft Heinz Co. | 4150 | 98521 |
| **Total *Consumer Staples*** |  | 98521 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **TOTAL COMMON STOCKS** | **TOTAL COMMON STOCKS** | **TOTAL COMMON STOCKS** |
| **(Cost $227,014)** |  | $223132 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **COLLATERALIZED MORTGAGE OBLIGATIONS (6.49%)** |  |  |
| Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-71, Class AP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 11/25/2032 | $3921 | $3808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-90, Class A1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 06/25/2042 | 40071 | 40642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-8, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30D US SOFR + 0.93%, 02/25/2038<sup>(a)</sup> | 79801 | 80555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-114, Class TC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.250%, 03/25/2037 | 203420 | 189684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-110, Class BX, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/25/2041 | 250886 | 246853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-110, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2042 | 84784 | 78760 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-39, Class NB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 04/25/2042 | 175000 | 165153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-29, Class JE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.250%, 04/25/2043 | 151694 | 122651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-27, Class ME, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/25/2044 | 128000 | 122575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-14, Class CA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 04/25/2049 | 96672 | 91880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-7, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/25/2049 | 84453 | 81945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-74, Class LB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/25/2049 | 110520 | 102035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-94, Class KU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/25/2051 | 148251 | 83825 |
|  |  | 1410366 |
| Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2455, Class GK, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 05/15/2032 | 8218 | 8650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-2505, Class D, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 09/15/2032 | 17247 | 17325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-2990, Class GO, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;–%, 02/15/2035<sup>(b)</sup> | 20502 | 18121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-3965, Class ZA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/15/2041 | 232916 | 227958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4096, Class BY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 08/15/2042 | 85000 | 69383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4116, Class UC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/15/2042 | 103000 | 74971 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-4140, Class BW, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 12/15/2042 | $100000 | $75279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-4537, Class AZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 12/15/2045 | 19316 | 17004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4579, Class W, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.381%, 01/15/2038<sup>(a)</sup> | 52196 | 53638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-4614, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/15/2046 | 188605 | 177324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-4839, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/15/2048 | 133578 | 115389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5142, Class PN, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 09/25/2051 | 60479 | 45433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-5151, Class LV, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.500%, 09/25/2051 | 262893 | 143210 |
|  |  | 1043685 |
| Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-93, Class HG, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 09/16/2039 | 5259 | 5244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-139, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 10/20/2041 | 42720 | 39611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-141, Class GH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 10/16/2041 | 150000 | 120524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H05, Class FB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 12/20/2060<sup>(a)</sup> | 6382 | 6386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-H14, Class FC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.61%, 05/20/2061<sup>(a)</sup> | 8408 | 8413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-137, Class EB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 11/20/2042 | 100000 | 66765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-16, Class ND, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 05/20/2039 | 127457 | 117035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-41, Class TJ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/20/2042 | 187933 | 169708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H20, Class BA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.67%, 09/20/2062<sup>(a)</sup> | 4488 | 4496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-H29, Class SA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.63%, 10/20/2062<sup>(a)</sup> | 13757 | 13768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-28, Class DB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/20/2043 | 170000 | 135225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-44, Class CE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/16/2043 | 105656 | 82968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-9, Class KY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/20/2043 | 324000 | 284712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H07, Class GA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.58%, 03/20/2063<sup>(a)</sup> | 5582 | 5583 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H10, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.51%, 03/20/2063<sup>(a)</sup> | $3043 | $3040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H22, Class FT, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1Y US TI + 0.65%, 04/20/2063<sup>(a)</sup> | 642 | 644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-H23, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.41%, 09/20/2063<sup>(a)</sup> | 1688 | 1704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-21, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/16/2044 | 150000 | 136337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-H03, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.71%, 01/20/2064<sup>(a)</sup> | 2184 | 2188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-3, Class ZD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 01/20/2045 | 193946 | 182717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-31, Class B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 02/20/2045 | 100000 | 89585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H10, Class JA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.250%, 04/20/2065 | 20000 | 19304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-H29, Class FL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.71%, 11/20/2065<sup>(a)</sup> | 14344 | 14367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-167, Class AD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.500%, 03/20/2039 | 185585 | 171566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-H09, Class FA, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.76%, 03/20/2066<sup>(a)</sup> | 13544 | 13577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-31, Class BY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 02/20/2047 | 131000 | 100862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H10, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.440%, 04/20/2067<sup>(a)</sup> | 262731 | 252338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H11, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.505%, 04/20/2067<sup>(a)</sup> | 148220 | 140387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H11, Class GZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.608%, 04/20/2067<sup>(a)</sup> | 149137 | 141877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-H18, Class PZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 04/20/2066 | 133475 | 110677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H01, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.607%, 01/20/2068<sup>(a)</sup> | 144546 | 136952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H01, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.565%, 01/20/2068<sup>(a)</sup> | 144175 | 140040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H03, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.573%, 01/20/2068<sup>(a)</sup> | 143177 | 128674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H07, Class FE, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 0.46%, 02/20/2068<sup>(a)</sup> | 5240 | 5229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H07, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.585%, 04/20/2068<sup>(a)</sup> | 66826 | 66629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-H07, Class HZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.617%, 04/20/2068<sup>(a)</sup> | 142207 | 134336 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-103, Class HY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 08/20/2049 | $104493 | $72659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-31, Class JC, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/20/2049 | 71549 | 67415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-134, Class XB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 07/20/2048 | 125000 | 71788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-153, Class GP, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.500%, 10/20/2050 | 145051 | 130048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-160, Class QD, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 10/20/2050 | 162034 | 78919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H09, Class NF, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1M CME TERM SOFR + 1.36%, 04/20/2070<sup>(a)</sup> | 24435 | 24792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H11, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.163%, 05/20/2069<sup>(a)</sup> | 181384 | 143164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H12, Class JZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.175%, 08/20/2069<sup>(a)</sup> | 125826 | 103946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H17, Class KZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.612%, 09/20/2070<sup>(a)</sup> | 475679 | 353803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-H18, Class EY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.498%, 09/20/2070<sup>(a)</sup> | 111867 | 78839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-146, Class EH, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 08/20/2051 | 113536 | 63661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-159, Class AL, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 09/20/2051 | 118000 | 56227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-215, Class TZ, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 12/20/2051 | 150018 | 119575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-225, Class EU, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.000%, 12/20/2051 | 91310 | 52091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-86, Class ML, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.000%, 05/20/2051 | 136000 | 56959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-H02, Class KB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.036%, 01/20/2071<sup>(a)</sup> | 111198 | 74550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-H02, Class PB, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.610%, 05/20/2070<sup>(a)</sup> | 103128 | 98911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-H03, Class NY, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.013%, 01/20/2071<sup>(a)</sup> | 111326 | 75181 |
|  |  | 4775996 |
| **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS** |  |  |
| **(Cost $6,972,458)** |  | 7230047 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **COMMERCIAL MORTGAGE-BACKED SECURITIES (1.64%)** |  |  |
| Fannie Mae-Aces |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-M17, Class X, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.319%, 09/25/2034<sup>(a)(c)</sup> | 22321446 | 225889 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| Freddie Mac Multifamily Structured Pass Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-K056, Class X3, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.107%, 06/25/2026<sup>(a)(c)</sup> | $591680 | $4226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-K059, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.244%, 09/25/2026<sup>(a)(c)</sup> | 5160234 | 5085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2017-KW03, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.764%, 06/25/2027<sup>(a)(c)</sup> | 26967894 | 197626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-K087, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.339%, 12/25/2028<sup>(a)(c)</sup> | 27170521 | 258924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-K092, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.707%, 04/25/2029<sup>(a)(c)</sup> | 16101982 | 311768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-K093, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.937%, 05/25/2029<sup>(a)(c)</sup> | 5740897 | 148435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-K094, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.872%, 06/25/2029<sup>(a)(c)</sup> | 14061292 | 366800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2019-KC05, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.201%, 06/25/2027<sup>(a)(c)</sup> | 1220807 | 10452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-K121, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.013%, 10/25/2030<sup>(a)(c)</sup> | 2414011 | 92445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2020-K738, Class X1, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.476%, 01/25/2027<sup>(a)(c)</sup> | 11480360 | 115964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-Q016, Class APT2, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.472%, 05/25/2028<sup>(a)</sup> | 97930 | 90620 |
|  |  | 1602345 |
| **TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $1,631,258)** |  | 1828234 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **MORTGAGE-BACKED SECURITIES (1.54%)** |  |  |
| Fannie Mae Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1998-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 08/01/2028 | 11993 | 12406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.500%, 08/01/2028 | 11985 | 11736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 1999-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.000%, 04/01/2029 | 8550 | 8346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2001-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12.000%, 11/01/2030 | 40659 | 41735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2002-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 12/01/2032 | 28384 | 29008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 09/01/2028 | 13939 | 13934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.750%, 09/01/2033 | 32159 | 32040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/01/2033 | 14911 | 14953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/01/2033 | 25152 | 24889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/01/2035 | 15772 | 15860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 01/01/2036 | 12341 | 12767 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 01/01/2036 | $24531 | $24424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 03/01/2036 | 21485 | 22037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2007-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 07/01/2037 | 6024 | 6099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 07/01/2037 | 15573 | 16132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 09/01/2037 | 21338 | 22322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.500%, 11/01/2037 | 39392 | 40241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 06/01/2037 | 14369 | 14264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 04/01/2038 | 8586 | 8717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 08/01/2038 | 17742 | 17878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 04/01/2039 | 32865 | 32971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/01/2040 | 2008 | 1977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 02/01/2038 | 33748 | 34054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/01/2041 | 30474 | 30558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 04/01/2043 | 75776 | 70488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 06/01/2045 | 40506 | 38122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 07/01/2044 | 96717 | 97035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.920%, 02/01/2048<sup>(a)</sup> | 7609 | 6785 |
|  |  | 701778 |
| Freddie Mac Gold Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2004-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 01/01/2034 | 22913 | 23022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2005-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 05/01/2035 | 12086 | 12093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2006-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 01/01/2036 | 9326 | 9108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 12/01/2034 | 19044 | 19361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 05/01/2036 | 43103 | 43075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2008-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 05/01/2038 | 47222 | 47074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.000%, 08/01/2038 | 19438 | 19996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.000%, 01/01/2033 | 21021 | 20420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 10/01/2044 | 32312 | 30380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2015-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 03/01/2044 | 23462 | 22490 |
|  |  | 247019 |
| Freddie Mac Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2018-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 08/01/2042 | 36843 | 35056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.500%, 01/01/2036 | 54684 | 53500 |
|  |  | 88556 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| Ginnie Mae I Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2003-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 10/15/2033 | $32184 | $31892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2010-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.000%, 05/15/2040 | 36348 | 36323 |
|  |  | 68215 |
| Ginnie Mae II Pool |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2009-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 11/20/2039 | 35924 | 33866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2011-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 02/20/2041 | 26377 | 25122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2041 | 27444 | 26138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 10/20/2041 | 12260 | 11677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2012-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 01/20/2042 | 84352 | 77741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 05/20/2042 | 74204 | 68655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2013-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 03/20/2043 | 61495 | 56409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.500%, 11/20/2035 | 56932 | 56168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2014-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.750%, 04/20/2044 | 62931 | 57431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2044 | 62545 | 59943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2016-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.500%, 09/20/2046 | 15541 | 14093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series 2021-, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.000%, 05/20/2051 | 133384 | 124734 |
|  |  | 611977 |
| **TOTAL MORTGAGE-BACKED SECURITIES** |  |  |
| **(Cost $1,784,014)** |  | 1717545 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **CORPORATE BONDS (69.06%)** |  |  |
| ***Advertising & Marketing (1.03%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Neptune Bidco US, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.29%, 04/15/2029<sup>(d)</sup> | 880000 | 904280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.50%, 02/15/2033<sup>(d)</sup> | 237000 | 241625 |
| **Total *Advertising & Marketing*** |  | 1145905 |
| ***Aerospace & Defense (1.34%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Boeing Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.01%, 05/01/2064 | 1050000 | 1199821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.90%, 01/29/2036 | 286000 | 289395 |
| **Total *Aerospace & Defense*** |  | 1489216 |
| ***Airlines (1.24%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alaska Airlines 2020-1 Class A Pass Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.80%, 08/15/2027<sup>(d)</sup> | 496784 | 499449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AS Mileage Plan IP, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.31%, 10/20/2031<sup>(d)</sup> | 600000 | 607142 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United Airlines Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 03/01/2031 | $275000 | $278075 |
| **Total *Airlines*** |  | 1384666 |
