# EDGAR Filing Document

**Accession Number:** 0000356349
**File Stem:** 0002071691-26-000409
**Filing Date:** 2026-1
**Character Count:** 370833
**Document Hash:** 9071902478db38bf98294e4e462be703
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-000409.hdr.sgml**: 20260123

**ACCESSION NUMBER**: 0002071691-26-000409

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260123

**DATE AS OF CHANGE**: 20260123

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST XIII
- **CENTRAL INDEX KEY:** 0000356349

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03327
- **FILM NUMBER:** 26554590

**BUSINESS ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 18006372929

**MAIL ADDRESS:**
- **STREET 1:** 111 HUNTINGTON AVENUE
- **STREET 2:** 21ST FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS GOVERNMENT SECURITIES FUND
- **DATE OF NAME CHANGE:** 19930408

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MFS GOVERNMENT GUARANTEED SECURITIES TRUST
- **DATE OF NAME CHANGE:** 19910522

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WORKING CAPITAL TRUST
- **DATE OF NAME CHANGE:** 19840529

## Series and Classes Contracts Data

### MFS Government Securities Fund (Series ID: S000000693)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000002006 | I            | MGSIX           |
| C000002007 | A            | MFGSX           |
| C000002008 | R4           | MFGJX           |
| C000002012 | B            | MFGBX           |
| C000002013 | C            | MFGDX           |
| C000002015 | R1           | MFGGX           |
| C000002017 | R2           | MGVSX           |
| C000002018 | R3           | MFGHX           |
| C000117927 | R6           | MFGKX           |

## Nport-Ex

MFG-Q3

![](imgd15496bb1.gif)

**Quarterly Report**

November 30, 2025

MFS<sup>®</sup> Government <br>Securities Fund

![](img9349d04b2.gif)

------

**Portfolio of Investments**

11/30/25 (unaudited)