| ***Apparel & Textile Products (1.02%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Gildan Activewear, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.40%, 10/07/2035<sup>(d)</sup> | 250000 | 249815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Under Armour, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.25%, 07/15/2030<sup>(d)</sup> | 255000 | 261062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;VF Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2.95%, 04/23/2030 | 688000 | 628185 |
| **Total *Apparel & Textile Products*** |  | 1139062 |
| ***Auto Parts Manufacturing (0.46%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Goodyear Tire & Rubber Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63%, 07/15/2030 | 505000 | 517532 |
| ***Automobiles Manufacturing (1.47%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 02/07/2035 | 854000 | 891190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;General Motors Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 04/15/2035 | 700000 | 743522 |
| **Total *Automobiles Manufacturing*** |  | 1634712 |
| ***Banks (5.81%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Associated Banc-Corp |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 3.03%, 08/29/2030<sup>(a)</sup> | 1200000 | 1249918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Capital One NA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.97%, 08/09/2028<sup>(a)</sup> | 1525000 | 1573419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;First Citizens BancShares, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5Y US TI + 1.97%, 03/12/2040<sup>(a)</sup> | 1075000 | 1093958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;M&T Bank Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.80%, 10/30/2029<sup>(a)</sup> | 689000 | 746981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pinnacle Financial Partners, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.35%, 11/01/2030<sup>(a)</sup> | 250000 | 260668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Regions Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 2.06%, 09/06/2035<sup>(a)</sup> | 1137000 | 1169359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.74%, 04/23/2036<sup>(a)</sup> | 361000 | 376457 |
| **Total *Banks*** |  | 6470760 |
| ***Cable & Satellite (1.28%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Directv Financing LLC / Directv Financing Co.-Obligor, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.00%, 02/15/2031<sup>(d)</sup> | 550000 | 566989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sirius XM Radio LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 08/01/2027<sup>(d)</sup> | 856000 | 854996 |
| **Total *Cable & Satellite*** |  | 1421985 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Casinos & Gaming (3.64%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brightstar Lottery PLC/ Brightstar Global Solutions Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 01/15/2033<sup>(d)</sup> | $279000 | $277491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Caesars Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 10/15/2029<sup>(d)</sup> | 887000 | 852258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MGM Resorts International |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.13%, 09/15/2029 | 100000 | 102332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Penn Entertainment, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 01/15/2027<sup>(d)</sup> | 1684000 | 1681683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Station Casinos LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.50%, 02/15/2028<sup>(d)</sup> | 1150000 | 1145289 |
| **Total *Casinos & Gaming*** |  | 4059053 |
| ***Chemicals (0.74%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Celanese US Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 02/15/2031 | 537000 | 549622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;WR Grace Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 08/01/2033<sup>(d)</sup> | 271000 | 271524 |
| **Total *Chemicals*** |  | 821146 |
| ***Consumer Finance (1.28%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fiserv, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.25%, 08/11/2035 | 275000 | 273149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shift4 Payments LLC / Shift4 Payments Finance Sub, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 08/15/2032<sup>(d)</sup> | 1130000 | 1153444 |
| **Total *Consumer Finance*** |  | 1426593 |
| ***Consumer Products (0.74%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Coty, Inc./HFC Prestige Products Inc/HFC Prestige International US LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.60%, 01/15/2031<sup>(d)</sup> | 279000 | 282628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Perrigo Finance Unlimited Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series USD |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.13%, 09/30/2032 | 550000 | 541418 |
| **Total *Consumer Products*** |  | 824046 |
| ***Containers & Packaging (0.90%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Owens-Brockway Glass Container, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63%, 05/13/2027<sup>(d)</sup> | 1000000 | 1005799 |
| ***Department Stores (2.48%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kohl's Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10.00%, 06/01/2030<sup>(d)</sup> | 1400000 | 1535102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Macy's Retail Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.13%, 03/15/2032<sup>(d)</sup> | 1200000 | 1213893 |
| **Total *Department Stores*** |  | 2748995 |
| ***Entertainment Content (2.28%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Discovery Communications LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.13%, 05/15/2029 | 439000 | 426813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.35%, 06/01/2040 | 300000 | 249093 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Paramount Global |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.20%, 05/19/2032 | $754000 | $681041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.38%, 03/15/2043 | 161000 | 110952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.95%, 05/19/2050 | 287000 | 201466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Univision Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.38%, 08/01/2032<sup>(d)</sup> | 500000 | 538563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Warnermedia Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.05%, 03/15/2029 | 168000 | 163064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.14%, 03/15/2052 | 271000 | 180792 |
| **Total *Entertainment Content*** |  | 2551784 |
| ***Entertainment Resources (0.03%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Six Flags Entertainment Corp.'s Wonderland Co./Millennium Operations LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.63%, 01/15/2032<sup>(d)</sup> | 34000 | 34720 |
| ***Exploration & Production (3.74%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ascent Resources Utica Holdings LLC / ARU Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63%, 10/15/2032<sup>(d)</sup> | 1000000 | 1036955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63%, 07/15/2033<sup>(d)</sup> | 22000 | 22795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hilcorp Energy I LP / Hilcorp Finance Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 11/01/2028<sup>(d)</sup> | 756000 | 762626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.25%, 02/15/2035<sup>(d)</sup> | 798000 | 772643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Occidental Petroleum Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 09/15/2031 | 668000 | 769670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Permian Resources Operating LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 02/01/2033<sup>(d)</sup> | 688000 | 709157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 01/15/2032<sup>(d)</sup> | 18000 | 18880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.88%, 07/15/2031<sup>(d)</sup> | 69000 | 74063 |
| **Total *Exploration & Production*** |  | 4166789 |
| ***Financial Services (2.20%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Citadel Securities Global Holdings LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 06/18/2030<sup>(d)</sup> | 322000 | 331002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.20%, 06/18/2035<sup>(d)</sup> | 275000 | 289217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jane Street Group / JSG Finance, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.13%, 11/01/2032<sup>(d)</sup> | 365000 | 371956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/01/2033<sup>(d)</sup> | 230000 | 239340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.13%, 04/30/2031<sup>(d)</sup> | 800000 | 841586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1D US SOFR + 1.75%, 04/17/2036<sup>(a)</sup> | 360000 | 376225 |
| **Total *Financial Services*** |  | 2449326 |
| ***Food & Beverage (1.09%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chobani Holdco II LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.75%, 10/01/2029<sup>(d)</sup> | 109144 | 113688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pilgrim's Pride Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 03/01/2032 | 28000 | 25900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 07/01/2033 | 1004000 | 1074525 |
| **Total *Food & Beverage*** |  | 1214113 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Health Care Facilities & Services (1.91%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 09/15/2034 | $1050000 | $1078174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Star Parent, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.00%, 10/01/2030<sup>(d)</sup> | 1000000 | 1056722 |
| **Total *Health Care Facilities & Services*** |  | 2134896 |
| ***Home Improvement (0.93%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Masterbrand, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 07/15/2032<sup>(d)</sup> | 1000000 | 1037841 |
| ***Industrial Other (1.67%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Herc Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 03/15/2031<sup>(d)</sup> | 210000 | 211615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 03/15/2034<sup>(d)</sup> | 70000 | 70394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.25%, 06/15/2033<sup>(d)</sup> | 550000 | 582335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United Rentals North America, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.38%, 11/15/2033<sup>(d)</sup> | 1000000 | 999937 |
| **Total *Industrial Other*** |  | 1864281 |
| ***Internet Media (1.59%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Alphabet, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.70%, 11/15/2035 | 139000 | 138426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.35%, 11/15/2045 | 65000 | 64165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.45%, 11/15/2055 | 92000 | 89798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.70%, 11/15/2075 | 138000 | 135600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Match Group Holdings II LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.13%, 09/15/2033<sup>(d)</sup> | 570000 | 572512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Meta Platforms, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 11/15/2035 | 139000 | 137544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Series . |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 11/15/2055 | 125000 | 119024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Snap, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 03/01/2033<sup>(d)</sup> | 500000 | 513440 |
| **Total *Internet Media*** |  | 1770509 |
| ***Leisure Products Manufacturing (1.44%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Acushnet Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 12/01/2033<sup>(d)</sup> | 275000 | 278273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amer Sports Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 02/16/2031<sup>(d)</sup> | 1100000 | 1146602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Polaris, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.60%, 03/01/2031 | 176000 | 178770 |
| **Total *Leisure Products Manufacturing*** |  | 1603645 |
| ***Medical Equipment & Devices Manufacturing (0.04%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Insulet Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 04/01/2033<sup>(d)</sup> | 42000 | 43734 |
| ***Metals & Mining (0.56%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carpenter Technology Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 03/01/2034<sup>(d)</sup> | 105000 | 106682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Century Aluminum Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 08/01/2032<sup>(d)</sup> | 85000 | 88129 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cleveland-Cliffs, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.63%, 01/15/2034<sup>(d)</sup> | $410000 | $429687 |
| **Total *Metals & Mining*** |  | 624498 |
| ***Oil & Gas Services & Equipment (2.51%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Diamond Foreign Asset Co. / Diamond Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.50%, 10/01/2030<sup>(d)</sup> | 1000000 | 1064084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Noble Finance II LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 04/15/2030<sup>(d)</sup> | 600000 | 625800 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Seadrill Finance, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.38%, 08/01/2030<sup>(d)</sup> | 500000 | 524204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Transocean International, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.88%, 10/15/2032<sup>(d)</sup> | 18000 | 18996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Transocean Titan Financing, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.38%, 02/01/2028<sup>(d)</sup> | 546429 | 559170 |
| **Total *Oil & Gas Services & Equipment*** |  | 2792254 |
| ***Pharmaceuticals (0.51%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Amneal Pharmaceuticals LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 08/01/2032<sup>(d)</sup> | 535000 | 564007 |
| ***Pipeline (4.10%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Blue Racer Midstream LLC / Blue Racer Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 07/15/2029<sup>(d)</sup> | 1100000 | 1146917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Buckeye Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.88%, 07/01/2029<sup>(d)</sup> | 736000 | 765598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Flex Intermediate Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.32%, 12/30/2039<sup>(d)</sup> | 1069000 | 906259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Genesis Energy LP / Genesis Energy Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 05/15/2033 | 500000 | 522066 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.25%, 01/15/2029 | 635000 | 662309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Global Partners LP / GLP Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.25%, 01/15/2032<sup>(d)</sup> | 540000 | 569515 |
| **Total *Pipeline*** |  | 4572664 |
| ***Property & Casualty Insurance (0.25%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Asurion LLC and Asurion Co.-Issuer, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.00%, 12/31/2032<sup>(d)</sup> | 139000 | 145319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.38%, 02/01/2034<sup>(d)</sup> | 136000 | 137618 |
| **Total *Property & Casualty Insurance*** |  | 282937 |
| ***Publishing & Broadcasting (1.13%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nexstar Media, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 07/15/2027<sup>(d)</sup> | 1255000 | 1255949 |
| ***Real Estate (2.34%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cushman & Wakefield US Borrower LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 05/15/2028<sup>(d)</sup> | 1374000 | 1383429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.88%, 09/01/2031<sup>(d)</sup> | 250000 | 266585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kennedy-Wilson, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 02/01/2030 | 1000000 | 961900 |
| **Total *Real Estate*** |  | 2611914 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| ***Refining & Marketing (1.07%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sunoco LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.63%, 03/15/2031<sup>(d)</sup> | $78000 | $78515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 03/15/2034<sup>(d)</sup> | 78000 | 78244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 05/01/2029<sup>(d)</sup> | 1000000 | 1040406 |
| **Total *Refining & Marketing*** |  | 1197165 |
| ***Restaurants (1.00%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Brinker International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.25%, 07/15/2030<sup>(d)</sup> | 1050000 | 1112817 |
| ***Retail - Consumer Discretionary (1.86%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Advance Auto Parts, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 08/01/2030<sup>(d)</sup> | 286000 | 291039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Men's Wearhouse LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.00%, 02/01/2031<sup>(d)</sup> | 1000000 | 1040977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Petco Health & Wellness Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.25%, 02/01/2031<sup>(d)</sup> | 186000 | 186662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PetSmart LLC / PetSmart Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.50%, 09/15/2032<sup>(d)</sup> | 545000 | 559209 |
| **Total *Retail - Consumer Discretionary*** |  | 2077887 |
| ***Semiconductors (1.34%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Foundry JV Holdco LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.10%, 01/25/2036<sup>(d)</sup> | 1420000 | 1495891 |
| ***Software & Services (0.80%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CoreWeave, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.00%, 02/01/2031<sup>(d)</sup> | 170000 | 165496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fair Isaac Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.00%, 05/15/2033<sup>(d)</sup> | 715000 | 728950 |
| **Total *Software & Services*** |  | 894446 |
| ***Supermarkets & Pharmacies (1.59%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Albertsons Cos. Inc / Safeway, Inc. / New Albertsons LP / Albertsons LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 03/31/2031<sup>(d)</sup> | 60000 | 60181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 02/15/2028<sup>(d)</sup> | 1050000 | 1067602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Albertsons Cos., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;03/31/2032<sup>(d)</sup> | $89000 | $88956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kroger Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.00%, 09/15/2034 | 555000 | 555709 |
| **Total *Supermarkets & Pharmacies*** |  | 1772448 |
| ***Transportation & Logistics (0.11%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Allison Transmission, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 12/01/2033<sup>(d)</sup> | 118000 | 119738 |
| ***Travel & Lodging (2.85%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Carnival Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.75%, 08/01/2032<sup>(d)</sup> | 776000 | 797940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 08/15/2029<sup>(d)</sup> | 500000 | 523578 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NCL Corp., Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.25%, 09/15/2033<sup>(d)</sup> | $74000 | $74444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.75%, 02/01/2032<sup>(d)</sup> | 500000 | 512658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Viking Cruises, Ltd. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.88%, 10/15/2033<sup>(d)</sup> | 190000 | 192710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.13%, 07/15/2031<sup>(d)</sup> | 1000000 | 1067059 |
| **Total *Travel & Lodging*** |  | 3168389 |
| ***Utilities (3.54%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AmeriGas Partners LP / AmeriGas Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.38%, 06/01/2028<sup>(d)</sup> | 1225000 | 1267235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.50%, 06/01/2030<sup>(d)</sup> | 100000 | 107223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Suburban Propane Partners LP/Suburban Energy Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.50%, 12/15/2035<sup>(d)</sup> | 1000000 | 995474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Talen Energy |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.63%, 06/01/2030<sup>(d)</sup> | 1000000 | 1055580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;XPLR Infrastructure Operating Partners LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8.38%, 01/15/2031<sup>(d)</sup> | 500000 | 525487 |
| **Total *Utilities*** |  | 3950999 |
| ***Waste & Environment Services & Equipment (2.89%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GFL Environmental Holdings US, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5.50%, 02/01/2034<sup>(d)</sup> | 1500000 | 1505328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Waste Pro USA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7.00%, 02/01/2033<sup>(d)</sup> | 865000 | 890833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wrangler Holdco Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6.63%, 04/01/2032<sup>(d)</sup> | 800000 | 832993 |
| **Total *Waste & Environment Services & Equipment*** |  | 3229154 |
| ***Wireline Telecommunications Services (0.26%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;APLD ComputeCo LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9.25%, 12/15/2030<sup>(d)</sup> | 280000 | 291198 |
| **TOTAL CORPORATE BONDS** |  |  |
| **(Cost $74,740,564)** |  | 76975463 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| **GOVERNMENT BONDS (12.07%)** |  |  |
| ***U.S. Treasury Bonds (12.07%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 11/15/2045 | 211000 | 205247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 11/15/2055 | 2862000 | 2743495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.75%, 08/15/2055 | 1052000 | 1029152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.88%, 08/15/2045 | 286000 | 287698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Inflation Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1.63%, 04/15/2030 | 562129 | 570778 |

---

---

| | | |
|:---|:---|:---|
| | **Principal**<br>**Amount** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United States Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 10/31/2027 | $560000 | $559650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.50%, 11/30/2030 | 825000 | 814494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.63%, 12/31/2030 | 132000 | 130979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3.75%, 10/31/2032 | 574000 | 565166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 05/31/2030 | 811000 | 819078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.00%, 11/15/2035 | 4581000 | 4487592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4.63%, 02/28/2026 | 1236000 | 1236728 |
| **Total *U.S. Treasury Bonds*** |  | 13450057 |
| **TOTAL GOVERNMENT BONDS** |  |  |
| **(Cost $13,608,631)** |  | 13450057 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **PREFERRED STOCK (3.20%)** |  |  |
| ***Financials (1.90%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Banks (0.33%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Bank of Hawaii., 8.000%<sup>(e)</sup> | 11359 | 298514 |
| &nbsp;&nbsp;&nbsp;&nbsp;US Bancorp, 5Y US TI + 2.54%<sup>(a)(e)</sup> | 65000 | 64128 |
|  |  | 362642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Consumer Finance (0.66%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;American Express Co., 3.550%<sup>(e)</sup> | 740000 | 732762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Diversified Banks (0.16%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Citigroup, Inc., Series II, 6.25%<sup>(e)</sup> | 7000 | 175630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Financial Services (0.75%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;UBS Group AG, 7.125%<sup>(d)(e)</sup> | 825000 | 845756 |
| **Total *Financials*** |  | 2116790 |
| ***Government (0.42%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Government Agencies (0.42%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;CoBank ACB, Series M, 5Y US TI + 2.82%<sup>(a)(e)</sup> | 455000 | 470940 |
| **Total *Government*** |  | 470940 |
| ***Health Care (0.55%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Health Care Facilities & Services (0.55%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;CVS Health Corp., 5Y US TI + 2.89%<sup>(a)(e)</sup> | 590000 | 617784 |
| **Total *Health Care*** |  | 617784 |
| ***Utilities (0.33%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Power Generation (0.33%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Vistra Corp., 5Y US TI + 6.93%<sup>(a)(d)(e)</sup> | 358000 | 364835 |
| **Total *Utilities*** |  | 364835 |

---

---

| | |
|:---|:---|
|  | **Value**<br>**(Note 2)** |
| **TOTAL PREFERRED STOCK** |  |
| **(Cost $3,400,922)** | $3570349 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT TERM INVESTMENTS (0.71%)** | **SHORT TERM INVESTMENTS (0.71%)** | **SHORT TERM INVESTMENTS (0.71%)** | **SHORT TERM INVESTMENTS (0.71%)** |
| ***Money Market Fund (0.71%)*** | ***Money Market Fund (0.71%)*** | ***Money Market Fund (0.71%)*** | ***Money Market Fund (0.71%)*** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morgan Stanley Institutional Liquidity Funds - Government Portfolio | 3.62% | 793267 | 793267 |
| **TOTAL SHORT TERM INVESTMENTS** | **TOTAL SHORT TERM INVESTMENTS** | **TOTAL SHORT TERM INVESTMENTS** | **TOTAL SHORT TERM INVESTMENTS** |
| **(Cost $793,267)** |  |  | 793267 |
| **TOTAL INVESTMENTS (99.34%)** |  |  |  |
| **(Cost $108,085,772)** |  |  | $110720288 |
| **Other Assets In Excess Of Liabilities (0.66%)** |  |  | 736753 |
| **NET ASSETS (100.00%)** |  |  | $111457041 |

---

**Investment Abbreviations:**

SOFR - Secured Overnight Financing Rate

TI - Treasury Index

**Reference Rates:**

1M US SOFR - 1 Month SOFR as of January 31, 2026 was 3.67%

30D US SOFR - 30 Day SOFR as of January 31, 2026 was 3.67%

1D US SOFR - 1 Day SOFR as of January 31, 2026 was 3.68%

1M CME TERM SOFR- 1M CME TERM SOFR as of January 31, 2026 was 3.67%

1Y US TI - 1 Year US TI as of January 31, 2026 was 3.48%

5Y US TI - 5 Year US TI as of January 31, 2026 was 3.79%

*<sup>(a)</sup>* *Floating or variable rate security. The reference rate is described above. The rate in effect as of January 31, 2026 is based on the reference rate plus the displayed spread as of the security's last reset date.*

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

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

*<sup>(d)</sup>* *Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2026, the aggregate market value of those securities was $56,798,031, representing 50.96% of net assets.*

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

 

*See Notes to Quarterly Statement of Investments.*

**Notes to Quarterly Statements of Investments**

January 31, 2026 **(Unaudited)**

**1. ORGANIZATION**

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

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

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

**2. SIGNIFICANT ACCOUNTING POLICIES**

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. Each Fund is considered an investment company for financial reporting purposes, and follows accounting policies in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), including policies specific to investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds and subsidiaries, as applicable, in preparation of their financial statements. The Funds are considered investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies in the Financial Accounting Standards Board Accounting Standards Codification Topic 946 "Financial Services -Investment Companies". In regards to Financial Accounting Standards Board Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures ("ASU 2023-07"), the Chief Operating Decision Maker ("CODM") monitors the operating results of each Fund as a whole. Each Fund's Treasurer is the CODM for each Fund. Each Fund's financial information is used by the CODM to assess each segment's performance. The CODM has determined that each Fund is a single operating segment as defined by ASU 2023-07 that recognizes revenues and incurs expenses. This is supported by the single investment strategy of each Fund, against which the CODM assesses performance.