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

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

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – 96.4%  | Bonds – 96.4%  | Bonds – 96.4%  |
| Asset-Backed & Securitized – 6.0% | Asset-Backed & Securitized – 6.0% | Asset-Backed & Securitized – 6.0% |
| 3650R Commercial Mortgage Trust, 2021-PF1, "XA", 1.106%, 11/15/2054 (i) | $21447798 | &nbsp;&nbsp;&nbsp; $772593 |
| ACREC 2021-FL1 Ltd., "AS", FLR, 5.577% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n) | 7778000 | &nbsp;&nbsp;&nbsp; 7778884 |
| ACREC 2023-FL2 LLC, "A", FLR, 6.189% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | 2013630 | &nbsp;&nbsp;&nbsp; 2017985 |
| Alinea CLO Ltd., 2018-1A, "AR", FLR, 4.784% (SOFR - 3mo. + 0.9%), 7/20/2031 (n) | 106496 | &nbsp;&nbsp;&nbsp; 106517 |
| AmeriCredit Automobile Receivables Trust, 2024-1, "A2-B", FLR, 4.736% (SOFR - 1mo. + 0.6%), 2/18/2028  | 384871 | &nbsp;&nbsp;&nbsp; 384969 |
| AREIT 2022-CRE6 Trust, "AS", FLR, 5.755% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | 7155500 | &nbsp;&nbsp;&nbsp; 7130191 |
| ARI Fleet Lease Trust, 2023-B, "A2", 6.05%, 7/15/2032 (n) | 665955 | &nbsp;&nbsp;&nbsp; 671107 |
| Babson CLO Ltd., 2021-3A, "B1R", FLR, 5.514% (SOFR - 3mo. + 1.63%), 1/18/2035 (n) | 5500000 | &nbsp;&nbsp;&nbsp; 5500170 |
| BBCMS Mortgage Trust, 2021-C10, "XA", 1.329%, 7/15/2054 (i) | 19513086 | &nbsp;&nbsp;&nbsp; 960171 |
| BBCMS Mortgage Trust, 2021-C9, "XA", 1.679%, 2/15/2054 (i) | 13232249 | &nbsp;&nbsp;&nbsp; 828531 |
| BBCMS Mortgage Trust, 2022-C18, "XA", 0.656%, 12/15/2055 (i) | 22405194 | &nbsp;&nbsp;&nbsp; 748636 |
| BDS 2024-FL13 Ltd., "A", FLR, 5.535% (SOFR - 1mo. + 1.5762%), 9/19/2039 (n) | 1558000 | &nbsp;&nbsp;&nbsp; 1561361 |
| Benchmark 2021-B23 Mortgage Trust, "XA", 1.362%, 2/15/2054 (i) | 43176605 | &nbsp;&nbsp;&nbsp; 1997859 |
| Benchmark 2021-B24 Mortgage Trust, "XA", 1.248%, 3/15/2054 (i) | 26072578 | &nbsp;&nbsp;&nbsp; 1008871 |
| Benchmark 2021-B26 Mortgage Trust, "XA", 0.956%, 6/15/2054 (i) | 36942163 | &nbsp;&nbsp;&nbsp; 1201621 |
| Benchmark 2021-B27 Mortgage Trust, "XA", 1.349%, 7/15/2054 (i) | 32640254 | &nbsp;&nbsp;&nbsp; 1551835 |
| Benchmark 2021-B28 Mortgage Trust, "XA", 1.35%, 8/15/2054 (i) | 39052079 | &nbsp;&nbsp;&nbsp; 1934503 |
| Benchmark 2021-B29 Mortgage Trust, "XA", 1.122%, 9/15/2054 (i) | 44705416 | &nbsp;&nbsp;&nbsp; 1581588 |
| Bridgecrest Lending Auto Securitization Trust, 2025-1, "A2", 4.71%, 9/15/2027  | 1109755 | &nbsp;&nbsp;&nbsp; 1110210 |
| Business Jet Securities LLC, 2024-1A, "A", 6.197%, 5/15/2039 (n) | 1192145 | &nbsp;&nbsp;&nbsp; 1218059 |
| BXMT 2021-FL4 Ltd., "AS", FLR, 5.377% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 7779500 | &nbsp;&nbsp;&nbsp; 7718534 |
| Chesapeake Funding II LLC, 2023-2A, "A2", FLR, 5.242% (SOFR - 30 day + 1.1%), 10/15/2035 (n) | 1464920 | &nbsp;&nbsp;&nbsp; 1470877 |
| Citigroup Commercial Mortgage Trust, 2019-XA, "C7", 0.944%, 12/15/2072 (i)(n) | 21003276 | &nbsp;&nbsp;&nbsp; 599293 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN31, "XA", 1.385%, 2/15/2054 (i) | 32448112 | &nbsp;&nbsp;&nbsp; 1678304 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, "XA", 0.868%, 4/15/2054 (i) | 18837200 | &nbsp;&nbsp;&nbsp; 538620 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN35, "XA", 1.132%, 6/15/2064 (i) | 13136587 | &nbsp;&nbsp;&nbsp; 541348 |
| Commercial Mortgage Pass-Through Certificates, 2024-CBM, "A2", 5.867%, 12/10/2041 (n) | 1395974 | &nbsp;&nbsp;&nbsp; 1426401 |
| EQT Trust, 2024-EXTR, "B", 5.655%, 7/05/2041 (n) | 1503054 | &nbsp;&nbsp;&nbsp; 1537337 |
| KREF 2018-FT1 Ltd., "AS", FLR, 5.377% ((SOFR - 1mo. + 0.11448%) + 1.3%), 2/15/2039 (n) | 759000 | &nbsp;&nbsp;&nbsp; 755014 |
| LoanCore 2021-CRE5 Ltd., "AS", FLR, 5.823% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | 4425640 | &nbsp;&nbsp;&nbsp; 4426248 |
| LoanCore 2021-CRE6 Ltd., "AS", FLR, 5.723% ((SOFR - 1mo. + 0.11448%) + 1.65%), 11/15/2038 (n) | 10000000 | &nbsp;&nbsp;&nbsp; 10002620 |
| MF1 2021-FL5 Ltd., "AS", FLR, 5.273% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | 160113 | &nbsp;&nbsp;&nbsp; 160106 |
| MF1 2021-FL5 Ltd., "B", FLR, 5.523% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | 4881500 | &nbsp;&nbsp;&nbsp; 4872303 |
| MF1 2021-FL7 Ltd., "A", FLR, 5.153% ((SOFR - 1mo. + 0.11448%) + 1.08%), 10/16/2036 (n) | 2354650 | &nbsp;&nbsp;&nbsp; 2353807 |
| Morgan Stanley Capital I Trust, 2018-H4, "XA", 0.967%, 12/15/2051 (i) | 21691587 | &nbsp;&nbsp;&nbsp; 442719 |
| Morgan Stanley Capital I Trust, 2021-L5, "XA", 1.385%, 5/15/2054 (i) | 16411941 | &nbsp;&nbsp;&nbsp; 717957 |
| Morgan Stanley Capital I Trust, 2021-L6, "XA", 1.255%, 6/15/2054 (i) | 19073197 | &nbsp;&nbsp;&nbsp; 723326 |
| Morgan Stanley Capital I Trust, 2021-L7, "XA", 1.187%, 10/15/2054 (i) | 79332169 | &nbsp;&nbsp;&nbsp; 3157849 |
| Morgan Stanley Residential Mortgage Loan Trust, 2024-NQM3, "A1", 5.044%, 7/25/2069 (n) | 1539934 | &nbsp;&nbsp;&nbsp; 1536861 |
| Morgan Stanley Residential Mortgage Loan Trust, 2025-NQM3, "A1", 5.53%, 5/25/2070 (n) | 2487296 | &nbsp;&nbsp;&nbsp; 2500757 |
| OBX Trust, 2024-NQM1, "A2", 6.253%, 11/25/2063 (n) | 433666 | &nbsp;&nbsp;&nbsp; 436254 |
| OBX Trust, 2025-NQM8, "A1", 5.472%, 3/25/2065 (n) | 2142464 | &nbsp;&nbsp;&nbsp; 2156442 |
| Palmer Square Loan Funding, 2025-2A Ltd., "A2", FLR, 5.688% (SOFR - 3mo. + 1.4%), 7/15/2033 (n) | 8550000 | &nbsp;&nbsp;&nbsp; 8540578 |
| PFS Financing Corp., 2023-C, "B", 5.91%, 10/15/2028 (n) | 1302000 | &nbsp;&nbsp;&nbsp; 1317351 |
| PFS Financing Corp., 2025-A, "A", FLR, 4.792% (SOFR - 1mo. + 0.65%), 1/15/2029 (n) | 4611000 | &nbsp;&nbsp;&nbsp; 4618660 |
| PMT Loan Trust, 2025-INV10, "A36", FLR, 5.422% (SOFR - 1mo. + 1.35%), 10/01/2056 (n) | 2367602 | &nbsp;&nbsp;&nbsp; 2367547 |
| Provident Funding Mortgage Trust, 2024-1, "A3", 5.5%, 12/25/2054 (n) | 2461616 | &nbsp;&nbsp;&nbsp; 2476234 |
| RCKT Trust, 2025-1A,"A", 4.9%, 7/25/2034 (n) | 1167749 | &nbsp;&nbsp;&nbsp; 1170593 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "A", FLR, 5.269% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 (n) | 757517 | &nbsp;&nbsp;&nbsp; 757195 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "AS", FLR, 5.569% ((SOFR - 1mo. + 0.11448%) + 1.5%), 11/25/2036 (n) | 1261500 | &nbsp;&nbsp;&nbsp; 1261542 |
| SBNA Auto Receivables Trust, 2025-SF1, "B", 5.12%, 3/17/2031 (n) | 437836 | &nbsp;&nbsp;&nbsp; 438157 |
| Shackleton 2019-14A CLO Ltd., "BRR", FLR, 5.434% (SOFR - 3mo. + 1.55%), 7/20/2034 (n) | 6434263 | &nbsp;&nbsp;&nbsp; 6433961 |
| Verus Securitization Trust, 2024-1, "A2", 5.915%, 1/25/2069 (n) | 977820 | &nbsp;&nbsp;&nbsp; 981495 |
| Wells Fargo Commercial Mortgage Trust, 2018-C48, "XA", 1.099%, 1/15/2052 (i)(n) | 11909184 | &nbsp;&nbsp;&nbsp; 267920 |
| Wells Fargo Commercial Mortgage Trust, 2021-C60, "XA", 1.616%, 8/15/2054 (i) | 20134892 | &nbsp;&nbsp;&nbsp; 1229795 |
|  |  | &nbsp;&nbsp;&nbsp; $121679666 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Consumer Services – 0.1% | Consumer Services – 0.1% | Consumer Services – 0.1% |
| Conservation Fund, 3.474%, 12/15/2029  | $2018000 | &nbsp;&nbsp;&nbsp; $1942581 |
| Mortgage-Backed – 50.4% | Mortgage-Backed – 50.4% |  |
| Fannie Mae, 3%, 11/01/2028 - 9/01/2046  | $7248765 | &nbsp;&nbsp;&nbsp; $6906309 |
| Fannie Mae, 3.5%, 1/25/2030 - 12/01/2047  | 19374205 | &nbsp;&nbsp;&nbsp; 18489445 |
| Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046  | 3934919 | &nbsp;&nbsp;&nbsp; 3705230 |
| Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | 738577 | &nbsp;&nbsp;&nbsp; 52135 |
| Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037  | 437338 | &nbsp;&nbsp;&nbsp; 456769 |
| Fannie Mae, 6%, 1/01/2033 - 12/01/2037  | 1099394 | &nbsp;&nbsp;&nbsp; 1142871 |
| Fannie Mae, 3%, 2/25/2033 - 1/25/2052 (i) | 1325226 | &nbsp;&nbsp;&nbsp; 135683 |
| Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044  | 5244031 | &nbsp;&nbsp;&nbsp; 5430727 |
| Fannie Mae, 5%, 11/01/2033 - 3/25/2042  | 6545167 | &nbsp;&nbsp;&nbsp; 6746472 |
| Fannie Mae, 4.5%, 3/01/2034 - 6/01/2044  | 13486894 | &nbsp;&nbsp;&nbsp; 13614627 |
| Fannie Mae, 4.636%, 4/25/2034 - 11/25/2046  | 5648107 | &nbsp;&nbsp;&nbsp; 5612093 |
| Fannie Mae, 4%, 9/01/2040 - 7/01/2047  | 26770356 | &nbsp;&nbsp;&nbsp; 26254057 |
| Fannie Mae, 1%, 3/25/2041  | 1372062 | &nbsp;&nbsp;&nbsp; 1226310 |
| Fannie Mae, 4.536%, 3/25/2041  | 305558 | &nbsp;&nbsp;&nbsp; 304434 |
| Fannie Mae, 2.25%, 4/25/2041  | 1200862 | &nbsp;&nbsp;&nbsp; 1159706 |
| Fannie Mae, 4.686%, 7/25/2041 - 12/25/2049  | 4392487 | &nbsp;&nbsp;&nbsp; 4341703 |
| Fannie Mae, 1.75%, 9/25/2041  | 903575 | &nbsp;&nbsp;&nbsp; 870950 |
| Fannie Mae, 2.75%, 9/25/2042  | 827918 | &nbsp;&nbsp;&nbsp; 804759 |
| Fannie Mae, 2%, 8/25/2044 - 4/25/2046  | 1796814 | &nbsp;&nbsp;&nbsp; 1686650 |
| Fannie Mae, 4.486%, 12/25/2045  | 535220 | &nbsp;&nbsp;&nbsp; 529012 |
| Fannie Mae, 1.813%, 9/25/2046 (i) | 1612725 | &nbsp;&nbsp;&nbsp; 189199 |
| Fannie Mae, 4%, 9/25/2050 (i) | 2800890 | &nbsp;&nbsp;&nbsp; 543124 |
| Fannie Mae, 4.772%, 9/25/2052  | 14990104 | &nbsp;&nbsp;&nbsp; 14713567 |
| Fannie Mae, 4.872%, 10/25/2052  | 3591068 | &nbsp;&nbsp;&nbsp; 3537197 |
| Fannie Mae, 5.522%, 11/25/2053  | 4000500 | &nbsp;&nbsp;&nbsp; 4049927 |
| Fannie Mae, 4.972%, 12/25/2053  | 5130902 | &nbsp;&nbsp;&nbsp; 5136151 |
| Fannie Mae, 7.072%, 7/25/2054  | 2968715 | &nbsp;&nbsp;&nbsp; 3079022 |
| Fannie Mae, 5.222%, 10/25/2054  | 3307806 | &nbsp;&nbsp;&nbsp; 3314292 |
| Fannie Mae, 5.472%, 12/25/2054  | 7752321 | &nbsp;&nbsp;&nbsp; 7791826 |
| Fannie Mae, 6.512%, 3/25/2055  | 4248896 | &nbsp;&nbsp;&nbsp; 4254059 |
| Fannie Mae, UMBS, 2.5%, 5/01/2036 - 8/01/2052  | 97202802 | &nbsp;&nbsp;&nbsp; 83918870 |
| Fannie Mae, UMBS, 5.5%, 10/01/2038 - 5/01/2055  | 28690993 | &nbsp;&nbsp;&nbsp; 29117577 |
| Fannie Mae, UMBS, 1.5%, 2/01/2042 - 3/01/2051  | 1347730 | &nbsp;&nbsp;&nbsp; 1079079 |
| Fannie Mae, UMBS, 2%, 2/01/2042 - 3/01/2052  | 45315246 | &nbsp;&nbsp;&nbsp; 37541327 |
| Fannie Mae, UMBS, 3.5%, 5/01/2049 - 2/01/2052  | 1706043 | &nbsp;&nbsp;&nbsp; 1600768 |
| Fannie Mae, UMBS, 3%, 6/01/2051 - 8/01/2052  | 24971857 | &nbsp;&nbsp;&nbsp; 22358833 |
| Fannie Mae, UMBS, 4%, 8/01/2051 - 2/01/2053  | 5267495 | &nbsp;&nbsp;&nbsp; 5091845 |
| Fannie Mae, UMBS, 4.5%, 9/01/2052 - 10/01/2055  | 3427342 | &nbsp;&nbsp;&nbsp; 3376019 |
| Fannie Mae, UMBS, 5%, 9/01/2052 - 11/01/2054  | 911683 | &nbsp;&nbsp;&nbsp; 911734 |
| Fannie Mae, UMBS, 6%, 6/01/2053 - 10/01/2054  | 15152193 | &nbsp;&nbsp;&nbsp; 15551774 |
| Freddie Mac, 2.745%, 1/25/2026  | 1997216 | &nbsp;&nbsp;&nbsp; 1989861 |
| Freddie Mac, 3.208%, 2/25/2026  | 593171 | &nbsp;&nbsp;&nbsp; 590992 |
| Freddie Mac, 2.57%, 7/25/2026  | 28815341 | &nbsp;&nbsp;&nbsp; 28558571 |
| Freddie Mac, 3.12%, 9/25/2026  | 12606250 | &nbsp;&nbsp;&nbsp; 12513250 |
| Freddie Mac, 2.525%, 10/25/2026  | 10822583 | &nbsp;&nbsp;&nbsp; 10696289 |
| Freddie Mac, 2.797%, 12/25/2026  | 743788 | &nbsp;&nbsp;&nbsp; 740012 |
| Freddie Mac, 3.413%, 12/25/2026  | 16651658 | &nbsp;&nbsp;&nbsp; 16553814 |
| Freddie Mac, 1.487%, 3/25/2027 (i) | 5583000 | &nbsp;&nbsp;&nbsp; 87662 |
| Freddie Mac, 3.243%, 4/25/2027  | 10090226 | &nbsp;&nbsp;&nbsp; 10004765 |
| Freddie Mac, 3.117%, 6/25/2027  | 20616052 | &nbsp;&nbsp;&nbsp; 20395846 |
| Freddie Mac, 0.697%, 7/25/2027 (i) | 99061778 | &nbsp;&nbsp;&nbsp; 726004 |
| Freddie Mac, 0.536%, 8/25/2027 (i) | 76661907 | &nbsp;&nbsp;&nbsp; 451684 |
| Freddie Mac, 1.47%, 9/25/2027  | 4600000 | &nbsp;&nbsp;&nbsp; 4417222 |
| Freddie Mac, 3.286%, 11/25/2027  | 6876682 | &nbsp;&nbsp;&nbsp; 6813271 |
| Freddie Mac, 0.487%, 12/25/2027 (i) | 1332907 | &nbsp;&nbsp;&nbsp; 9205 |
| Freddie Mac, 1.603%, 12/25/2027  | 8595852 | &nbsp;&nbsp;&nbsp; 8237823 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Freddie Mac, 0.43%, 1/25/2028 (i) | $136400205 | &nbsp;&nbsp;&nbsp; $791803 |
| Freddie Mac, 0.432%, 1/25/2028 (i) | 57110094 | &nbsp;&nbsp;&nbsp; 333991 |
| Freddie Mac, 0.264%, 2/25/2028 (i) | 165202571 | &nbsp;&nbsp;&nbsp; 489214 |
| Freddie Mac, 0.257%, 4/25/2028 (i) | 108730366 | &nbsp;&nbsp;&nbsp; 329931 |
| Freddie Mac, 3.9%, 4/25/2028  | 1867674 | &nbsp;&nbsp;&nbsp; 1870095 |
| Freddie Mac, 0.612%, 10/25/2028 (i) | 39452752 | &nbsp;&nbsp;&nbsp; 470419 |
| Freddie Mac, 0.598%, 5/25/2029 (i) | 56089379 | &nbsp;&nbsp;&nbsp; 777747 |
| Freddie Mac, 1.005%, 7/25/2029 (i) | 31354116 | &nbsp;&nbsp;&nbsp; 877341 |
| Freddie Mac, 1.212%, 7/25/2029 (i) | 18748632 | &nbsp;&nbsp;&nbsp; 626047 |
| Freddie Mac, 1.259%, 8/25/2029 (i) | 32947997 | &nbsp;&nbsp;&nbsp; 1185212 |
| Freddie Mac, 0.734%, 1/25/2030 (i) | 19140599 | &nbsp;&nbsp;&nbsp; 419030 |
| Freddie Mac, 1.437%, 1/25/2030 (i) | 26261396 | &nbsp;&nbsp;&nbsp; 1242172 |
| Freddie Mac, 1.701%, 1/25/2030 - 8/25/2030 (i) | 29466486 | &nbsp;&nbsp;&nbsp; 1750243 |