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

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

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

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

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

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

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

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

The following is a summary of each Fund's investments/financial instruments in the fair value hierarchy as of January 31, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant<br> Observable Inputs** | **Level 3 - Significant<br> Unobservable Inputs** | **Total** |
| **ALPS \| Smith Short Duration Bond Fund** | **ALPS \| Smith Short Duration Bond Fund** | **ALPS \| Smith Short Duration Bond Fund** | **ALPS \| Smith Short Duration Bond Fund** | **ALPS \| Smith Short Duration Bond Fund** |
| Bank Loans | $– | $1751164 | $– | $1751164 |
| Collateralized Mortgage Obligations |  | 72363 |  | 72363 |
| Mortgage-Backed Securities |  | 2586423 |  | 2586423 |
| Corporate Bonds |  | 386522932 |  | 386522932 |
| Government Bonds |  | 243519503 |  | 243519503 |
| Short Term Investments | 5165115 | – | – | 5165115 |
| Total | $5165115 | $634452385 | $– | $639617500 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant<br> Observable Inputs** | **Level 3 - Significant<br> Unobservable Inputs** | **Total** |
| **ALPS \| Smith Total Return Bond Fund** | **ALPS \| Smith Total Return Bond Fund** | **ALPS \| Smith Total Return Bond Fund** | **ALPS \| Smith Total Return Bond Fund** | **ALPS \| Smith Total Return Bond Fund** |
| Bank Loans | $– | $32468208 | $– | $32468208 |
| Collateralized Mortgage Obligations |  | 266220974 |  | 266220974 |
| Commercial Mortgage-Backed Securities |  | 46598626 |  | 46598626 |
| Mortgage-Backed Securities |  | 396901635 |  | 396901635 |
| Corporate Bonds |  | 1400733846 |  | 1400733846 |
| Government Bonds |  | 1147430810 |  | 1147430810 |
| Preferred Stock | 6020869 | 93277704 |  | 99298573 |
| Short Term Investments | 49378302 | – | – | 49378302 |
| Total | $55399171 | $3383631803 | $– | $3439030974 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant Observable<br> Inputs** | **Level 3 - Significant<br> Unobservable Inputs** | **Total** |
| **ALPS \| Smith Credit Opportunities Fund** | **ALPS \| Smith Credit Opportunities Fund** | **ALPS \| Smith Credit Opportunities Fund** | **ALPS \| Smith Credit Opportunities Fund** | **ALPS \| Smith Credit Opportunities Fund** |
| Bank Loans | $– | $4932194 | $– | $4932194 |
| Common Stocks | 223132 |  |  | 223132 |
| Collateralized Mortgage Obligations |  | 7230047 |  | 7230047 |
| Commercial Mortgage-Backed Securities |  | 1828234 |  | 1828234 |
| Mortgage-Backed Securities |  | 1717545 |  | 1717545 |
| Corporate Bonds |  | 76975463 |  | 76975463 |
| Government Bonds | 814494 | 12635563 |  | 13450057 |
| Preferred Stock | 474144 | 3096205 |  | 3570349 |
| Short Term Investments | 793267 | – | – | 793267 |
| Total | $2305037 | $108415251 | $– | $110720288 |

---

For the period ended January 31, 2026, the Funds did not have any securities that used significant unobservable inputs (Level 3) in determining fair value.

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

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

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

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

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

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

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

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

**Financial Investors Trust**

**Schedules of Investments**

**(Unaudited)**

**January 31, 2026**

ALPS \| CoreCommodity Natural Resources ETF

**STATEMENT OF INVESTMENTS**

***January 31, 2026 (Unaudited)***

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| **COMMON STOCKS (99.65%)** |  |  |
| ***Consumer Discretionary (1.33%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Home Construction (1.33%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Sumitomo Forestry Co., Ltd.<sup>(a)</sup> | 461804 | $4996710 |
| **TOTAL CONSUMER DISCRETIONARY** |  | 4996710 |
| ***Consumer Staples (10.73%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Agricultural Chemicals (0.20%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Israel Corp., Ltd. | 2512 | 751092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Agricultural Producers (0.12%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Adecoagro SA<sup>(a)</sup> | 51050 | 452303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Food (9.36%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;AAK AB<sup>(a)</sup> | 36158 | 1006700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Barry Callebaut AG | 622 | 1087827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;China Mengniu Dairy Co., Ltd. | 808470 | 1686878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Danone SA | 25813 | 2014541 |
| &nbsp;&nbsp;&nbsp;&nbsp;Darling Ingredients, Inc.<sup>(b)</sup> | 68289 | 3118076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Dole PLC | 69817 | 1112185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fresh Del Monte Produce, Inc. | 27221 | 1079585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Hormel Foods Corp. | 108944 | 2681112 |
| &nbsp;&nbsp;&nbsp;&nbsp;Inghams Group, Ltd.<sup>(a)</sup> | 210417 | 366310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ingredion, Inc. | 19152 | 2261851 |
| &nbsp;&nbsp;&nbsp;&nbsp;Maple Leaf Foods, Inc.<sup>(a)</sup> | 23265 | 431077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MEIJI Holdings Co., Ltd. | 60064 | 1406125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Morinaga Milk Industry Co., Ltd. | 34703 | 892465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Mowi ASA | 77769 | 1787868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NH Foods, Ltd. | 35122 | 1581353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nisshin Seifun Group, Inc. | 68442 | 868571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nissui Corp. | 124749 | 1043874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Pilgrim's Pride Corp. | 74684 | 3239045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Salmar ASA | 14529 | 864453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tyson Foods, Inc., Class A | 59224 | 3869104 |
| &nbsp;&nbsp;&nbsp;&nbsp;WH Group, Ltd.<sup>(c)(d)</sup> | 2229535 | 2619927 |
|  |  | 35018927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Wholesale - Consumer Staples (1.05%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Archer-Daniels-Midland Co. | 30549 | 2056253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bunge Global SA | 16336 | 1860344 |
|  |  | 3916597 |
| **TOTAL CONSUMER STAPLES** |  | 40138919 |
| ***Energy (38.47%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Oil & Gas Producers (22.20%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Aker BP ASA | 69537 | 2031848 |
| &nbsp;&nbsp;&nbsp;&nbsp;Antero Resources Corp.<sup>(b)</sup> | 2171 | 78959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;APA Corp. | 6183 | 163293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ARC Resources, Ltd. | 86674 | 1608528 |
| &nbsp;&nbsp;&nbsp;&nbsp;Athabasca Oil Corp.<sup>(a)(b)</sup> | 93080 | 546182 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| *Oil & Gas Producers (continued)* | *Oil & Gas Producers (continued)* | *Oil & Gas Producers (continued)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beach Energy, Ltd. | 713936 | $611494 |
| &nbsp;&nbsp;&nbsp;&nbsp;Birchcliff Energy, Ltd.<sup>(a)</sup> | 83988 | 451505 |
| &nbsp;&nbsp;&nbsp;&nbsp;BLUENORD ASA<sup>(b)</sup> | 11925 | 555357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;California Resources Corp. | 54115 | 2895153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Canadian Natural Resources, Ltd. | 3170 | 117870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Cenovus Energy, Inc. | 6984 | 137818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chevron Corp. | 771 | 136390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;China Petroleum & Chemical Corp., Class H | 22220 | 15302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Chord Energy Corp. | 38032 | 3812328 |
| &nbsp;&nbsp;&nbsp;&nbsp;CNX Resources Corp.<sup>(b)</sup> | 1705 | 66154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ConocoPhillips | 18116 | 1888231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Coterra Energy, Inc. | 81864 | 2361776 |
| &nbsp;&nbsp;&nbsp;&nbsp;Crescent Energy Co.<sup>(a)</sup> | 45327 | 442845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Delek Group, Ltd. | 1556 | 433119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Devon Energy Corp. | 56708 | 2280229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Diamondback Energy, Inc. | 3648 | 598090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Eni SpA | 164453 | 3357949 |
| &nbsp;&nbsp;&nbsp;&nbsp;Eni SpA, Sponsored Sponsored ADR<sup>(a)</sup> | 426 | 17432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EOG Resources, Inc. | 27455 | 3078529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EQT Corp. | 2347 | 135492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Equinor ASA | 205942 | 5495778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Exxon Mobil Corp. | 8630 | 1220282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Freehold Royalties, Ltd. | 1961 | 23590 |
| &nbsp;&nbsp;&nbsp;&nbsp;Geopark, Ltd.<sup>(a)</sup> | 129017 | 1094064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Harbour Energy PLC | 267709 | 852056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Headwater Exploration, Inc. | 132208 | 1068034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Inpex Corp. | 89816 | 1998168 |
| &nbsp;&nbsp;&nbsp;&nbsp;Japan Petroleum Exploration Co., Ltd.<sup>(a)</sup> | 87094 | 1065883 |
| &nbsp;&nbsp;&nbsp;&nbsp;Karoon Energy, Ltd.<sup>(a)</sup> | 411164 | 485302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Magnolia Oil & Gas Corp., Class A | 68056 | 1736109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Matador Resources Co. | 65053 | 2942998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;MOL Hungarian Oil & Gas PLC | 89486 | 1092912 |
| &nbsp;&nbsp;&nbsp;&nbsp;Murphy Oil Corp.<sup>(a)</sup> | 121547 | 3657349 |
| &nbsp;&nbsp;&nbsp;&nbsp;NuVista Energy, Ltd.<sup>(a)(b)</sup> | 133690 | 1830119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Occidental Petroleum Corp. | 49048 | 2226289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OMV AG | 56574 | 3356363 |
| &nbsp;&nbsp;&nbsp;&nbsp;Paramount Resources, Ltd., Class A<sup>(a)</sup> | 99165 | 1870200 |
| &nbsp;&nbsp;&nbsp;&nbsp;Parex Resources, Inc.<sup>(a)</sup> | 175210 | 2599230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Permian Resources Corp. | 134057 | 2162339 |
| &nbsp;&nbsp;&nbsp;&nbsp;Peyto Exploration & Development Corp.<sup>(a)</sup> | 66402 | 1196714 |
| &nbsp;&nbsp;&nbsp;&nbsp;PrairieSky Royalty, Ltd.<sup>(a)</sup> | 26367 | 573949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Range Resources Corp. | 2733 | 103444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Repsol SA | 9194 | 180419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SandRidge Energy, Inc. | 7778 | 123281 |
| &nbsp;&nbsp;&nbsp;&nbsp;SM Energy Co.<sup>(a)</sup> | 393335 | 7658232 |
| &nbsp;&nbsp;&nbsp;&nbsp;Talos Energy, Inc.<sup>(b)</sup> | 94509 | 1126547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tamarack Valley Energy, Ltd. | 86377 | 584241 |
| &nbsp;&nbsp;&nbsp;&nbsp;Topaz Energy Corp.<sup>(a)</sup> | 7608 | 163150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TotalEnergies SE | 21006 | 1522607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Tourmaline Oil Corp. | 51064 | 2416601 |
| &nbsp;&nbsp;&nbsp;&nbsp;VAALCO Energy, Inc.<sup>(a)</sup> | 90669 | 466039 |