| Freddie Mac, 1.913%, 4/25/2030 (i) | 14430646 | &nbsp;&nbsp;&nbsp; 1000784 |
| Freddie Mac, 1.954%, 4/25/2030 (i) | 20077463 | &nbsp;&nbsp;&nbsp; 1446196 |
| Freddie Mac, 0.579%, 5/25/2030 (i) | 25633649 | &nbsp;&nbsp;&nbsp; 444467 |
| Freddie Mac, 1.769%, 5/25/2030 (i) | 12033779 | &nbsp;&nbsp;&nbsp; 804971 |
| Freddie Mac, 1.907%, 5/25/2030 (i) | 26880424 | &nbsp;&nbsp;&nbsp; 1949836 |
| Freddie Mac, 4.361%, 5/25/2030  | 3877551 | &nbsp;&nbsp;&nbsp; 3942020 |
| Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041  | 2266458 | &nbsp;&nbsp;&nbsp; 2357235 |
| Freddie Mac, 1.205%, 6/25/2030 (i) | 19826218 | &nbsp;&nbsp;&nbsp; 850555 |
| Freddie Mac, 1.435%, 6/25/2030 (i) | 11124134 | &nbsp;&nbsp;&nbsp; 606964 |
| Freddie Mac, 1.474%, 6/25/2030 (i) | 29228244 | &nbsp;&nbsp;&nbsp; 1499912 |
| Freddie Mac, 1.262%, 9/25/2030 (i) | 6568138 | &nbsp;&nbsp;&nbsp; 329606 |
| Freddie Mac, 1.171%, 11/25/2030 (i) | 13158725 | &nbsp;&nbsp;&nbsp; 631912 |
| Freddie Mac, 0.412%, 1/25/2031 (i) | 49724990 | &nbsp;&nbsp;&nbsp; 635068 |
| Freddie Mac, 0.627%, 1/25/2031 (i) | 70182335 | &nbsp;&nbsp;&nbsp; 1764615 |
| Freddie Mac, 0.871%, 1/25/2031 (i) | 19512958 | &nbsp;&nbsp;&nbsp; 707651 |
| Freddie Mac, 1.026%, 1/25/2031 (i) | 14681587 | &nbsp;&nbsp;&nbsp; 624465 |
| Freddie Mac, 0.546%, 2/25/2031 (i) | 18431877 | &nbsp;&nbsp;&nbsp; 378224 |
| Freddie Mac, 0.605%, 3/25/2031 - 8/25/2031 (i) | 54816490 | &nbsp;&nbsp;&nbsp; 1249712 |
| Freddie Mac, 0.827%, 3/25/2031 (i) | 17260719 | &nbsp;&nbsp;&nbsp; 607348 |
| Freddie Mac, 1.322%, 5/25/2031 (i) | 7120528 | &nbsp;&nbsp;&nbsp; 410869 |
| Freddie Mac, 1.039%, 7/25/2031 (i) | 11674001 | &nbsp;&nbsp;&nbsp; 557487 |
| Freddie Mac, 1.321%, 7/25/2031 (i) | 22560568 | &nbsp;&nbsp;&nbsp; 1361393 |
| Freddie Mac, 0.632%, 9/25/2031 (i) | 50814178 | &nbsp;&nbsp;&nbsp; 1407502 |
| Freddie Mac, 0.954%, 9/25/2031 (i) | 48419608 | &nbsp;&nbsp;&nbsp; 2067203 |
| Freddie Mac, 0.441%, 11/25/2031 (i) | 73361326 | &nbsp;&nbsp;&nbsp; 1374454 |
| Freddie Mac, 0.595%, 12/25/2031 (i) | 73957916 | &nbsp;&nbsp;&nbsp; 1905925 |
| Freddie Mac, 0.664%, 12/25/2031 (i) | 12187459 | &nbsp;&nbsp;&nbsp; 350448 |
| Freddie Mac, 0.87%, 2/25/2032 (i) | 49680895 | &nbsp;&nbsp;&nbsp; 2077879 |
| Freddie Mac, 2.58%, 5/25/2032  | 8638000 | &nbsp;&nbsp;&nbsp; 7897620 |
| Freddie Mac, 0.434%, 6/25/2032 (i) | 116203070 | &nbsp;&nbsp;&nbsp; 2288736 |
| Freddie Mac, 4.706%, 11/15/2032  | 35337 | &nbsp;&nbsp;&nbsp; 35295 |
| Freddie Mac, 0.302%, 11/25/2032 (i) | 74026378 | &nbsp;&nbsp;&nbsp; 926766 |
| Freddie Mac, 0.431%, 5/25/2033 (i) | 64115960 | &nbsp;&nbsp;&nbsp; 1330304 |
| Freddie Mac, 3.5%, 8/15/2033 - 10/25/2058  | 22105335 | &nbsp;&nbsp;&nbsp; 21304621 |
| Freddie Mac, 0.299%, 8/25/2033 (i) | 78666400 | &nbsp;&nbsp;&nbsp; 955993 |
| Freddie Mac, 0.362%, 10/25/2033 (i) | 75772703 | &nbsp;&nbsp;&nbsp; 1229405 |
| Freddie Mac, 5%, 5/01/2034 - 12/01/2044  | 6297090 | &nbsp;&nbsp;&nbsp; 6475491 |
| Freddie Mac, 6%, 8/01/2034 - 10/01/2038  | 2193402 | &nbsp;&nbsp;&nbsp; 2304491 |
| Freddie Mac, 1.092%, 9/25/2034 (i) | 9883118 | &nbsp;&nbsp;&nbsp; 684011 |
| Freddie Mac, 0.22%, 1/25/2035 (i) | 119066272 | &nbsp;&nbsp;&nbsp; 1078752 |
| Freddie Mac, 0.427%, 1/25/2035 (i) | 47468092 | &nbsp;&nbsp;&nbsp; 1087760 |
| Freddie Mac, 5.5%, 2/15/2036 (i) | 240323 | &nbsp;&nbsp;&nbsp; 36788 |
| Freddie Mac, 6.5%, 5/01/2037  | 75393 | &nbsp;&nbsp;&nbsp; 78613 |
| Freddie Mac, 4%, 8/01/2037 - 4/01/2044  | 2977010 | &nbsp;&nbsp;&nbsp; 2931446 |
| Freddie Mac, 3%, 1/01/2038 - 2/25/2059  | 12796267 | &nbsp;&nbsp;&nbsp; 11879952 |
| Freddie Mac, 4.5%, 7/01/2039 - 7/01/2055  | 2717955 | &nbsp;&nbsp;&nbsp; 2728701 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Freddie Mac, 4.5%, 12/15/2040 (i) | $35152 | &nbsp;&nbsp;&nbsp; $3273 |
| Freddie Mac, 1.75%, 8/15/2041  | 659599 | &nbsp;&nbsp;&nbsp; 629290 |
| Freddie Mac, 4.656%, 11/15/2043 - 8/15/2046  | 1598773 | &nbsp;&nbsp;&nbsp; 1586589 |
| Freddie Mac, 2.5%, 3/25/2051 (i) | 7501704 | &nbsp;&nbsp;&nbsp; 1235821 |
| Freddie Mac, 4.892%, 9/25/2052  | 4639731 | &nbsp;&nbsp;&nbsp; 4572783 |
| Freddie Mac, 5.522%, 10/25/2053  | 509501 | &nbsp;&nbsp;&nbsp; 515796 |
| Freddie Mac, 6.301%, 12/25/2053  | 3824955 | &nbsp;&nbsp;&nbsp; 3836796 |
| Freddie Mac, 5.372%, 12/25/2054  | 6252902 | &nbsp;&nbsp;&nbsp; 6279410 |
| Freddie Mac, 6.522%, 1/25/2055  | 2322444 | &nbsp;&nbsp;&nbsp; 2347068 |
| Freddie Mac, 7.622%, 8/25/2055  | 215055 | &nbsp;&nbsp;&nbsp; 215910 |
| Freddie Mac, 8.022%, 9/25/2055  | 872712 | &nbsp;&nbsp;&nbsp; 915128 |
| Freddie Mac, 3.25%, 11/25/2061  | 4117435 | &nbsp;&nbsp;&nbsp; 3880409 |
| Freddie Mac, UMBS, 2.5%, 3/01/2037 - 9/01/2052  | 22886857 | &nbsp;&nbsp;&nbsp; 19633578 |
| Freddie Mac, UMBS, 2%, 2/01/2042 - 3/01/2052  | 16897233 | &nbsp;&nbsp;&nbsp; 14146124 |
| Freddie Mac, UMBS, 3.5%, 12/01/2046 - 5/01/2052  | 2338826 | &nbsp;&nbsp;&nbsp; 2200182 |
| Freddie Mac, UMBS, 3%, 2/01/2050 - 8/01/2052  | 27978719 | &nbsp;&nbsp;&nbsp; 24964898 |
| Freddie Mac, UMBS, 1.5%, 4/01/2051 - 11/01/2051  | 5678166 | &nbsp;&nbsp;&nbsp; 4411635 |
| Freddie Mac, UMBS, 4%, 5/01/2052  | 3775141 | &nbsp;&nbsp;&nbsp; 3628243 |
| Freddie Mac, UMBS, 5%, 11/01/2052 - 9/01/2055  | 15425174 | &nbsp;&nbsp;&nbsp; 15421772 |
| Freddie Mac, UMBS, 5.5%, 12/01/2052 - 7/01/2055  | 17148089 | &nbsp;&nbsp;&nbsp; 17417601 |
| Freddie Mac, UMBS, 6%, 2/01/2053 - 2/01/2055  | 11399054 | &nbsp;&nbsp;&nbsp; 11725035 |
| Freddie Mac, UMBS, 6.5%, 4/01/2054 - 11/01/2054  | 3814216 | &nbsp;&nbsp;&nbsp; 3986548 |
| Freddie Mac, UMBS, 4.5%, 11/01/2054 - 8/01/2055  | 2494001 | &nbsp;&nbsp;&nbsp; 2442419 |
| Ginnie Mae, 3.5%, 8/20/2029 - 1/20/2043 (i) | 5191398 | &nbsp;&nbsp;&nbsp; 576471 |
| Ginnie Mae, 5.5%, 3/15/2033 - 10/20/2053  | 2449519 | &nbsp;&nbsp;&nbsp; 2504097 |
| Ginnie Mae, 4.5%, 7/20/2033 - 10/20/2055  | 26071231 | &nbsp;&nbsp;&nbsp; 25751619 |
| Ginnie Mae, 5.659%, 8/20/2034  | 624014 | &nbsp;&nbsp;&nbsp; 638422 |
| Ginnie Mae, 4%, 5/16/2039 - 9/20/2055  | 11558452 | &nbsp;&nbsp;&nbsp; 11031879 |
| Ginnie Mae, 5%, 8/20/2039 - 4/20/2053  | 5403084 | &nbsp;&nbsp;&nbsp; 5458309 |
| Ginnie Mae, 4%, 12/20/2039 - 9/20/2047 (i) | 1525757 | &nbsp;&nbsp;&nbsp; 245224 |
| Ginnie Mae, 1.326%, 5/20/2041 (i) | 2619662 | &nbsp;&nbsp;&nbsp; 255384 |
| Ginnie Mae, 4.174%, 9/20/2041  | 6857608 | &nbsp;&nbsp;&nbsp; 6706507 |
| Ginnie Mae, 3.5%, 12/15/2041 - 7/20/2043  | 5821163 | &nbsp;&nbsp;&nbsp; 5517249 |
| Ginnie Mae, 2.5%, 6/20/2042 - 1/20/2066  | 21653441 | &nbsp;&nbsp;&nbsp; 18830374 |
| Ginnie Mae, 3%, 2/20/2043 - 10/20/2052  | 25910082 | &nbsp;&nbsp;&nbsp; 23504633 |
| Ginnie Mae, 4.374%, 10/20/2045  | 6955653 | &nbsp;&nbsp;&nbsp; 6826582 |
| Ginnie Mae, 4.524%, 7/20/2046  | 2684863 | &nbsp;&nbsp;&nbsp; 2650478 |
| Ginnie Mae, 2.076%, 4/20/2047 (i) | 456818 | &nbsp;&nbsp;&nbsp; 59453 |
| Ginnie Mae, 4.324%, 10/20/2047  | 524717 | &nbsp;&nbsp;&nbsp; 510487 |
| Ginnie Mae, 2%, 11/20/2050 (i) | 180918 | &nbsp;&nbsp;&nbsp; 20417 |
| Ginnie Mae, 2.5%, 2/20/2051 (i) | 2192769 | &nbsp;&nbsp;&nbsp; 303740 |
| Ginnie Mae, 2%, 1/20/2052 - 11/20/2052  | 33598949 | &nbsp;&nbsp;&nbsp; 27989331 |
| Ginnie Mae, 5.149%, 10/20/2054  | 3829713 | &nbsp;&nbsp;&nbsp; 3831785 |
| Ginnie Mae, 5.427%, 6/20/2055  | 4270122 | &nbsp;&nbsp;&nbsp; 4356197 |
| Ginnie Mae, 5.502%, 6/20/2055  | 3673861 | &nbsp;&nbsp;&nbsp; 3672189 |
| Ginnie Mae, 6%, 11/20/2055  | 2621971 | &nbsp;&nbsp;&nbsp; 2712437 |
| Ginnie Mae, 4.62%, 12/20/2060  | 10947 | &nbsp;&nbsp;&nbsp; 10935 |
| Ginnie Mae, 4.7%, 3/20/2061 - 10/20/2064  | 290167 | &nbsp;&nbsp;&nbsp; 290118 |
| Ginnie Mae, 4.72%, 3/20/2061 - 3/20/2070  | 6071570 | &nbsp;&nbsp;&nbsp; 6060933 |
| Ginnie Mae, 2.147%, 12/20/2062 (i) | 4019693 | &nbsp;&nbsp;&nbsp; 187446 |
| Ginnie Mae, 4.67%, 4/20/2063 - 11/20/2067  | 1403703 | &nbsp;&nbsp;&nbsp; 1402628 |
| Ginnie Mae, 5.248%, 3/20/2064  | 1018153 | &nbsp;&nbsp;&nbsp; 1022031 |
| Ginnie Mae, 4.9%, 7/20/2064  | 480418 | &nbsp;&nbsp;&nbsp; 480750 |
| Ginnie Mae, 4.82%, 3/20/2065  | 33197 | &nbsp;&nbsp;&nbsp; 33195 |
| Ginnie Mae, 5.27%, 2/20/2066  | 135281 | &nbsp;&nbsp;&nbsp; 135951 |
| Ginnie Mae, 2.181%, 3/20/2066 (i) | 1789694 | &nbsp;&nbsp;&nbsp; 46654 |
| Ginnie Mae, 4.97%, 10/20/2066  | 882605 | &nbsp;&nbsp;&nbsp; 884170 |
| Ginnie Mae, 4.99%, 10/20/2066  | 2429821 | &nbsp;&nbsp;&nbsp; 2434693 |
| Ginnie Mae, 5.249%, 1/20/2067  | 2187912 | &nbsp;&nbsp;&nbsp; 2200942 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Ginnie Mae, 5.127%, 2/20/2067  | $1617409 | &nbsp;&nbsp;&nbsp; $1626327 |
| Ginnie Mae, 5.173%, 3/20/2067  | 3702954 | &nbsp;&nbsp;&nbsp; 3726980 |
| Ginnie Mae, 5.281%, 7/20/2067  | 4454082 | &nbsp;&nbsp;&nbsp; 4499214 |
| Ginnie Mae, 4.992%, 4/20/2068  | 7497217 | &nbsp;&nbsp;&nbsp; 7525784 |
| Ginnie Mae, 4.499%, 12/20/2071  | 2462596 | &nbsp;&nbsp;&nbsp; 2448566 |
| Ginnie Mae, 4.569%, 12/20/2071  | 848954 | &nbsp;&nbsp;&nbsp; 845810 |
| Ginnie Mae, 4.749%, 8/20/2074  | 4994428 | &nbsp;&nbsp;&nbsp; 4989290 |
| Ginnie Mae, 4.099%, 11/20/2074  | 3152795 | &nbsp;&nbsp;&nbsp; 3126882 |
| Ginnie Mae, TBA, 5%, 12/18/2055  | 7275000 | &nbsp;&nbsp;&nbsp; 7266252 |
| UMBS, TBA, 2%, 12/25/2055  | 60175000 | &nbsp;&nbsp;&nbsp; 48950205 |
| UMBS, TBA, 2.5%, 12/25/2055  | 2125000 | &nbsp;&nbsp;&nbsp; 1807657 |
| UMBS, TBA, 3.5%, 12/25/2055  | 8600000 | &nbsp;&nbsp;&nbsp; 7953673 |
| UMBS, TBA, 5%, 12/25/2055  | 9025000 | &nbsp;&nbsp;&nbsp; 9005830 |
| UMBS, TBA, 6%, 12/25/2055  | 17875000 | &nbsp;&nbsp;&nbsp; 18301304 |
|  |  | &nbsp;&nbsp;&nbsp; $1016388886 |
| U.S. Government Agencies and Equivalents – 0.1% | U.S. Government Agencies and Equivalents – 0.1% | U.S. Government Agencies and Equivalents – 0.1% |
| Small Business Administration, 2.21%, 2/01/2033  | $435843 | &nbsp;&nbsp;&nbsp; $412274 |
| Small Business Administration, 2.22%, 3/01/2033  | 683371 | &nbsp;&nbsp;&nbsp; 644634 |
| Small Business Administration, 3.15%, 7/01/2033  | 664520 | &nbsp;&nbsp;&nbsp; 644414 |
| Small Business Administration, 3.16%, 8/01/2033  | 269856 | &nbsp;&nbsp;&nbsp; 261546 |
| Small Business Administration, 3.62%, 9/01/2033  | 215573 | &nbsp;&nbsp;&nbsp; 211967 |
|  |  | &nbsp;&nbsp;&nbsp; $2174835 |
| U.S. Treasury Obligations – 39.8% | U.S. Treasury Obligations – 39.8% | U.S. Treasury Obligations – 39.8% |
| U.S. Treasury Bonds, 6%, 2/15/2026 (f) | $5933000 | &nbsp;&nbsp;&nbsp; $5955712 |
| U.S. Treasury Bonds, 6.375%, 8/15/2027  | 2309000 | &nbsp;&nbsp;&nbsp; 2418226 |
| U.S. Treasury Bonds, 3.5%, 9/30/2027  | 89799200 | &nbsp;&nbsp;&nbsp; 89774645 |
| U.S. Treasury Bonds, 4.375%, 2/15/2038  | 2078000 | &nbsp;&nbsp;&nbsp; 2124674 |
| U.S. Treasury Bonds, 3.125%, 2/15/2043  | 9748800 | &nbsp;&nbsp;&nbsp; 8047711 |
| U.S. Treasury Bonds, 2.875%, 5/15/2043  | 27528200 | &nbsp;&nbsp;&nbsp; 21810722 |
| U.S. Treasury Bonds, 4.75%, 11/15/2043  | 11168000 | &nbsp;&nbsp;&nbsp; 11397468 |
| U.S. Treasury Bonds, 2.5%, 2/15/2045  | 97983000 | &nbsp;&nbsp;&nbsp; 71014710 |
| U.S. Treasury Bonds, 4.75%, 2/15/2045  | 36531000 | &nbsp;&nbsp;&nbsp; 37107505 |
| U.S. Treasury Bonds, 5%, 5/15/2045  | 4336000 | &nbsp;&nbsp;&nbsp; 4545347 |
| U.S. Treasury Bonds, 4.625%, 5/15/2054  | 11176000 | &nbsp;&nbsp;&nbsp; 11079083 |
| U.S. Treasury Bonds, 4.625%, 2/15/2055  | 11722000 | &nbsp;&nbsp;&nbsp; 11623096 |
| U.S. Treasury Bonds, 4.75%, 8/15/2055  | 39192000 | &nbsp;&nbsp;&nbsp; 39681900 |
| U.S. Treasury Notes, 3.5%, 10/31/2027  | 78357000 | &nbsp;&nbsp;&nbsp; 78338635 |
| U.S. Treasury Notes, 3.375%, 11/30/2027  | 42138000 | &nbsp;&nbsp;&nbsp; 42042531 |
| U.S. Treasury Notes, 2.75%, 2/15/2028  | 54157000 | &nbsp;&nbsp;&nbsp; 53310797 |
| U.S. Treasury Notes, 3.625%, 3/31/2028 (f) | 86350000 | &nbsp;&nbsp;&nbsp; 86609724 |
| U.S. Treasury Notes, 1%, 7/31/2028  | 32248000 | &nbsp;&nbsp;&nbsp; 30217384 |
| U.S. Treasury Notes, 2.375%, 5/15/2029  | 19515500 | &nbsp;&nbsp;&nbsp; 18787480 |
| U.S. Treasury Notes, 3.625%, 8/31/2029  | 27900000 | &nbsp;&nbsp;&nbsp; 27971930 |
| U.S. Treasury Notes, 4.375%, 12/31/2029  | 7900000 | &nbsp;&nbsp;&nbsp; 8141012 |
| U.S. Treasury Notes, 3.5%, 4/30/2030  | 18675000 | &nbsp;&nbsp;&nbsp; 18615182 |
| U.S. Treasury Notes, 4.125%, 8/31/2030  | 37647000 | &nbsp;&nbsp;&nbsp; 38496998 |
| U.S. Treasury Notes, 1.625%, 5/15/2031  | 41833000 | &nbsp;&nbsp;&nbsp; 37670943 |
| U.S. Treasury Notes, 1.375%, 11/15/2031  | 11425300 | &nbsp;&nbsp;&nbsp; 10010527 |
| U.S. Treasury Notes, 4.25%, 8/15/2035  | 34163000 | &nbsp;&nbsp;&nbsp; 34824908 |
|  |  | &nbsp;&nbsp;&nbsp; $801618850 |
| **Total Bonds**  |  | &nbsp;&nbsp; **$1943804818** |
| Mutual Funds (h) – 9.8%  | Mutual Funds (h) – 9.8%  | Mutual Funds (h) – 9.8%  |
| Money Market Funds – 9.8% | Money Market Funds – 9.8% |  |
| MFS Institutional Money Market Portfolio, 4.01% (v)  | 198120699 | &nbsp;&nbsp;&nbsp; $198160324 |

---

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

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Underlying/Expiration Date/Exercise Price (Rate)** | **Put/Call** | **Counterparty** | **Notional** <br>**Amount**<br>| &nbsp;&nbsp; **Par Amount/** <br>**Number of** <br>**Contracts**<br>| **Value ($)** |
| Purchased Options – 0.0%  | Purchased Options – 0.0%  | Purchased Options – 0.0%  | Purchased Options – 0.0%  | Purchased Options – 0.0%  |  |
| OTC Swaptions – 0.0% | OTC Swaptions – 0.0% | OTC Swaptions – 0.0% | OTC Swaptions – 0.0% | OTC Swaptions – 0.0% |  |
| 1 Year Interest Rate Swap with Fund to pay 3.085% annually and <br> receive 1-day SOFR annually – 8/30/2027 @ 3.085%<br>| Put | Merrill Lynch International | &nbsp;&nbsp; $49600000 | &nbsp;&nbsp;&nbsp; N/A | &nbsp;&nbsp; $213068 |
| 1 Year Interest Rate Swap with Fund to receive 3.085% annually and <br> pay 1-day SOFR annually – 8/30/2027 @ 3.085%<br>| Call | Merrill Lynch International | &nbsp;&nbsp; 49600000 | &nbsp;&nbsp;&nbsp; N/A | &nbsp;&nbsp; 193070 |
| **Total Purchased Options**  | **Total Purchased Options**  | **Total Purchased Options**  | **Total Purchased Options**  |  | &nbsp;&nbsp; **$406138** |

---

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

---

| | |
|:---|:---|
| Other Assets, Less Liabilities – (6.2)% | &nbsp;&nbsp;&nbsp; (125707390)<br>|
| **Net Assets – 100.0%** | &nbsp;&nbsp; **$2016663890** |

---

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

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

&nbsp;&nbsp;&nbsp;&nbsp;(h) An affiliated issuer, which may be considered one in which the fund owns 5% or more
 of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated
 issuers and in unaffiliated issuers were $198,160,324 and $1,944,210,956, respectively.

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

&nbsp;&nbsp;&nbsp;&nbsp;(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933.
 These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers.
 At period end, the aggregate value of these securities was $98,568,361, representing 4.9% of net assets.

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

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

---

| | |
|:---|:---|
| The following abbreviations are used in this report and are defined: | The following abbreviations are used in this report and are defined: |
| CLO | Collateralized Loan Obligation |
| FLR | Floating Rate. Interest rate resets periodically based on the parenthetically disclosed reference rate plus a spread (if any). The period-end rate <br> reported may not be the current rate. All reference rates are USD unless otherwise noted.<br>|
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
| UMBS | Uniform Mortgage-Backed Security |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 11/30/25** | **Derivative Contracts at 11/30/25** | **Derivative Contracts at 11/30/25** | **Derivative Contracts at 11/30/25** | **Derivative Contracts at 11/30/25** | **Derivative Contracts at 11/30/25** | **Derivative Contracts at 11/30/25** |
| **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  |
| **Description** | **Long/** <br>**Short**<br>| **Currency** | **Contracts** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| &nbsp;&nbsp; **Expiration** <br>**Date**<br>| **Value/Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |
| ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  |  |  |
| U.S. Treasury Note 10 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 1722 | $195177938 | March – 2026 | &nbsp;&nbsp; $48096 |
| U.S. Treasury Note 5 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 2642 | 290000781 | March – 2026 | &nbsp;&nbsp; 50795 |
|  |  |  |  |  |  | &nbsp;&nbsp; $98891 |
| **Liabilitiy Derivatives** | **Liabilitiy Derivatives** | **Liabilitiy Derivatives** | **Liabilitiy Derivatives** | **Liabilitiy Derivatives** | **Liabilitiy Derivatives** | **Liabilitiy Derivatives** |
| ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  | ***Interest Rate Futures***  |  |  |
| U.S. Treasury Note 2 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 3316 | $692577691 | March – 2026 | &nbsp;&nbsp; $(246727)<br>|
| U.S. Treasury Ultra Note 10 yr | &nbsp;&nbsp; Short | &nbsp;&nbsp; USD | &nbsp;&nbsp; 131 | 15222610 | March – 2026 | &nbsp;&nbsp; (25568)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(272295)<br>|

---

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

------

*Portfolio of Investments (unaudited) – continued*

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  | **Cleared Swap Agreements**  |
| **Maturity** <br>**Date** | **Maturity** <br>**Date** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| **Counterparty** | &nbsp;&nbsp; **Cash Flows** <br>**to Receive/** <br>**Frequency**<br>| &nbsp;&nbsp; **Cash Flows** <br>**to Pay/** <br>**Frequency**<br>| **Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>| **Net Unamortized** <br>**Upfront Payments** <br>**(Receipts)**<br>| **Value** |
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |  |  |  |
| ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  |  |  |  |
| 5/08/27 | USD | 56427000  | centrally cleared | &nbsp;&nbsp; 1-day SOFR / <br> Annually <br>| 3.5595% / Annually  | &nbsp;&nbsp; $93440 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $93440 |
| 11/26/27 | USD | 100742000  | centrally cleared | &nbsp;&nbsp; 1-day SOFR / <br> Annually <br>| 3.2845% / Annually  | &nbsp;&nbsp; 64687 | &nbsp;&nbsp; — | &nbsp;&nbsp; 64687 |
|  |  |  |  |  |  | &nbsp;&nbsp; $158127 | &nbsp;&nbsp; $— | &nbsp;&nbsp; $158127 |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |  |  |  |
| ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  | ***Interest Rate Swaps***  |  |  |  |
| 11/03/27 | USD | 100992000  | centrally cleared | &nbsp;&nbsp; 1-day SOFR / <br> Annually <br>| 3.389% / Annually  | &nbsp;&nbsp; $(115353)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $(115353)<br>|
| 11/05/27 | USD | 100309000  | centrally cleared | &nbsp;&nbsp; 1-day SOFR / <br> Annually <br>| 3.387% / Annually  | &nbsp;&nbsp; (105241)<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; (105241)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(220594)<br>| &nbsp;&nbsp; $— | &nbsp;&nbsp; $(220594)<br>|

---

At November 30, 2025, the fund had cash collateral of $130,000 and other liquid securities with an aggregate value of $16,482,313 to cover any collateral or margin obligations for securities sold short and certain derivative contracts.