---

---

| | | | |
|:---|:---|:---|:---|
|  | | **Value** | **Value** |
| |<br>**Shares** | **(Note 2)** | **(Note 2)** |
| *Oil & Gas Producers (continued)* | *Oil & Gas Producers (continued)* | *Oil & Gas Producers (continued)* | *Oil & Gas Producers (continued)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Var Energi ASA | 396452 | $| 1435469 |
| &nbsp;&nbsp;&nbsp;&nbsp;Vermilion Energy, Inc.<sup>(a)</sup> | 71939 |  | 695272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Woodside Energy Group, Ltd. | 16662 |  | 294357 |
|  |  |  | 83139260 |
| *Oil & Gas Services & Equipment (10.74%)* | *Oil & Gas Services & Equipment (10.74%)* | *Oil & Gas Services & Equipment (10.74%)* | *Oil & Gas Services & Equipment (10.74%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Aker Solutions ASA | 124627 |  | 454224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Archrock, Inc. | 28203 |  | 834527 |
| &nbsp;&nbsp;&nbsp;&nbsp;Atlas Energy Solutions, Inc.<sup>(a)</sup> | 104580 |  | 1220449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Baker Hughes Co. | 6547 |  | 366894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;China Oilfield Services Ltd. | 416398 |  | 456795 |
| &nbsp;&nbsp;&nbsp;&nbsp;Core Laboratories, Inc.<sup>(a)</sup> | 32611 |  | 637219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Enerflex, Ltd. | 76455 |  | 1403159 |
| &nbsp;&nbsp;&nbsp;&nbsp;Expro Group Holdings NV<sup>(b)</sup> | 110663 |  | 1771714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fugro N.V. | 76589 |  | 1057646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Halliburton Co. | 68551 |  | 2297829 |
| &nbsp;&nbsp;&nbsp;&nbsp;Helix Energy Solutions Group, Inc.<sup>(b)</sup> | 186691 |  | 1482327 |
| &nbsp;&nbsp;&nbsp;&nbsp;Innovex International, Inc.<sup>(b)</sup> | 22560 |  | 560616 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kodiak Gas Services, Inc. | 39493 |  | 1659101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Liberty Energy, Inc., Class A | 135752 |  | 3346286 |
| &nbsp;&nbsp;&nbsp;&nbsp;Nabors Industries, Ltd.<sup>(b)</sup> | 13564 |  | 906618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;National Oilwell Varco, Inc. | 84331 |  | 1547474 |
| &nbsp;&nbsp;&nbsp;&nbsp;NOW, Inc.<sup>(b)</sup> | 73075 |  | 1110009 |
| &nbsp;&nbsp;&nbsp;&nbsp;Oceaneering International, Inc.<sup>(b)</sup> | 46718 |  | 1406212 |
| &nbsp;&nbsp;&nbsp;&nbsp;Pason Systems, Inc.<sup>(a)</sup> | 50923 |  | 451394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Patterson-UTI Energy, Inc. | 293602 |  | 2210822 |
| &nbsp;&nbsp;&nbsp;&nbsp;Precision Drilling Corp.<sup>(b)</sup> | 13578 |  | 1082929 |
| &nbsp;&nbsp;&nbsp;&nbsp;ProPetro Holding Corp.<sup>(b)</sup> | 114529 |  | 1315938 |
| &nbsp;&nbsp;&nbsp;&nbsp;RPC, Inc.<sup>(a)</sup> | 195012 |  | 1296830 |
| &nbsp;&nbsp;&nbsp;&nbsp;Saipem SpA<sup>(a)</sup> | 633387 |  | 2334199 |
| &nbsp;&nbsp;&nbsp;&nbsp;Secure Waste Infrastructure Corp.<sup>(a)</sup> | 72424 |  | 934520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Select Water Solutions, Inc. | 93620 |  | 1131866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SLB, Ltd. | 35500 |  | 1717490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Subsea 7 SA | 24912 |  | 635314 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tetra Technologies Inc<sup>(b)</sup> | 60094 |  | 685072 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;TGS ASA | 74400 |  | 780271 |
| &nbsp;&nbsp;&nbsp;&nbsp;Tidewater, Inc.<sup>(b)</sup> | 26591 |  | 1661672 |
| &nbsp;&nbsp;&nbsp;&nbsp;Valaris, Ltd.<sup>(b)</sup> | 17845 |  | 1030192 |
| &nbsp;&nbsp;&nbsp;&nbsp;Viridien<sup>(b)</sup> | 3229 |  | 486476 |
|  |  |  | 40274084 |
| *Renewable Energy (5.53%)* | *Renewable Energy (5.53%)* | *Renewable Energy (5.53%)* | *Renewable Energy (5.53%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;Ameresco, Inc., Class A<sup>(b)</sup> | 25867 |  | 810672 |
| &nbsp;&nbsp;&nbsp;&nbsp;Array Technologies, Inc.<sup>(a)(b)</sup> | 34349 |  | 389002 |
| &nbsp;&nbsp;&nbsp;&nbsp;Canadian Solar, Inc.<sup>(a)(b)</sup> | 67242 |  | 1286003 |
| &nbsp;&nbsp;&nbsp;&nbsp;Corp ACCIONA Energias Renovables SA<sup>(a)</sup> | 46369 |  | 1175123 |
| &nbsp;&nbsp;&nbsp;&nbsp;Daqo New Energy Corp., ADR<sup>(b)</sup> | 82358 |  | 2035890 |
| &nbsp;&nbsp;&nbsp;&nbsp;Enphase Energy, Inc.<sup>(b)</sup> | 38512 |  | 1424174 |
| &nbsp;&nbsp;&nbsp;&nbsp;First Solar, Inc.<sup>(b)</sup> | 3909 |  | 881558 |
| &nbsp;&nbsp;&nbsp;&nbsp;Flat Glass Group Co., Ltd.<sup>(a)</sup> | 891198 |  | 1245745 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fluence Energy, Inc.<sup>(a)(b)</sup> | 32807 |  | 1009471 |
| &nbsp;&nbsp;&nbsp;&nbsp;Green Plains, Inc.<sup>(b)</sup> | 84195 |  | 964875 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| *Renewable Energy (continued)* | *Renewable Energy (continued)* | *Renewable Energy (continued)* |
| &nbsp;&nbsp;&nbsp;&nbsp;Nordex SE<sup>(b)</sup> | 37539 | 1503999 |
| &nbsp;&nbsp;&nbsp;&nbsp;Shoals Technologies Group, Inc., Class A<sup>(b)</sup> | 302352 | 2854203 |
| &nbsp;&nbsp;&nbsp;&nbsp;SMA Solar Technology AG<sup>(b)</sup> | 14889 | 651238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vestas Wind Systems A/S | 81484 | 2478657 |
| &nbsp;&nbsp;&nbsp;&nbsp;Xinte Energy Co., Ltd., Class H<sup>(b)</sup> | 389706 | 379624 |
| &nbsp;&nbsp;&nbsp;&nbsp;Xinyi Solar Holdings, Ltd.<sup>(a)</sup> | 3813324 | 1649881 |
|  |  | 20740115 |
| **TOTAL ENERGY** |  | 144153459 |
| ***Industrials (4.67%)*** | ***Industrials (4.67%)*** | ***Industrials (4.67%)*** |
| *Electrical Equipment (0.24%)* | *Electrical Equipment (0.24%)* | *Electrical Equipment (0.24%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;Bloom Energy Corp., Class A<sup>(b)</sup> | 6020 | 911247 |
| *Environmental Control (0.12%)* | *Environmental Control (0.12%)* | *Environmental Control (0.12%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;METAWATER Co., Ltd. | 21344 | 455815 |
| *Machinery (4.31%)* | *Machinery (4.31%)* | *Machinery (4.31%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AGCO Corp. | 14402 | 1633331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bucher Industries AG | 898 | 415864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;CNH Industrial NV | 86918 | 935238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deere & Co. | 3839 | 2026992 |
| &nbsp;&nbsp;&nbsp;&nbsp;Energy Recovery, Inc.<sup>(b)</sup> | 24766 | 361336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Epiroc AB | 61386 | 1720807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FLSmidth & Co. A/S | 6981 | 600000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kubota Corp. | 181736 | 2782524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Kurita Water Industries, Ltd. | 37242 | 1856084 |
| &nbsp;&nbsp;&nbsp;&nbsp;Organo Corp.<sup>(a)</sup> | 16130 | 1691586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sany Heavy Equipment International Holdings Co., Ltd. | 447289 | 688789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Veralto Corp. | 14510 | 1436200 |
|  |  | 16148751 |
| **TOTAL INDUSTRIALS** |  | 17515813 |
| ***Materials (35.93%)*** | ***Materials (35.93%)*** | ***Materials (35.93%)*** |
| *Base Metal (0.17%)* | *Base Metal (0.17%)* | *Base Metal (0.17%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;Hudbay Minerals, Inc.<sup>(a)</sup> | 26962 | 638582 |
| *Base Metals (0.25%)* | *Base Metals (0.25%)* | *Base Metals (0.25%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;NexGen Energy, Ltd.<sup>(a)(b)</sup> | 12911 | 162140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;UACJ Corp. | 50826 | 802326 |
|  |  | 964466 |
| *Chemicals (3.14%)* | *Chemicals (3.14%)* | *Chemicals (3.14%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Albemarle Corp. | 5899 | 1006546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;AMG Critical Materials NV | 16504 | 706618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Corteva, Inc. | 45199 | 3290488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;FMC Corp. | 48173 | 761133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICL Group, Ltd. | 355615 | 1943484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ICL Group, Ltd. | 55092 | 294742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;K+S AG | 56918 | 932407 |
| &nbsp;&nbsp;&nbsp;&nbsp;Nufarm, Ltd.<sup>(b)</sup> | 269016 | 442097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nutrien, Ltd. | 7507 | 517157 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Chemicals (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Yara International ASA | 40876 | $1881132 |
|  |  | 11775804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Forestry, Paper & Wood Products (1.31%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Holmen AB | 10366 | 388456 |
| &nbsp;&nbsp;&nbsp;&nbsp;Svenska Cellulosa AB SCA<sup>(a)</sup> | 124318 | 1556853 |
| &nbsp;&nbsp;&nbsp;&nbsp;West Fraser Timber Co., Ltd.<sup>(a)</sup> | 43172 | 2948309 |
|  |  | 4893618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Metals & Mining (27.47%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;African Rainbow Minerals, Ltd.<sup>(a)</sup> | 35787 | 531519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Agnico-Eagle Mines, Ltd. | 3439 | 655130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Agnico-Eagle Mines, Ltd. | 979 | 186101 |
| &nbsp;&nbsp;&nbsp;&nbsp;Allied Gold Corp.<sup>(b)</sup> | 24996 | 788806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Anglo American PLC | 24778 | 1155477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Antofagasta PLC | 28425 | 1418897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Aurubis AG | 10544 | 2004739 |
| &nbsp;&nbsp;&nbsp;&nbsp;Aya Gold & Silver, Inc.<sup>(b)</sup> | 33414 | 542320 |
| &nbsp;&nbsp;&nbsp;&nbsp;B2Gold Corp.<sup>(a)</sup> | 188938 | 925796 |
| &nbsp;&nbsp;&nbsp;&nbsp;Bellevue Gold, Ltd.<sup>(b)</sup> | 82246 | 107958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BHP Group, Ltd. | 171970 | 6055822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Boliden AB | 67302 | 4734374 |
| &nbsp;&nbsp;&nbsp;&nbsp;Boss Energy, Ltd.<sup>(a)(b)</sup> | 747336 | 1014794 |
| &nbsp;&nbsp;&nbsp;&nbsp;Capricorn Metals, Ltd.<sup>(b)</sup> | 179553 | 1849219 |
| &nbsp;&nbsp;&nbsp;&nbsp;Capstone Copper Corp.<sup>(b)</sup> | 402318 | 4458545 |