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

------

**Supplemental Information**

11/30/25 (unaudited)

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

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

**(1) Investment Valuations**

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

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

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

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

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

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

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

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

asset value per share.

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

------

*Supplemental Information (unaudited) – continued*

Level 3 includes significant unobservable inputs, which may include the adviser's own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments, such as futures contracts and swap agreements. The following is a summary of the levels used as of November 30, 2025 in valuing the fund's assets and liabilities:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $803793685 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $803793685 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1942581 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1942581 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1028844476 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 1028844476 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 50926294 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 50926294 |
| Asset-Backed Securities (including CDOs) | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 58297782 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 58297782 |
| Purchased Options | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 406138 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 406138 |
| Investment Companies | &nbsp;&nbsp;&nbsp; 198160324 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 198160324 |
| Total | &nbsp;&nbsp;&nbsp; $198160324 | &nbsp;&nbsp;&nbsp; $1944210956 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $2142371280 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Assets | &nbsp;&nbsp;&nbsp; $98891 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $98891 |
| Futures Contracts – Liabilitiy Derivatives | &nbsp;&nbsp;&nbsp; (272295)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (272295)<br>|
| Swap Agreements – Assets | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 158127 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 158127 |
| Swap Agreements – Liabilities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (220594)<br>| &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (220594)<br>|

---

**(2) Investments in Affiliated Issuers**

An affiliated issuer may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. The following were affiliated issuers for the period ended November 30, 2025:

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Affiliated Issuers** | **Beginning** <br>**Value**<br>| **Purchases** | **Sales** <br>**Proceeds**<br>| **Realized** <br>**Gain** <br>**(Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation or** <br>**Depreciation**<br>| **Ending** <br>**Value**<br>|
| MFS Institutional Money Market Portfolio  | $24511411 | &nbsp;&nbsp; $1055375956 | &nbsp;&nbsp; $881746200 | &nbsp;&nbsp; $(15514)<br>| &nbsp;&nbsp; $34671 | &nbsp;&nbsp; $198160324<br>|

---

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

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| MFS Institutional Money Market Portfolio  | &nbsp;&nbsp; $5192273 | &nbsp;&nbsp; $— |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MFS Series Trust XIII

- **b. Investment Company Act file number:** 811-03327

- **c. CIK number of Registrant:** 0000356349

- **d. LEI of Registrant:** 5493000SCRZM3WD72S74

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

  - **Street Address 1:** 111 Huntington Avenue

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

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

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

- **a. Name of Series:** MFS Government Securities Fund

- **b. EDGAR series identifier (if any):** S000000693

- **c. LEI of Series:** UWWK6TDSOPDQSQMMEB12

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

- **a. Date of fiscal year-end:** 2026-02-28

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2116813191.46

**Total Liabilities:** $100287086.27

**Net Assets:** $2016526105.19

**Delayed Delivery Securities:** $93531820.31

**Cash Not Reported:** $47686.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2332.62774670 | **1-Year:** -14530.68582960 | **5-Year:** -20451.57950350 | **10-Year:** -84323.01440240 | **30-Year:** -51479.38487240

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

- **3-Month:** -1160.81149410 | **1-Year:** -14184.44639350 | **5-Year:** -13572.62064280 | **10-Year:** -4171.25810470 | **30-Year:** -1788.75816180

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000002006 | 0.80%                | 0.65%                | 0.65%                |
| Class ID C000002007 | 0.66%                | 0.63%                | 0.74%                |
| Class ID C000002008 | 0.80%                | 0.65%                | 0.65%                |
| Class ID C000002012 | 0.60%                | 0.57%                | 0.57%                |
| Class ID C000002013 | 0.71%                | 0.57%                | 0.57%                |
| Class ID C000002015 | 0.72%                | 0.57%                | 0.57%                |
| Class ID C000002017 | 0.64%                | 0.61%                | 0.72%                |
| Class ID C000002018 | 0.78%                | 0.63%                | 0.63%                |
| Class ID C000117927 | 0.69%                | 0.66%                | 0.66%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $692820.84               | $9647972.49                                |
| Month 2  | $2295823.93              | $3792722.01                                |
| Month 3  | $-1396129.74             | $6108715.33                                |