| &nbsp;&nbsp;&nbsp;&nbsp;Catalyst Metals, Ltd.<sup>(b)</sup> | 111530 | 669463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Centerra Gold, Inc. | 51936 | 870018 |
| &nbsp;&nbsp;&nbsp;&nbsp;Century Aluminum Co.<sup>(b)</sup> | 26620 | 1206685 |
| &nbsp;&nbsp;&nbsp;&nbsp;Champion Iron, Ltd.<sup>(a)</sup> | 229655 | 940331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;China Hongqiao Group, Ltd. | 295332 | 1365496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;China Nonferrous Mining Corp., Ltd. | 1051482 | 2113166 |
| &nbsp;&nbsp;&nbsp;&nbsp;Coeur Mining, Inc.<sup>(b)</sup> | 15143 | 309523 |
| &nbsp;&nbsp;&nbsp;&nbsp;Compass Minerals International, Inc.<sup>(b)</sup> | 31953 | 798186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deterra Royalties, Ltd. | 219778 | 647369 |
| &nbsp;&nbsp;&nbsp;&nbsp;Develop Global, Ltd.<sup>(b)</sup> | 122983 | 451318 |
| &nbsp;&nbsp;&nbsp;&nbsp;Emerald Resources NL<sup>(b)</sup> | 208535 | 1081839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Eramet SA | 8423 | 736837 |
| &nbsp;&nbsp;&nbsp;&nbsp;ERO Copper Corp.<sup>(a)(b)</sup> | 42172 | 1414767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Evolution Mining, Ltd. | 40229 | 412078 |
| &nbsp;&nbsp;&nbsp;&nbsp;First Quantum Minerals, Ltd.<sup>(b)</sup> | 98816 | 2793248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fortescue, Ltd. | 97744 | 1429344 |
| &nbsp;&nbsp;&nbsp;&nbsp;Fortuna Mining Corp.<sup>(a)(b)</sup> | 75838 | 741696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Freeport-McMoRan, Inc. | 58681 | 3534357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Fresnillo PLC | 385 | 19503 |
| &nbsp;&nbsp;&nbsp;&nbsp;G Mining Ventures Corp.<sup>(b)</sup> | 12256 | 388566 |
| &nbsp;&nbsp;&nbsp;&nbsp;Genesis Minerals, Ltd.<sup>(b)</sup> | 114816 | 606836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Grupo Mexico SAB de CV, Series B | 149524 | 1649846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;IGO, Ltd. | 60636 | 351303 |
| &nbsp;&nbsp;&nbsp;&nbsp;Iluka Resources, Ltd.<sup>(a)</sup> | 348065 | 1299130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Impala Platinum Holdings, Ltd. | 54867 | 1073309 |
| &nbsp;&nbsp;&nbsp;&nbsp;Industrias Penoles SAB de CV<sup>(b)</sup> | 3559 | 206298 |
| &nbsp;&nbsp;&nbsp;&nbsp;IperionX, Ltd.<sup>(b)</sup> | 143143 | 732630 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Metals & Mining (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Ivanhoe Mines, Ltd., Class A<sup>(b)</sup> | 109897 | $1389804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Jiangxi Copper Co., Ltd. | 115354 | 700798 |
| &nbsp;&nbsp;&nbsp;&nbsp;K92 Mining, Inc.<sup>(b)</sup> | 88148 | 1654656 |
| &nbsp;&nbsp;&nbsp;&nbsp;Kumba Iron Ore, Ltd.<sup>(a)</sup> | 74509 | 1660496 |
| &nbsp;&nbsp;&nbsp;&nbsp;Labrador Iron Ore Royalty Corp.<sup>(a)</sup> | 58135 | 1260342 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lingbao Gold Group Co., Ltd.<sup>(a)</sup> | 388150 | 1153703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Lundin Gold, Inc. | 6955 | 521402 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lundin Mining Corp.<sup>(a)</sup> | 26552 | 669821 |
| &nbsp;&nbsp;&nbsp;&nbsp;Lynas Rare Earths, Ltd.<sup>(b)</sup> | 153210 | 1589647 |
| &nbsp;&nbsp;&nbsp;&nbsp;McEwen Mining, Inc.<sup>(a)(b)</sup> | 37158 | 897366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Metso Corporation | 87554 | 1713968 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mineral Resources, Ltd.<sup>(b)</sup> | 8310 | 330708 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mitsubishi Materials Corp.<sup>(a)</sup> | 41520 | 1193338 |
| &nbsp;&nbsp;&nbsp;&nbsp;MMG, Ltd.<sup>(a)(b)</sup> | 986333 | 1299185 |
| &nbsp;&nbsp;&nbsp;&nbsp;Mongolian Mining Corp.<sup>(b)</sup> | 566200 | 994389 |
| &nbsp;&nbsp;&nbsp;&nbsp;MP Materials Corp.<sup>(a)(b)</sup> | 35808 | 2104436 |
| &nbsp;&nbsp;&nbsp;&nbsp;NGEx Minerals, Ltd.<sup>(b)</sup> | 29640 | 612979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Norsk Hydro ASA | 204793 | 1835599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Northam Platinum Holdings, Ltd. | 39797 | 977572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Northern Star Resources, Ltd. | 27751 | 559248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;NRW Holdings, Ltd. | 131684 | 477747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;OceanaGold Corp. | 13384 | 433667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Perseus Mining, Ltd. | 580604 | 2385390 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ramaco Resources, Inc.<sup>(b)</sup> | 24985 | 487457 |
| &nbsp;&nbsp;&nbsp;&nbsp;Ramaco Resources, Inc.<sup>(a)</sup> | 1202 | 15770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ramelius Resources, Ltd. | 360120 | 1183632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Regis Resources, Ltd. | 260297 | 1460937 |
| &nbsp;&nbsp;&nbsp;&nbsp;Sandfire Resources NL<sup>(b)</sup> | 100787 | 1393133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Shougang Fushan Resources Group, Ltd. | 4434 | 1873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;South32, Ltd. | 1138883 | 3663941 |
| &nbsp;&nbsp;&nbsp;&nbsp;Southern Copper Corp.<sup>(a)</sup> | 6323 | 1203393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Sumitomo Metal Mining Co., Ltd. | 42508 | 2570915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SunCoke Energy, Inc. | 75514 | 593540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Teck Resources, Ltd., Class B | 71902 | 3865451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Torex Gold Resources, Inc. | 14481 | 697011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Wanguo Gold Group, Ltd. | 291004 | 463768 |
| &nbsp;&nbsp;&nbsp;&nbsp;Wesdome Gold Mines, Ltd.<sup>(b)</sup> | 79740 | 1305331 |
| &nbsp;&nbsp;&nbsp;&nbsp;West African Resources, Ltd.<sup>(b)</sup> | 537508 | 1381143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Westgold Resources, Ltd. | 193834 | 993425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Zhaojin Mining Industry Co., Ltd. | 121360 | 562362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Zijin Mining Group Co., Ltd. | 44951 | 241094 |
|  |  | 102773076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Mining Services (0.14%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Perenti, Ltd. | 275178 | 538453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Precious Metal Mining (0.23%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Endeavour Mining PLC<sup>(a)</sup> | 15480 | 845139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Steel (3.22%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Acerinox SA | 47022 | 697279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;APERAM SA | 10938 | 473756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;ArcelorMittal SA | 5192 | 282977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;BlueScope Steel, Ltd. | 31713 | 667800 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Steel (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Cleveland-Cliffs, Inc.<sup>(b)</sup> | 8854 | $121831 |
| &nbsp;&nbsp;&nbsp;&nbsp;Daido Steel Co., Ltd.<sup>(a)</sup> | 20544 | 263504 |
| &nbsp;&nbsp;&nbsp;&nbsp;JFE Holdings, Inc.<sup>(a)</sup> | 218874 | 2950187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Maruichi Steel Tube, Ltd. | 43672 | 432600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Nippon Steel Corp. | 28663 | 119627 |
| &nbsp;&nbsp;&nbsp;&nbsp;OSAKA Titanium Technologies Co., Ltd.<sup>(a)</sup> | 131718 | 1955854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Outokumpu Oyj | 47145 | 266117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SSAB AB, Class A | 107721 | 895629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Ternium SA, Sponsored ADR | 16998 | 711196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Vallourec SACA | 49141 | 1040336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;voestalpine AG | 21173 | 1003900 |
| &nbsp;&nbsp;&nbsp;&nbsp;Yamato Kogyo Co., Ltd.<sup>(a)</sup> | 2172 | 156627 |
|  |  | 12039220 |
| **TOTAL MATERIALS** |  | 134468358 |
| ***Real Estate (0.77%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*REIT (0.77%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;PotlatchDeltic Corp. | 15710 | 655578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Rayonier, Inc. | 70942 | 1613221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Weyerhaeuser Co. | 23669 | 610187 |
|  |  | 2878986 |
| **TOTAL REAL ESTATE** |  | 2878986 |
| ***Technology (0.22%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Semiconductors (0.22%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;SUMCO Corp. | 77524 | 808502 |
| **TOTAL TECHNOLOGY** |  | 808502 |
| ***Utilities (7.53%)*** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Electric Utilities (4.71%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Boralex, Inc., Class A<sup>(a)</sup> | 55470 | 1028618 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;China Datang Corp. Renewable Power Co., Ltd. | 2504912 | 670148 |
| &nbsp;&nbsp;&nbsp;&nbsp;China Longyuan Power Group Corp., Ltd.<sup>(a)</sup> | 2097761 | 1906543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Drax Group PLC | 92097 | 1135444 |
| &nbsp;&nbsp;&nbsp;&nbsp;Enlight Renewable Energy, Ltd.<sup>(b)</sup> | 13944 | 814691 |
| &nbsp;&nbsp;&nbsp;&nbsp;ERG SpA<sup>(a)</sup> | 31264 | 830861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Iberdrola SA | 110829 | 2486206 |
| &nbsp;&nbsp;&nbsp;&nbsp;Northland Power, Inc.<sup>(a)</sup> | 151306 | 2085715 |
| &nbsp;&nbsp;&nbsp;&nbsp;Orsted AS<sup>(b)(c)(d)</sup> | 174541 | 3922799 |
| &nbsp;&nbsp;&nbsp;&nbsp;ReNew Energy Global PLC<sup>(a)(b)</sup> | 62425 | 338344 |
| &nbsp;&nbsp;&nbsp;&nbsp;RENOVA, Inc.<sup>(b)</sup> | 110142 | 490358 |
| &nbsp;&nbsp;&nbsp;&nbsp;Scatec ASA<sup>(b)(c)(d)</sup> | 40401 | 483696 |
| &nbsp;&nbsp;&nbsp;&nbsp;Solaria Energia y Medio Ambiente SA<sup>(b)</sup> | 66130 | 1457223 |
|  |  | 17650646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Gas & Water Utilities (2.82%)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Beijing Enterprises Water Group, Ltd. | 1604720 | 552565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;California Water Service Group | 27424 | 1225853 |