**Designated Index Information**

- **Index Name:** BBG U.S. Govt/Mortgage Bond Index

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                           | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACREC Ltd.                                     | ACREC Ltd., Series 2021-FL1, Class AS                                           | CUSIP: 00500RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7778000 | PA      | $7778883.58   | 0.39%             | 2036-10-16      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| ACREC LLC                                      | ACREC LLC, Series 2023-FL2, Class A                                             | CUSIP: 00501BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2013630 | PA      | $2017985.19   | 0.10%             | 2038-02-19      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Alinea CLO Ltd.                                | Alinea CLO Ltd., Series 2018-1A, Class AR                                       | CUSIP: 016269AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    106496 | PA      | $106517.36    | 0.01%             | 2031-07-20      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  60175000 | PA      | $48950204.62  | 2.43%             | 2055-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2125000 | PA      | $1807656.81   | 0.09%             | 2055-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8600000 | PA      | $7953673.45   | 0.39%             | 2055-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9025000 | PA      | $9005830.00   | 0.45%             | 2055-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17875000 | PA      | $18301303.56  | 0.91%             | 2055-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust       | AmeriCredit Automobile Receivables Trust, Series 2024-1, Class A2B              | CUSIP: 023947AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    384871 | PA      | $384968.64    | 0.02%             | 2028-02-18      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                    | AREIT Trust, Series 2022-CRE6, Class AS                                         | CUSIP: 04002VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7155500 | PA      | $7130191.14   | 0.35%             | 2037-01-20      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                          | ARI Fleet Lease Trust, Series 2023-B, Class A2                                  | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665955 | PA      | $671107.53    | 0.03%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                           | BBCMS Mortgage Trust, Series 2021-C9, Class XA                                  | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13232249 | PA      | $828530.65    | 0.04%             | 2054-02-15      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                           | BBCMS Mortgage Trust, Series 2022-C18, Class XA                                 | CUSIP: 054975AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22405194 | PA      | $748635.97    | 0.04%             | 2055-12-15      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                    | BBCMS Trust, Series 2021-C10, Class XA                                          | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19513086 | PA      | $960170.65    | 0.05%             | 2054-07-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| BDS LLC                                        | BDS LLC, Series 2024-FL13, Class A                                              | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1558000 | PA      | $1561360.61   | 0.08%             | 2039-09-19      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                      | BXMT Ltd., Series 2021-FL4, Class AS                                            | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7779500 | PA      | $7718534.39   | 0.38%             | 2038-05-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2021-BN35, Class XA                                                | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13136587 | PA      | $541348.26    | 0.03%             | 2064-06-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2021-BN31, Class XA                                                | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32448112 | PA      | $1678303.95   | 0.08%             | 2054-02-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2021-BN32, Class XA                                                | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18837200 | PA      | $538619.60    | 0.03%             | 2054-04-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                               | Barings CLO Ltd., Series 2021-3A, Class B1R                                     | CUSIP: 06762TAN1<br>LEI: 549300V1VT2NXKFG0H98 | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5500170.50   | 0.27%             | 2035-01-18      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B23, Class XA                             | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43176605 | PA      | $1997859.21   | 0.10%             | 2054-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B24, Class XA                             | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26072578 | PA      | $1008870.57   | 0.05%             | 2054-03-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B26, Class XA                             | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36942163 | PA      | $1201621.43   | 0.06%             | 2054-06-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B28, Class XA                             | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39052079 | PA      | $1934503.29   | 0.10%             | 2054-08-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B27, Class XA                             | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32640254 | PA      | $1551835.19   | 0.08%             | 2054-07-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B29, Class XA                             | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44705416 | PA      | $1581588.19   | 0.08%             | 2054-09-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust  | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class A2          | CUSIP: 10806HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1109755 | PA      | $1110210.45   | 0.06%             | 2027-09-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                    | Business Jet Securities LLC, Series 2024-1A, Class A                            | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1192145 | PA      | $1218058.73   | 0.06%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-CBM, Class A2                                  | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395974 | PA      | $1426401.35   | 0.07%             | 2041-12-10      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                      | Chesapeake Funding II LLC, Series 2023-2A, Class A2                             | CUSIP: 165183DA9<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   1464920 | PA      | $1470876.54   | 0.07%             | 2035-10-15      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust            | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class XA                   | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21003276 | PA      | $599292.79    | 0.03%             | 2072-12-15      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| Conservation Fund A Nonprofit Corp. (The)      | Conservation Fund A Nonprofit Corp. (The), Series 2019                          | CUSIP: 20848FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2018000 | PA      | $1942580.64   | 0.10%             | 2029-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7275000 | PA      | $7266251.81   | 0.36%             | 2055-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT Trust                                      | EQT Trust, Series 2024-EXTR, Class B                                            | CUSIP: 29439DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503054 | PA      | $1537337.01   | 0.08%             | 2041-07-05      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128K8GJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43091 | PA      | $44379.77     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128KYA33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113153 | PA      | $119268.50    | 0.01%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LDWL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80208 | PA      | $83459.45     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203546 | PA      | $212380.77    | 0.01%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXC57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    236286 | PA      | $241541.39    | 0.01%             | 2030-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXDA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136354 | PA      | $142448.66    | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59083 | PA      | $60849.89     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35951 | PA      | $37558.45     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M4GZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17550 | PA      | $17896.78     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M4T37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75393 | PA      | $78613.15     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M5HJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29744 | PA      | $31445.07     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M5M56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84960 | PA      | $88758.19     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6HH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13182 | PA      | $13701.91     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67227 | PA      | $69252.21     | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6K49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39213 | PA      | $40976.91     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63142 | PA      | $65859.14     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6WA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231428 | PA      | $244614.89    | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M72C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59488 | PA      | $62146.48     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M73V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138104 | PA      | $142263.74    | 0.01%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86182 | PA      | $87364.11     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M8RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253474 | PA      | $261735.47    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290918 | PA      | $300874.53    | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9DT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    562394 | PA      | $569994.75    | 0.03%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730402 | PA      | $703408.08    | 0.03%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    646231 | PA      | $635848.56    | 0.03%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJC99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310396 | PA      | $324275.14    | 0.02%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1727366 | PA      | $1643135.53   | 0.08%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1193512 | PA      | $1095411.96   | 0.05%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    947192 | PA      | $899830.14    | 0.04%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232386 | PA      | $230721.73    | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1210467 | PA      | $1150891.65   | 0.06%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292HVU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102941 | PA      | $106012.26    | 0.01%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292JBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32013 | PA      | $32611.57     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292LLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1039040 | PA      | $998067.83    | 0.05%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1040713 | PA      | $994518.17    | 0.05%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4562221 | PA      | $4359711.83   | 0.22%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205771 | PA      | $211247.17    | 0.01%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312934M58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94275 | PA      | $97237.80     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312934RV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171093 | PA      | $176468.20    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312940BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93371 | PA      | $95708.36     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312940ZV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34808 | PA      | $35680.86     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183758 | PA      | $184843.08    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3129456R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    819389 | PA      | $845153.82    | 0.04%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168632 | PA      | $170496.83    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31296L3U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19482 | PA      | $19779.12     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31296LFZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19220 | PA      | $19482.39     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31297CWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56602 | PA      | $57546.40     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31297DCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1578 | PA      | $1636.75      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31297V6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49845 | PA      | $51921.33     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1335255 | PA      | $1262685.47   | 0.06%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132CWVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56322 | PA      | $53550.62     | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31682 | PA      | $27316.61     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DMWR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1080486 | PA      | $841471.39    | 0.04%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DMYS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187645 | PA      | $145804.99    | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DNBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1145278 | PA      | $1019900.29   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DNV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2610736 | PA      | $2139698.12   | 0.11%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    823910 | PA      | $705266.61    | 0.03%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2018240 | PA      | $2076691.08   | 0.10%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DQMV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58202 | PA      | $60104.11     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DSRU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525729 | PA      | $527063.29    | 0.03%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DTZL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1099870 | PA      | $1154292.46   | 0.06%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93196 | PA      | $79797.81     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296096 | PA      | $230053.23    | 0.01%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33108 | PA      | $28371.54     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3794976 | PA      | $2946465.31   | 0.15%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117655 | PA      | $100810.96    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162920 | PA      | $139545.11    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318962 | PA      | $247840.86    | 0.01%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396057 | PA      | $323933.19    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7196942 | PA      | $6406287.57   | 0.32%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5995849 | PA      | $4906765.06   | 0.24%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8263484 | PA      | $7068358.82   | 0.35%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    674526 | PA      | $576970.51    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13453779 | PA      | $11975711.25  | 0.59%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2459999 | PA      | $2466620.23   | 0.12%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20748 | PA      | $20825.77     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1647673 | PA      | $1651938.46   | 0.08%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2121870 | PA      | $2182087.01   | 0.11%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368029 | PA      | $377289.23    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2265352 | PA      | $2324035.17   | 0.12%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4782365 | PA      | $4846907.51   | 0.24%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4300549 | PA      | $4361125.54   | 0.22%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766306 | PA      | $785639.48    | 0.04%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457385 | PA      | $456588.41    | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3596304 | PA      | $3645519.24   | 0.18%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GETS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166554 | PA      | $168411.70    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GEV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301683 | PA      | $311167.78    | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GLGN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173832 | PA      | $167659.72    | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GRL58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    709075 | PA      | $680675.74    | 0.03%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132HL3J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328496 | PA      | $305392.86    | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    846229 | PA      | $823064.41    | 0.04%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385919 | PA      | $358693.42    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283069 | PA      | $263102.94    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    755718 | PA      | $702403.79    | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5116062 | PA      | $4755168.71   | 0.24%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    814565 | PA      | $794078.46    | 0.04%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132QSWK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    792609 | PA      | $754455.95    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    698410 | PA      | $661111.53    | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    917961 | PA      | $928292.38    | 0.05%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31335B7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1074241 | PA      | $1122011.96   | 0.06%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31335B7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1003198 | PA      | $1034641.04   | 0.05%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133A2EK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100072 | PA      | $997144.04    | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133A62T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89020 | PA      | $81123.47     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133A67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1076220 | PA      | $973282.76    | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2145974 | PA      | $1780404.91   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3917408 | PA      | $3511448.95   | 0.17%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1003571 | PA      | $937497.17    | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3674311 | PA      | $3139111.82   | 0.16%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BRUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    195802 | PA      | $198940.20    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BUYL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508636 | PA      | $517107.10    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BUZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29191 | PA      | $29236.23     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246342 | PA      | $250845.55    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133C4BS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119210 | PA      | $122167.35    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133C8L60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2189270 | PA      | $2251460.89   | 0.11%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CAS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327280 | PA      | $337444.50    | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CC5R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33419 | PA      | $34310.97     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CMP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766284 | PA      | $785581.69    | 0.04%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CNU34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353711 | PA      | $363078.86    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CUD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    668699 | PA      | $667898.01    | 0.03%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CYR59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1885062 | PA      | $1883810.72   | 0.09%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133D16K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407080 | PA      | $407316.29    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    673348 | PA      | $550872.45    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318747 | PA      | $272947.90    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2931354 | PA      | $2535164.57   | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3780013 | PA      | $3266963.81   | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1530010 | PA      | $1302438.27   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395619 | PA      | $336960.42    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3775141 | PA      | $3628243.45   | 0.18%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5075269 | PA      | $4444451.04   | 0.22%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 406, Class F36                                                    | CUSIP: 3133Q3JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509501 | PA      | $515795.78    | 0.03%             | 2053-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133W93M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308588 | PA      | $322569.00    | 0.02%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133WEUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357481 | PA      | $366376.96    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49553 | PA      | $50926.57     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2011-123, Class JF                                                 | CUSIP: 3136A2PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305558 | PA      | $304434.34    | 0.02%             | 2041-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-23, Class CE                                                  | CUSIP: 3136A4ES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1266420 | PA      | $1312497.21   | 0.07%             | 2042-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-40, Class PE                                                  | CUSIP: 3136A5AW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200862 | PA      | $1159705.83   | 0.06%             | 2041-04-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-44, Class IK                                                  | CUSIP: 3136A5C38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68493 | PA      | $2312.66      | 0.00%             | 2031-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-58, Class FM                                                  | CUSIP: 3136A6JP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2278730 | PA      | $2264435.28   | 0.11%             | 2042-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-93, Class ME                                                  | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1295166 | PA      | $1242503.19   | 0.06%             | 2042-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-137, Class UE                                                 | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903575 | PA      | $870949.92    | 0.04%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-1, Class YI                                                   | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829725 | PA      | $56646.49     | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-43, Class MA                                                  | CUSIP: 3136ADY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1616089 | PA      | $1548586.34   | 0.08%             | 2033-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-56, Class PK                                                  | CUSIP: 3136AEZE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012944 | PA      | $972276.93    | 0.05%             | 2043-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-81, Class KA                                                  | CUSIP: 3136AFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    827918 | PA      | $804758.80    | 0.04%             | 2042-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2015-3, Class PC                                                   | CUSIP: 3136AMNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525165 | PA      | $513623.20    | 0.03%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-4, Class LI                                                   | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670084 | PA      | $49822.00     | 0.00%             | 2036-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2015-90, Class UQ                                                  | CUSIP: 3136AQVJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390810 | PA      | $379701.91    | 0.02%             | 2045-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2015-87, Class BF                                                  | CUSIP: 3136AQWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535220 | PA      | $529012.36    | 0.03%             | 2045-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-30, Class PA                                                  | CUSIP: 3136AR2J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672955 | PA      | $647056.77    | 0.03%             | 2045-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-19, Class AD                                                  | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    731291 | PA      | $685881.20    | 0.03%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-64, Class SA                                                  | CUSIP: 3136ATTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1612725 | PA      | $189199.29    | 0.01%             | 2046-09-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-82, Class FD                                                  | CUSIP: 3136AUAU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5593913 | PA      | $5557931.05   | 0.28%             | 2046-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2017-33, Class LB                                                  | CUSIP: 3136AWFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1764697 | PA      | $1681226.62   | 0.08%             | 2039-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2017-30, Class VH                                                  | CUSIP: 3136AWQJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652458 | PA      | $641973.66    | 0.03%             | 2030-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2018-73, Class MV                                                  | CUSIP: 3136B3DM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    667897 | PA      | $657834.12    | 0.03%             | 2030-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2019-75, Class FK                                                  | CUSIP: 3136B7RX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1869600 | PA      | $1834375.43   | 0.09%             | 2049-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2020-49, Class JA                                                  | CUSIP: 3136BAF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065523 | PA      | $1000769.41   | 0.05%             | 2044-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2020-65, Class EI                                                  | CUSIP: 3136BBTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2800890 | PA      | $543124.03    | 0.03%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2021-10, Class AC                                                  | CUSIP: 3136BFMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1372062 | PA      | $1226310.25   | 0.06%             | 2041-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2021-95, Class GI                                                  | CUSIP: 3136BKWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495501 | PA      | $79036.95     | 0.00%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2022-29, Class MG                                                  | CUSIP: 