---

---

| | | |
|:---|:---|:---|
| |<br>**Shares** | **Value**<br>**(Note 2)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;*Gas & Water Utilities (continued)* |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Essential Utilities, Inc. | 37267 | $1445586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Guangdong Investment, Ltd. | 1573184 | 1486169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;H2O America | 22417 | 1166581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;National Fuel Gas Co. | 2450 | 205188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Severn Trent PLC | 30564 | 1224551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;United Utilities Group PLC | 84023 | 1433705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Veolia Environnement SA | 50371 | 1888547 |
|  |  | 10628745 |
| **TOTAL UTILITIES** |  | 28279391 |
| **TOTAL COMMON STOCKS** |  |  |
| **(Cost $304,152,800)** |  | 373240138 |

---

---

| | | | |
|:---|:---|:---|:---|
| | **7-Day**<br>**Yield** |<br>**Shares** | **Value**<br>**(Note 2)** |
| **SHORT-TERM INVESTMENTS (8.11%)** | **SHORT-TERM INVESTMENTS (8.11%)** | **SHORT-TERM INVESTMENTS (8.11%)** | **SHORT-TERM INVESTMENTS (8.11%)** |
| ***Money Market Fund (0.28%)*** | ***Money Market Fund (0.28%)*** | ***Money Market Fund (0.28%)*** | ***Money Market Fund (0.28%)*** |
| *Money Market Fund (0.28%)* | *Money Market Fund (0.28%)* | *Money Market Fund (0.28%)* | *Money Market Fund (0.28%)* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;State Street Institutional Treasury Plus Money Market Fund - Premier Class | 3.642% | 1039466 | 1039466 |
| **TOTAL MONEY MARKET FUND** |  |  | 1039466 |
| ***Investments Purchased with Collateral from Securities Loaned (7.83%)*** |  |  |  |
| State Street Navigator Securities Lending Government Money Market Portfolio |  |  |  |
| (Cost 29,325,616) | 3.71% | 29325616 | 29325616 |
| **TOTAL SHORT-TERM INVESTMENTS** | **TOTAL SHORT-TERM INVESTMENTS** | **TOTAL SHORT-TERM INVESTMENTS** | **TOTAL SHORT-TERM INVESTMENTS** |
| **(Cost 30,365,082)** |  |  | 30365082 |
| **TOTAL INVESTMENTS (107.76%)** |  |  |  |
| **(Cost $334,517,882)** |  |  | 403605220 |
| **Liabilities In Excess Of Other Assets (-7.76%)** |  |  | (29070196) |
| **NET ASSETS (100.00%)** |  |  | $374535024 |

---

*<sup>(a)</sup>* *Security, or a portion of the security position is currently on loan. The total market value of securities on loan is $52,193,182.*

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

*<sup>(c)</sup>* *Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of January 31, 2026, the aggregate market value of those securities was $7,026,422, representing 1.88% of net assets.*

*<sup>(d)</sup>* *Securities were purchased pursuant to Regulation S under the Securities Act of 1933, which exempts securities offered and sold outside of the United States from registration. Such securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. These securities have been deemed liquid under guidelines utilized by the Valuation Designee. As of January 31, 2026 the aggregate market value of those securities was $7,026,422, representing 1.88% of net assets.*

 

*See Notes to Quarterly Statement of Investments.*

**Notes to Quarterly Statement of Investments**

January 31, 2026 **(Unaudited)**

**1. ORGANIZATION**

Financial Investors Trust (the "Trust"), a Delaware statutory trust, is an open-end management investment company registered under the Investment Company Act of 1940, as amended ("1940 Act"). The Trust consists of multiple separate portfolios or series. This report includes the statement of investments of the ALPS \| CoreCommodity Natural Resources ETF (the "Fund"), which commenced operations on July 11, 2024. The Fund seeks to maximize real returns, consistent with prudent investment management.

Shares of the Fund are listed on the NASDAQ Stock Market LLC ("NASDAQ"). The Fund's Net Asset Value ("NAV") is determined daily, as of the close of regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading. The NAV is computed by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses and dividends declared but unpaid), by the total number of shares outstanding.

**2. SIGNIFICANT ACCOUNTING POLICIES**

The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. The Fund is considered an investment company for financial reporting purposes, and follows accounting policies in conformity with accounting principles generally accepted in the United States of America ("U.S. GAAP"), including policies specific to investment companies. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Fund, as applicable, in preparation of its financial statements. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standard Codification ("ASC") Topic 946 "Financial Services – Investment Companies". In regards to Financial Accounting Standards Board Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures ("ASU 2023-07"), the Chief Operating Decision Maker ("CODM") monitors the operating results of the Fund as a whole. The Fund's Treasurer is the CODM for the Fund. The Fund's financial information is used by the CODM to assess each segment's performance. The CODM has determined that the Fund is a single operating segment as defined by ASU 2023-07 that recognizes revenues and incurs expenses. This is supported by the single investment strategy of the Fund, against which the CODM assesses performance.

**Investment Valuation:** The Fund generally values its securities based on market prices determined at the close of regular trading on the NYSE, normally 4:00 p.m. Eastern Time, on each day the NYSE is open for trading. For equity securities and mutual funds that are traded on an exchange, the market price is usually the closing sale or official closing price on that exchange.

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

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

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

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

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

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

The following is a summary of the Fund's investments/financial instruments in the fair value hierarchy as of January 31, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities at Value** | **Level 1 - Unadjusted<br> Quoted Prices** | **Level 2 - Other Significant <br> Observable Inputs** | **Level 3 - Significant<br> Unobservable Inputs** | **Total** |
| **ALPS \| CoreCommodity Natural Resources ETF** | **ALPS \| CoreCommodity Natural Resources ETF** | **ALPS \| CoreCommodity Natural Resources ETF** | **ALPS \| CoreCommodity Natural Resources ETF** | **ALPS \| CoreCommodity Natural Resources ETF** |
| Common Stocks<sup>(a)</sup> | $373240138 | $– | $– | $373240138 |
| Short-Term Investments | 30365082 | – | – | 30365082 |
| Total | $403605220 | $– | $– | $403605220 |

---

*<sup>(a)</sup>* *For detailed descriptions of sectors, see the accompanying Statement of Investments.*

The Fund did not have any securities that used significant unobservable inputs (Level 3) in determining fair value during the period ended January 31, 2026.

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

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

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

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

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

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

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

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

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

**Lending of Portfolio Securities:** The Fund has entered into a securities lending agreement with State Street Bank & Trust Co. ("SSB"), the Fund's lending agent. The Fund may lend its portfolio securities only to borrowers that are approved by SSB. The Fund will limit such lending to not more than 33 1/3% of the value of its total assets. The Fund's securities held at SSB as custodian shall be available to be lent except those securities the Fund or ALPS Advisors, Inc. specifically identifies in writing as not being available for lending. The borrower pledges and maintains with the Fund collateral consisting of cash (U.S. Dollars only), securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, and cash equivalents (including irrevocable bank letters of credit) issued by a person other than the borrower or an affiliate of the borrower. The initial collateral received by the Fund is required to have a value of no less than 102% of the market value of the loaned securities for U.S equity securities and a value of no less than 105% of the market value for non-U.S. equity securities. The collateral is maintained thereafter, at a market value equal to not less than 102% of the current value of the U.S. equity securities on loan and not less than 105% of the current value of the non-U.S. equity securities on loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund on the next business day. During the term of the loan, the Fund is entitled to all distributions made on or in respect of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the customary time period for settlement of securities transactions.

Any cash collateral received is reinvested in a money market fund managed by SSB as disclosed in the Fund's Statement of Investments. Non-cash collateral, in the form of securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, is not disclosed in the Fund's Statement of Investments as it is held by the lending agent on behalf of the Fund, and the Fund does not have the ability to re-hypothecate these securities.

The following is a summary of the Fund's securities lending agreement and related cash and non-cash collateral received as of January 31, 2026:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund** | **Market Value of**<br> **Securities on Loan** | **Cash Collateral**<br> **Received** | **Non-Cash Collateral <br>Received** | **Total Collateral**<br> **Received** |
| ALPS \| CoreCommodity Natural Resources ETF | $52193182 | $29325616 | $26675819 | $56001435 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** DENVER

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80203

  - **Telephone number:** 3036232577

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

- **a. Name of Series:** Kotak India Equity Fund

- **b. EDGAR series identifier (if any):** S000030224

- **c. LEI of Series:** 549300NFV67JZQ51BE50

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-01-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $374752234.90

**Total Liabilities:** $265866.43

**Net Assets:** $374486368.47

**Cash Not Reported:** $12740324.80

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000093015 | 1.49%                | -1.00%               | -5.09%               |
| Class ID C000093016 | 0.45%                | -1.99%               | -6.14%               |
| Class ID C000093017 | 1.52%                | -0.94%               | -5.09%               |
| Class ID C000200962 | -1.80%               | -4.22%               | -8.10%               |
| Class ID C000215313 | 1.56%                | -0.96%               | -5.07%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3617242.76              | $2820296.98                                |
| Month 2  | $12635113.33             | $-17214581.98                              |
| Month 3  | $2106655.88              | $-25105541.99                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Aequs Ltd/india                                | Aequs, Ltd.                                 | CUSIP: N/A<br>LEI: 33580025YVC6YTQM7U03       | Long             | EC               | CORP              | IN        |   1206900 | NS      | $1776220.92   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Apollo Pipes Ltd                               | Apollo Pipes, Ltd.                          | CUSIP: N/A<br>LEI: 3358004YY4TS1INHAY39       | Long             | EC               | CORP              | IN        |    562112 | NS      | $1643512.93   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| Apollo Tyres Ltd                               | Apollo Tyres, Ltd.                          | CUSIP: N/A<br>LEI: 335800W2PJ4XBSHQYC34       | Long             | EC               | CORP              | IN        |    827078 | NS      | $4429655.56   | 1.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Bajaj Finance Ltd                              | Bajaj Finance, Ltd.                         | CUSIP: N/A<br>LEI: 335800YTEXC3DO4Z6F68       | Long             | EC               | CORP              | IN        |   1293398 | NS      | $13085777.58  | 3.49%             |  |  |  | No            |                  2 | On Loan: No      |
| Bharti Airtel Ltd                              | Bharti Airtel, Ltd.                         | CUSIP: N/A<br>LEI: 335800KQ1FPKOQ84OR26       | Long             | EC               | CORP              | IN        |    663390 | NS      | $14227705.55  | 3.80%             |  |  |  | No            |                  2 | On Loan: No      |
| Bharti Airtel Ltd                              | Bharti Airtel, Ltd.                         | CUSIP: N/A<br>LEI: 335800KQ1FPKOQ84OR26       | Long             | EC               | CORP              | IN        |     78914 | NS      | $1350801.82   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| Bharat Electronics Ltd                         | Bharat Electronics, Ltd.                    | CUSIP: N/A<br>LEI: 335800HS8AOTM9W1F335       | Long             | EC               | CORP              | IN        |   2319953 | NS      | $11334062.99  | 3.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Brigade Enterprises Ltd                        | Brigade Enterprises, Ltd.                   | CUSIP: N/A<br>LEI: 335800QDUUQVHS6II245       | Long             | EC               | CORP              | IN        |    639899 | NS      | $5242207.67   | 1.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Britannia Industries Ltd                       | Britannia Industries, Ltd.                  | CUSIP: U1744J328<br>LEI: 335800RRN5EVHNNAXN80 | Long             | EC               | CORP              | IN        |    109035 | NS      | $6946591.85   | 1.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Cipla Ltd/india                                | Cipla, Ltd.                                 | CUSIP: N/A<br>LEI: 335800KMJJYEDDK82Q34       | Long             | EC               | CORP              | IN        |    327547 | NS      | $4720596.51   | 1.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Century Plyboards India Ltd                    | Century Plyboards India, Ltd.               | CUSIP: Y1274H102<br>LEI: 335800VGFE3IXOJPGY57 | Long             | EC               | CORP              | IN        |    531929 | NS      | $4645312.05   | 1.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Cognizant Technology Solutions Corp            | Cognizant Technology Solutions Corp.        | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |    216000 | NS      | $17724960.00  | 4.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Dalmia Bharat Ltd                              | Dalmia Bharat, Ltd.                         | CUSIP: N/A<br>LEI: 335800Q2I12HTQ7ETZ32       | Long             | EC               | CORP              | IN        |    241762 | NS      | $5443279.51   | 1.45%             |  |  |  | No            |                  2 | On Loan: No      |
| Eicher Motors Ltd                              | Eicher Motors, Ltd.                         | CUSIP: 609981907<br>LEI: 25490059S64CN2OY7239 | Long             | EC               | CORP              | IN        |     71831 | NS      | $5566983.77   | 1.49%             |  |  |  | No            |                  2 | On Loan: No      |
| Eternal Ltd                                    | Eternal, Ltd.                               | CUSIP: N/A<br>LEI: 335800T4VOF9ETHF8W59       | Long             | EC               | CORP              | IN        |   3958571 | NS      | $11799560.01  | 3.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Godrej Consumer Products Ltd                   | Godrej Consumer Products, Ltd.              | CUSIP: N/A<br>LEI: 335800P4GUWLGZFK2D63       | Long             | EC               | CORP              | IN        |    753979 | NS      | $9467176.57   | 2.53%             |  |  |  | No            |                  2 | On Loan: No      |
| Ge Vernova T&d India Ltd                       | GE Vernova T&D India, Ltd.                  | CUSIP: Y2683R111<br>LEI: 549300NMRD6VZDFLN355 | Long             | EC               | CORP              | IN        |    245809 | NS      | $8632007.75   | 2.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Hdfc Bank Ltd                                  | HDFC Bank, Ltd.                             | CUSIP: 40415F101<br>LEI: 335800ZQ6I4E2JXENC50 | Long             | EC               | CORP              | IN        |    102000 | NS      | $3302760.00   | 0.88%             |  |  |  | No            |                  1 | On Loan: No      |
| Hdfc Bank Ltd                                  | HDFC Bank, Ltd.                             | CUSIP: N/A<br>LEI: 335800ZQ6I4E2JXENC50       | Long             | EC               | CORP              | IN        |   2561674 | NS      | $25901791.41  | 6.92%             |  |  |  | No            |                  2 | On Loan: No      |
| Icici Bank Ltd                                 | ICICI Bank, Ltd.                            | CUSIP: 45104G104<br>LEI: R7RX8ER1V4666J8D1I38 | Long             | EC               | CORP              | IN        |    835000 | NS      | $24457150.00  | 6.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Icici Prudential Asset Management Co Ltd/india | ICICI Prudential Asset Management Co., Ltd. | CUSIP: N/A<br>LEI: 213800C9H7BK49IV6Z79       | Long             | EC               | CORP              | IN        |    285513 | NS      | $9226426.89   | 2.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Icici Bank Ltd                                 | ICICI Bank, Ltd.                            | CUSIP: N/A<br>LEI: R7RX8ER1V4666J8D1I38       | Long             | EC               | CORP              | IN        |    195598 | NS      | $2883628.61   | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| Interglobe Aviation Ltd                        | InterGlobe Aviation, Ltd.                   | CUSIP: N/A<br>LEI: 33580079R8SLLO23XD19       | Long             | EC               | CORP              | IN        |    220000 | NS      | $10994656.51  | 2.94%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Indus Towers Ltd                               | Indus Towers, Ltd.                          | CUSIP: N/A<br>LEI: 335800L6DI4VHODGDK41       | Long             | EC               | CORP              | IN        |   2195744 | NS      | $10651209.69  | 2.84%             |  |  |  | No            |                  2 | On Loan: No      |
| Info Edge India Ltd                            | Info Edge India, Ltd.                       | CUSIP: N/A<br>LEI: 335800MXUVHTBF9DEC78       | Long             | EC               | CORP              | IN        |    375505 | NS      | $5110829.20   | 1.36%             |  |  |  | No            |                  2 | On Loan: No      |
| Jyoti Cnc Automation Ltd                       | Jyoti CNC Automation, Ltd.                  | CUSIP: N/A<br>LEI: 335800QTPXPMUX9DFI48       | Long             | EC               | CORP              | IN        |    469863 | NS      | $4123924.63   | 1.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Max Financial Services Ltd                     | Max Financial Services, Ltd.                | CUSIP: N/A<br>LEI: 335800Y9FX8XGFB64S40       | Long             | EC               | CORP              | IN        |    662405 | NS      | $11619586.44  | 3.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Max Healthcare Institute Ltd                   | Max Healthcare Institute, Ltd.              | CUSIP: N/A<br>LEI: 3358005LALYV4GZOYF67       | Long             | EC               | CORP              | IN        |   1062274 | NS      | $11061615.39  | 2.95%             |  |  |  | No            |                  2 | On Loan: No      |
| Mahindra & Mahindra Ltd                        | Mahindra & Mahindra, Ltd.                   | CUSIP: N/A<br>LEI: 3358003B573EV4KB4Z02       | Long             | EC               | CORP              | IN        |    328109 | NS      | $12251502.69  | 3.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Mphasis Ltd                                    | Mphasis, Ltd.                               | CUSIP: N/A<br>LEI: 335800NSYTIQLQKUYP62       | Long             | EC               | CORP              | IN        |    273172 | NS      | $8215588.11   | 2.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Piramal Pharma Ltd                             | Piramal Pharma, Ltd.                        | CUSIP: N/A<br>LEI: 3358006D6AL7PZ4U9T51       | Long             | EC               | CORP              | IN        |   2118525 | NS      | $3568776.23   | 0.95%             |  |  |  | No            |                  2 | On Loan: No      |
| Poonawalla Fincorp Ltd                         | Poonawalla Fincorp, Ltd.                    | CUSIP: N/A<br>LEI: 335800JFD5CDCM4KVL41       | Long             | EC               | CORP              | IN        |   1799949 | NS      | $7822527.15   | 2.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd                        | Reliance Industries, Ltd.                   | CUSIP: N/A<br>LEI: 5493003UOETFYRONLG31       | Long             | EC               | CORP              | IN        |   1665346 | NS      | $25304825.10  | 6.76%             |  |  |  | No            |                  2 | On Loan: No      |
| Shriram Finance Ltd                            | Shriram Finance, Ltd.                       | CUSIP: N/A<br>LEI: 335800TM2YO24B76XL26       | Long             | EC               | CORP              | IN        |   1473226 | NS      | $16353621.45  | 4.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Swiggy Ltd                                     | Swiggy, Ltd.                                | CUSIP: N/A<br>LEI: 335800R11DC3QR7KH186       | Long             | EC               | CORP              | IN        |   1096550 | NS      | $3697163.06   | 0.99%             |  |  |  | No            |                  2 | On Loan: No      |
| Tech Mahindra Ltd                              | Tech Mahindra, Ltd.                         | CUSIP: N/A<br>LEI: 3358005FZUZ1I25XQH69       | Long             | EC               | CORP              | IN        |    770000 | NS      | $14610009.90  | 3.90%             |  |  |  | No            |                  2 | On Loan: No      |
| Uno Minda Ltd                                  | UNO Minda, Ltd.                             | CUSIP: N/A<br>LEI: 335800Y2G59FEIQRLG14       | Long             | EC               | CORP              | IN        |    850733 | NS      | $10943112.95  | 2.92%             |  |  |  | No            |                  2 | On Loan: No      |
| Ultratech Cement Ltd                           | UltraTech Cement, Ltd.                      | CUSIP: B01GZF902<br>LEI: 335800PC9O9B4BQHG814 | Long             | EC               | CORP              | IN        |     84366 | NS      | $11660421.20  | 3.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Vishal Mega Mart Ltd                           | Vishal Mega Mart, Ltd.                      | CUSIP: N/A<br>LEI: 335800AL4QPSIFSU3936       | Long             | EC               | CORP              | IN        |   4132502 | NS      | $5658616.00   | 1.51%             |  |  |  | No            |                  2 | On Loan: No      |
| Voltas Ltd                                     | Voltas, Ltd.                                | CUSIP: N/A<br>LEI: 335800VVTQSSZ7NV7F51       | Long             | EC               | CORP              | IN        |    339911 | NS      | $4913292.09   | 1.31%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-02

**Name of Applicant:** FINANCIAL INVESTORS TRUST

**Signature:** Paul Holland

**Name of Signer:** Paul Holland

**Title:** Treasurer