3136BM3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461089 | PA      | $466476.74    | 0.02%             | 2042-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2022-57, Class FA                                                  | CUSIP: 3136BN3C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6292345 | PA      | $6179879.72   | 0.31%             | 2052-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2022-66, Class CF                                                  | CUSIP: 3136BN6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3591068 | PA      | $3537197.48   | 0.18%             | 2052-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2022-60, Class FA                                                  | CUSIP: 3136BNW44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8697759 | PA      | $8533687.39   | 0.42%             | 2052-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2023-54, Class FD                                                  | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000500 | PA      | $4049926.90   | 0.20%             | 2053-11-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-46, Class AM                                                  | CUSIP: 3136BSJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2968715 | PA      | $3079021.76   | 0.15%             | 2054-07-25      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-88, Class FC                                                  | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7752320 | PA      | $7791825.55   | 0.39%             | 2054-12-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-83, Class FA                                                  | CUSIP: 3136BTME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3307806 | PA      | $3314291.68   | 0.16%             | 2054-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-98, Class FJ                                                  | CUSIP: 3136BUSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5130902 | PA      | $5136151.26   | 0.25%             | 2053-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2025-11, Class FM                                                  | CUSIP: 3136BUX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4248896 | PA      | $4254058.88   | 0.21%             | 2055-03-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31371KHY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31430 | PA      | $33105.07     | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31371KN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3276 | PA      | $3417.83      | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127049 | PA      | $130619.75    | 0.01%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31376KQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196153 | PA      | $204693.37    | 0.01%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3845, Class AI                                                    | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240323 | PA      | $36788.04     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3923, Class DA                                                    | CUSIP: 3137AFKG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1283828 | PA      | $1270797.49   | 0.06%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4096, Class DZ                                                    | CUSIP: 3137ATAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1345434 | PA      | $1289796.47   | 0.06%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4150, Class UK                                                    | CUSIP: 3137AYB75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    659599 | PA      | $629289.69    | 0.03%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4184, Class GM                                                    | CUSIP: 3137B0CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    982274 | PA      | $964433.26    | 0.05%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4243, Class BZ                                                    | CUSIP: 3137B45J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4690099 | PA      | $4622081.50   | 0.23%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4263, Class FB                                                    | CUSIP: 3137B5QC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1277209 | PA      | $1267682.57   | 0.06%             | 2043-11-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4474, Class HJ                                                    | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197368 | PA      | $190753.92    | 0.01%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4471, Class PI                                                    | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35152 | PA      | $3272.85      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K054, Class A2   | CUSIP: 3137BNGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1997216 | PA      | $1989861.16   | 0.10%             | 2026-01-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4566, Class PG                                                    | CUSIP: 3137BNPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1413515 | PA      | $1352212.32   | 0.07%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4604, Class FB                                                    | CUSIP: 3137BRN76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321564 | PA      | $318906.29    | 0.02%             | 2046-08-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K057, Class A2   | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28815341 | PA      | $28558570.61  | 1.42%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K059, Class A2   | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12606250 | PA      | $12513249.76  | 0.62%             | 2026-09-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K062, Class A2   | CUSIP: 3137BUX60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16651658 | PA      | $16553814.23  | 0.82%             | 2026-12-25      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K065, Class A2   | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10090226 | PA      | $10004764.81  | 0.50%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class A1   | CUSIP: 3137F2L38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    743788 | PA      | $740011.72    | 0.04%             | 2026-12-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class A2   | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20616052 | PA      | $20395845.76  | 1.01%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class X1   | CUSIP: 3137F4D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 136400205 | PA      | $791803.19    | 0.04%             | 2028-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K075, Class X1   | CUSIP: 3137F4X98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 165202571 | PA      | $489214.37    | 0.02%             | 2028-02-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K118, Class XAM  | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6568138 | PA      | $329606.24    | 0.02%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K740, Class A2   | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $4417221.76   | 0.22%             | 2027-09-25      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K122, Class XAM  | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13158725 | PA      | $631912.24    | 0.03%             | 2030-11-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K124, Class XAM  | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14681587 | PA      | $624465.15    | 0.03%             | 2031-01-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K125, Class XAM  | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19512958 | PA      | $707651.08    | 0.04%             | 2031-01-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K067, Class X1   | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  99061778 | PA      | $726003.96    | 0.04%             | 2027-07-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K068, Class X1   | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  76661907 | PA      | $451684.29    | 0.02%             | 2027-08-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class A2   | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6876682 | PA      | $6813270.74   | 0.34%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K072, Class X1   | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1332907 | PA      | $9204.79      | 0.00%             | 2027-12-25      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K073, Class X1   | CUSIP: 3137FETQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  57110094 | PA      | $333991.25    | 0.02%             | 2028-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K076, Class A2   | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1867674 | PA      | $1870094.51   | 0.09%             | 2028-04-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K076, Class X1   | CUSIP: 3137FEZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 108730366 | PA      | $329931.42    | 0.02%             | 2028-04-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K741, Class A2   | CUSIP: 3137FF3X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8595852 | PA      | $8237822.73   | 0.41%             | 2027-12-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K734, Class A2   | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    593171 | PA      | $590991.95    | 0.03%             | 2026-02-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K097, Class X1   | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18748632 | PA      | $626046.82    | 0.03%             | 2029-07-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K098, Class X1   | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32947997 | PA      | $1185211.95   | 0.06%             | 2029-08-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K737, Class A2   | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10822583 | PA      | $10696288.87  | 0.53%             | 2026-10-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K106, Class X1   | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26261396 | PA      | $1242171.89   | 0.06%             | 2030-01-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K107, Class X1   | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19231276 | PA      | $1068993.58   | 0.05%             | 2030-01-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K738, Class XAM  | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5583000 | PA      | $87662.03     | 0.00%             | 2027-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K109, Class XAM  | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14430646 | PA      | $1000784.06   | 0.05%             | 2030-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K110, Class XAM  | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20077463 | PA      | $1446195.72   | 0.07%             | 2030-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K111, Class XAM  | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26880424 | PA      | $1949836.07   | 0.10%             | 2030-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K112, Class XAM  | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12033779 | PA      | $804970.77    | 0.04%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K113, Class X1   | CUSIP: 3137FV5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29228244 | PA      | $1499911.66   | 0.07%             | 2030-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K114, Class X1   | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19826218 | PA      | $850554.65    | 0.04%             | 2030-06-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K114, Class XAM  | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11124134 | PA      | $606963.90    | 0.03%             | 2030-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K116, Class XAM  | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10235210 | PA      | $681249.44    | 0.03%             | 2030-08-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5085, Class IK                                                    | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7501704 | PA      | $1235820.99   | 0.06%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K126, Class XAM  | CUSIP: 3137FXYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70182335 | PA      | $1764615.50   | 0.09%             | 2031-01-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K127, Class X1   | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49724990 | PA      | $635067.69    | 0.03%             | 2031-01-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class X1   | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39962385 | PA      | $882145.66    | 0.04%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class XAM  | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17260719 | PA      | $607347.74    | 0.03%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K129, Class XAM  | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7120528 | PA      | $410868.71    | 0.02%             | 2031-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K130, Class XAM  | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22560568 | PA      | $1361392.66   | 0.07%             | 2031-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K131, Class XAM  | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11674001 | PA      | $557487.25    | 0.03%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class X1   | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14854105 | PA      | $367566.32    | 0.02%             | 2031-08-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class XAM  | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  48419608 | PA      | $2067202.53   | 0.10%             | 2031-09-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K133, Class XAM  | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50814178 | PA      | $1407501.92   | 0.07%             | 2031-09-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K134, Class XAM  | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  73361326 | PA      | $1374453.79   | 0.07%             | 2031-11-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K136, Class XAM  | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12187459 | PA      | $350447.95    | 0.02%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K137, Class XAM  | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  73957916 | PA      | $1905925.08   | 0.09%             | 2031-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K139, Class XAM  | CUSIP: 3137H6LS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49680895 | PA      | $2077878.59   | 0.10%             | 2032-02-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K145, Class A2   | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8638000 | PA      | $7897619.74   | 0.39%             | 2032-05-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K145, Class XAM  | CUSIP: 3137H7Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 116203070 | PA      | $2288735.67   | 0.11%             | 2032-06-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5266, Class FA                                                    | CUSIP: 3137H9AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4639731 | PA      | $4572783.25   | 0.23%             | 2052-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-152, Class XAM | CUSIP: 3137H9MC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  74026378 | PA      | $926765.84    | 0.05%             | 2032-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-157, Class XAM | CUSIP: 3137HAAL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64115960 | PA      | $1330303.58   | 0.07%             | 2033-05-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-159, Class XAM | CUSIP: 3137HAMF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  78666400 | PA      | $955993.43    | 0.05%             | 2033-08-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-161, Class XAM | CUSIP: 3137HB3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  75772703 | PA      | $1229404.53   | 0.06%             | 2033-10-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K511, Class X1   | CUSIP: 3137HB3H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39452752 | PA      | $470418.84    | 0.02%             | 2028-10-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5367, Class MF                                                    | CUSIP: 3137HB7A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3824954 | PA      | $3836795.79   | 0.19%             | 2053-12-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K755, Class XAM  | CUSIP: 3137HCKP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18431877 | PA      | $378223.96    | 0.02%             | 2031-02-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K522, Class X1   | CUSIP: 3137HDJK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56089379 | PA      | $777746.54    | 0.04%             | 2029-05-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K528, Class X1   | CUSIP: 3137HFP33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31354116 | PA      | $877341.47    | 0.04%             | 2029-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-165, Class XAM | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9883118 | PA      | $684010.60    | 0.03%             | 2034-09-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5483, Class FD                                                    | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6252902 | PA      | $6279410.17   | 0.31%             | 2054-12-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5492, Class MB                                                    | CUSIP: 3137HHZ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2322444 | PA      | $2347068.21   | 0.12%             | 2055-01-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-168, Class XAM | CUSIP: 3137HJ6F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 119066272 | PA      | $1078752.33   | 0.05%             | 2035-01-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-169, Class XAM | CUSIP: 3137HK2F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47468092 | PA      | $1087759.81   | 0.05%             | 2035-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K538, Class X1   | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19140599 | PA      | $419029.83    | 0.02%             | 2030-01-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5566, Class HC                                                    | CUSIP: 3137HMJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215055 | PA      | $215909.60    | 0.01%             | 2055-08-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5575, Class MB                                                    | CUSIP: 3137HN3C0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    872712 | PA      | $915127.84    | 0.05%             | 2055-09-25      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K546, Class A2   | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3877551 | PA      | $3942019.94   | 0.20%             | 2030-05-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K547, Class X1   | CUSIP: 3137HN6D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25633649 | PA      | $444466.97    | 0.02%             | 2030-05-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136002 | PA      | $143110.55    | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83716 | PA      | $86959.39     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385XA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38613 | PA      | $40054.28     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57981 | PA      | $59589.47     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114393 | PA      | $117571.08    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31389QN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66526 | PA      | $68812.20     | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    714548 | PA      | $695870.54    | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A4XB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131757 | PA      | $1166031.29   | 0.06%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1229519 | PA      | $1210279.14   | 0.06%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    361922 | PA      | $366467.21    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638902 | PA      | $645027.64    | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564564 | PA      | $569918.94    | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138AEEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467805 | PA      | $481207.18    | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847041 | PA      | $815327.40    | 0.04%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138E55N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75878 | PA      | $73146.78     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1341679 | PA      | $1319439.01   | 0.07%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504975 | PA      | $496447.26    | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1629546 | PA      | $1600840.90   | 0.08%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954895 | PA      | $983814.41    | 0.05%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1329476 | PA      | $1341807.83   | 0.07%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ENEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5293226 | PA      | $5342864.65   | 0.26%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596588 | PA      | $580913.23    | 0.03%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EPPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500776 | PA      | $515990.57    | 0.03%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365211 | PA      | $358817.85    | 0.02%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1218772 | PA      | $1230198.32   | 0.06%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EQ7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545931 | PA      | $536375.50    | 0.03%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    777595 | PA      | $783742.13    | 0.04%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2253452 | PA      | $2213995.26   | 0.11%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535531 | PA      | $526154.73    | 0.03%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1386734 | PA      | $1360956.79   | 0.07%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072273 | PA      | $1083534.62   | 0.05%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335366 | PA      | $329596.86    | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552348 | PA      | $542846.90    | 0.03%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343523 | PA      | $336975.26    | 0.02%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366606 | PA      | $361763.71    | 0.02%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2310318 | PA      | $2202003.20   | 0.11%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531971 | PA      | $517881.19    | 0.03%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WEEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358854 | PA      | $341297.33    | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    418204 | PA      | $397438.52    | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381118 | PA      | $362234.54    | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    886900 | PA      | $842768.14    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447641 | PA      | $425490.92    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794346 | PA      | $692242.39    | 0.03%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1051789 | PA      | $996093.84    | 0.05%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WHVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1356064 | PA      | $1186113.76   | 0.06%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577104 | PA      | $550973.48    | 0.03%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    323177 | PA      | $308273.86    | 0.02%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138YWJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2249963 | PA      | $2138613.88   | 0.11%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31390YPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31212 | PA      | $32284.56     | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31391WVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226813 | PA      | $232150.39    | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 2526, Class FA                                                    | CUSIP: 31393FGK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35337 | PA      | $35294.75     | 0.00%             | 2032-11-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2004-60, Class FW                                                  | CUSIP: 31394AWL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54194 | PA      | $54161.57     | 0.00%             | 2034-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3113, Class QE                                                    | CUSIP: 31396HE70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383486 | PA      | $395645.23    | 0.02%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3233, Class PA                                                    | CUSIP: 31397BYP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1481350 | PA      | $1557006.06   | 0.08%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2011-62, Class KF                                                  | CUSIP: 31397U6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244157 | PA      | $242892.99    | 0.01%             | 2041-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3575, Class ZA                                                    | CUSIP: 31398JUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1303270 | PA      | $1337155.64   | 0.07%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2010-116, Class BM                                                 | CUSIP: 31398NQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248719 | PA      | $248142.46    | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3632, Class PK                                                    | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1002836 | PA      | $1023417.46   | 0.05%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31401L6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137882 | PA      | $140010.54    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283643 | PA      | $292148.73    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145602 | PA      | $152111.85    | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901147 | PA      | $929384.77    | 0.05%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174448 | PA      | $179279.37    | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402TBS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101390 | PA      | $102674.26    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80621 | PA      | $84132.62     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276551 | PA      | $284616.36    | 0.01%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234589 | PA      | $244802.18    | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31404BRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149466 | PA      | $152934.62    | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31404JT88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76121 | PA      | $77450.20     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31404XS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39591 | PA      | $40094.76     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31405PNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60769 | PA      | $61899.43     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406B2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94658 | PA      | $97042.84     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406LYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10960 | PA      | $11242.10     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406PDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115243 | PA      | $119862.16    | 0.01%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32215 | PA      | $33127.98     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46385 | PA      | $46972.68     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407CRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42166 | PA      | $43809.08     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407FJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126702 | PA      | $131832.12    | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407HWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34324 | PA      | $36065.56     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407HWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14091 | PA      | $14761.07     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407KRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198147 | PA      | $203883.91    | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407QRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73049 | PA      | $75949.81     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34146 | PA      | $35841.02     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31408GSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21607 | PA      | $22259.75     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31409CA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51737 | PA      | $54001.04     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31409WVY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83971 | PA      | $86855.95     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1B97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20733 | PA      | $21352.59     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1EV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28072 | PA      | $28805.60     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1F77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45243 | PA      | $46381.85     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1FR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270947 | PA      | $277686.34    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1675522 | PA      | $1719915.55   | 0.09%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A3G98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604861 | PA      | $620819.75    | 0.03%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140ABZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799983 | PA      | $811088.22    | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AD2W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1097311 | PA      | $1112767.38   | 0.06%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AEUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1164702 | PA      | $1195802.51   | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AHVX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2610581 | PA      | $2646420.16   | 0.13%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5503883 | PA      | $5646087.66   | 0.28%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140ANFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    919162 | PA      | $944153.06    | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AQYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574668 | PA      | $574170.49    | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140BD4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1390092 | PA      | $1361132.60   | 0.07%             | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965403 | PA      | $949202.67    | 0.05%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229318 | PA      | $221898.69    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4226004 | PA      | $4007546.16   | 0.20%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1671714 | PA      | $1532273.23   | 0.08%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140HF7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312748 | PA      | $273013.39    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140HHFV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101063 | PA      | $98115.84     | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140HMPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    405314 | PA      | $395639.44    | 0.02%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8540 | PA      | $8335.14      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140JAGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914635 | PA      | $954481.85    | 0.05%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140JPLF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500741 | PA      | $475351.36    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159984 | PA      | $139807.99    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159560 | PA      | $139596.65    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KGJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    532142 | PA      | $463041.47    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KLC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    833018 | PA      | $709123.77    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1808632 | PA      | $1504012.26   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140LYSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132604 | PA      | $112880.96    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140M23F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374094 | PA      | $355225.68    | 0.02%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MEB47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100489 | PA      | $100610.43    | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MG4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831208 | PA      | $770191.38    | 0.04%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MGEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11637788 | PA      | $9950688.14   | 0.49%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4686695 | PA      | $4047736.32   | 0.20%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2160319 | PA      | $1863079.46   | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140ML3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471231 | PA      | $402488.81    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N0CA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1537633 | PA      | $1564249.93   | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1673043 | PA      | $1658266.86   | 0.08%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N56D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3758774 | PA      | $3822763.65   | 0.19%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N5ER1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147322 | PA      | $149509.16    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N5FT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164170 | PA      | $167187.90    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N7TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20901 | PA      | $20029.61     | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N9UX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419159 | PA      | $425702.86    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140NDT72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33716 | PA      | $33735.01     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140NPQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198248 | PA      | $203851.34    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140NPSF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1127031 | PA      | $1162921.09   | 0.06%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140Q8AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493053 | PA      | $467729.52    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2093895 | PA      | $1821751.60   | 0.09%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224839 | PA      | $1064226.00   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    933783 | PA      | $813182.14    | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3783156 | PA      | $3293955.20   | 0.16%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7723623 | PA      | $6574933.28   | 0.33%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550175 | PA      | $1330192.00   | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1248005 | PA      | $1134663.07   | 0.06%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QL7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    859763 | PA      | $731887.11    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3596805 | PA      | $3108616.59   | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QN6Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    819693 | PA      | $729946.84    | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78269 | PA      | $73993.83     | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2607182 | PA      | $2257961.28   | 0.11%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260827 | PA      | $1092152.02   | 0.05%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X6EF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    837315 | PA      | $873717.93    | 0.04%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310566 | PA      | $254583.62    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1318277 | PA      | $1143879.03   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XD6K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199908 | PA      | $172258.72    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3859171 | PA      | $3335392.80   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3707932 | PA      | $3215479.88   | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XEAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5274233 | PA      | $4692498.97   | 0.23%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3108149 | PA      | $2793584.64   | 0.14%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3871623 | PA      | $3352452.15   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3382634 | PA      | $3061805.78   | 0.15%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XFQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20315 | PA      | $18240.15     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3534512 | PA      | $3172486.87   | 0.16%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2372767 | PA      | $2283079.50   | 0.11%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6722442 | PA      | $5722502.40   | 0.28%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3373453 | PA      | $2757590.38   | 0.14%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12511 | PA      | $12669.21     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2502686 | PA      | $2141261.15   | 0.11%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XL6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715347 | PA      | $608941.20    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XLYU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25138 | PA      | $25576.64     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XMV45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406682 | PA      | $346191.20    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2873827 | PA      | $2788736.26   | 0.14%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140YWX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140998 | PA      | $144573.00    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410F5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43721 | PA      | $44941.98     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8406 | PA      | $8918.67      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317186 | PA      | $330993.25    | 0.02%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24787 | PA      | $25866.11     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230096 | PA      | $232514.57    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431130 | PA      | $423713.22    | 0.02%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31411JUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30461 | PA      | $31975.02     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8480 | PA      | $8807.39      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412FS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95116 | PA      | $100137.29    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412LA34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103145 | PA      | $108926.53    | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412LBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28100 | PA      | $29435.69     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412MAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11106 | PA      | $11729.07     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412QF95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49333 | PA      | $50826.30     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412QSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49362 | PA      | $50856.16     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412V4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57582 | PA      | $59961.52     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31413ECR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88897 | PA      | $93882.59     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31414CLB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219697 | PA      | $228597.92    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31414QTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21086 | PA      | $21940.34     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31415PNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35421 | PA      | $36933.02     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318979 | PA      | $332730.62    | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218689 | PA      | $218685.65    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416XV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170249 | PA      | $175126.94    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314862 | PA      | $317815.86    | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149612 | PA      | $143362.80    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1847757 | PA      | $1815406.53   | 0.09%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164015 | PA      | $161143.30    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711587 | PA      | $699126.71    | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1049649 | PA      | $1031270.58   | 0.05%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1999832 | PA      | $1908863.45   | 0.09%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407668 | PA      | $388912.43    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417MLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77150 | PA      | $79169.18     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417N4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169765 | PA      | $174904.35    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417NB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194021 | PA      | $200434.60    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417NCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290880 | PA      | $299683.14    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404497 | PA      | $408570.25    | 0.02%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417YSE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185317 | PA      | $190929.15    | 0.01%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418C5U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621377 | PA      | $606518.08    | 0.03%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    358038 | PA      | $340930.58    | 0.02%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1305128 | PA      | $1256419.63   | 0.06%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626003 | PA      | $592474.85    | 0.03%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586177 | PA      | $568209.62    | 0.03%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101572 | PA      | $87041.13     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347481 | PA      | $284640.08    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1204571 | PA      | $986598.50    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288944 | PA      | $236642.84    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5556213 | PA      | $4779373.04   | 0.24%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    622163 | PA      | $483054.88    | 0.02%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244844 | PA      | $190304.94    | 0.01%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42894 | PA      | $33372.07     | 0.00%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153360 | PA      | $145347.47    | 0.01%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2298264 | PA      | $1882419.35   | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80618 | PA      | $69119.44     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23089 | PA      | $19785.84     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750773 | PA      | $761693.50    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1727052 | PA      | $1751378.87   | 0.09%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418E5P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9853268 | PA      | $9979196.79   | 0.49%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429969 | PA      | $352005.67    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2214556 | PA      | $1899547.93   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25460244 | PA      | $20827745.95  | 1.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520813 | PA      | $445598.46    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437829 | PA      | $372346.56    | 0.02%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7368044 | PA      | $6470494.24   | 0.32%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2425078 | PA      | $1984594.70   | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    766979 | PA      | $656850.37    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3743565 | PA      | $3360397.02   | 0.17%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5903679 | PA      | $5049845.06   | 0.25%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5787934 | PA      | $5154290.03   | 0.26%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119967 | PA      | $102617.90    | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    771919 | PA      | $660279.14    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4622122 | PA      | $4119365.13   | 0.20%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2962194 | PA      | $2636240.51   | 0.13%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146601 | PA      | $146944.08    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31313 | PA      | $31396.10     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24810 | PA      | $25468.22     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    802784 | PA      | $824112.46    | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24896 | PA      | $24878.93     | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2625197 | PA      | $2689841.85   | 0.13%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4950003 | PA      | $5013654.41   | 0.25%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364207 | PA      | $356619.14    | 0.02%             | 2055-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418MUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87171 | PA      | $89164.20     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418QPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186355 | PA      | $191996.22    | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995748 | PA      | $981395.74    | 0.05%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419AT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42409 | PA      | $43018.61     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717990 | PA      | $707198.59    | 0.04%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2635495 | PA      | $2592081.04   | 0.13%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402229 | PA      | $406373.78    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178516 | PA      | $183921.27    | 0.01%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419FG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    389645 | PA      | $384028.49    | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419GP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198702 | PA      | $200627.37    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419HBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81232 | PA      | $83692.38     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419JS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111774 | PA      | $114976.21    | 0.01%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    996481 | PA      | $980271.76    | 0.05%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431743 | PA      | $424987.33    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31425UZ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402192 | PA      | $394187.66    | 0.02%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31426SVM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70975 | PA      | $69496.21     | 0.00%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427MHC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1562639 | PA      | $1622208.89   | 0.08%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427N6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1382647 | PA      | $1400425.13   | 0.07%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427NMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2405758 | PA      | $2509687.40   | 0.12%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427PXC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117204 | PA      | $120039.02    | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110001 | PA      | $113250.33    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142GVDV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1888347 | PA      | $1849007.67   | 0.09%             | 2055-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142J6A37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    632474 | PA      | $619298.30    | 0.03%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142J6BG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132487 | PA      | $129727.34    | 0.01%             | 2055-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142J6BS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7323608 | PA      | $7310475.82   | 0.36%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MAU             | CUSIP: 35563P7F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4117435 | PA      | $3880408.76   | 0.19%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MV              | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1820439 | PA      | $1742671.15   | 0.09%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV              | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1912141 | PA      | $1705919.59   | 0.08%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36177PCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347638 | PA      | $327801.01    | 0.02%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195940 | PA      | $184151.26    | 0.01%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36177UCZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136674 | PA      | $133086.88    | 0.01%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47265 | PA      | $43949.43     | 0.00%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4100567 | PA      | $3898126.79   | 0.19%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75367 | PA      | $69104.37     | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1405240 | PA      | $1290524.34   | 0.06%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    682007 | PA      | $624889.40    | 0.03%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1132520 | PA      | $1038060.81   | 0.05%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30503 | PA      | $27879.37     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3481532 | PA      | $3175668.18   | 0.16%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1332117 | PA      | $1217406.56   | 0.06%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1231849 | PA      | $1125895.64   | 0.06%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179UGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102330 | PA      | $93751.41     | 0.00%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179UH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90427 | PA      | $82512.62     | 0.00%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168782 | PA      | $167515.33    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3550591 | PA      | $3082715.47   | 0.15%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6479969 | PA      | $5850520.25   | 0.29%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3003588 | PA      | $2607815.06   | 0.13%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6219629 | PA      | $5400078.32   | 0.27%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7669566 | PA      | $6658939.82   | 0.33%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2719562 | PA      | $2455838.91   | 0.12%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9711118 | PA      | $8086476.90   | 0.40%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11505555 | PA      | $9591224.47   | 0.48%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6484266 | PA      | $5852227.76   | 0.29%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11638498 | PA      | $9691355.76   | 0.48%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WZE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32466 | PA      | $32743.20     | 0.00%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XAB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240924 | PA      | $242142.25    | 0.01%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1717171 | PA      | $1642892.82   | 0.08%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XBV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    525358 | PA      | $527625.24    | 0.03%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17460304 | PA      | $17204166.57  | 0.85%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    615128 | PA      | $556404.83    | 0.03%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3215983 | PA      | $3168308.69   | 0.16%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168939 | PA      | $169758.37    | 0.01%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    743778 | PA      | $620273.64    | 0.03%             | 2052-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                                | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1895596 | PA      | $1903224.20   | 0.09%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1222269 | PA      | $1243356.80   | 0.06%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1599523 | PA      | $1604893.44   | 0.08%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161416 | PA      | $163899.61    | 0.01%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3618N5VN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8342369 | PA      | $7912469.36   | 0.39%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3618N5XN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1925021 | PA      | $1883364.04   | 0.09%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36200EAQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52381 | PA      | $52996.49     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36200NG47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191839 | PA      | $199102.39    | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36201U6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22983 | PA      | $23491.58     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51213 | PA      | $51171.31     | 0.00%             | 2033-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202EDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42873 | PA      | $44417.22     | 0.00%             | 2035-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80918 | PA      | $83840.00     | 0.00%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341085 | PA      | $353393.15    | 0.02%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95835 | PA      | $96894.33     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    410621 | PA      | $415098.65    | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262838 | PA      | $256467.07    | 0.01%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    440134 | PA      | $444776.85    | 0.02%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620A9PQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165549 | PA      | $161411.67    | 0.01%             | 2039-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620AFWD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190536 | PA      | $190873.85    | 0.01%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620ALQ49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158456 | PA      | $158529.26    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620AMD58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165517 | PA      | $165075.98    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620AMF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223555 | PA      | $224293.59    | 0.01%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310818 | PA      | $309216.83    | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36291FAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168296 | PA      | $170299.16    | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36291FVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106657 | PA      | $108095.25    | 0.01%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36294UUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136655 | PA      | $128432.31    | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36295SD45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58802 | PA      | $61205.73     | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36297GLY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    675063 | PA      | $687604.97    | 0.03%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1040363 | PA      | $978737.78    | 0.05%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36297H6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104106 | PA      | $103945.63    | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2009-68, Class PN                                                  | CUSIP: 38373ATA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    940278 | PA      | $977923.59    | 0.05%             | 2039-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2009-121, Class MI                                                 | CUSIP: 38375AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441962 | PA      | $67310.17     | 0.00%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-H31, Class DI                                                 | CUSIP: 38375BD66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4019693 | PA      | $187446.34    | 0.01%             | 2062-12-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-H28, Class FE                                                 | CUSIP: 38375BJE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10947 | PA      | $10935.06     | 0.00%             | 2060-12-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-H08, Class FG                                                 | CUSIP: 38375BLC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8405 | PA      | $8405.35      | 0.00%             | 2061-03-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-H09, Class AF                                                 | CUSIP: 38375BLE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3556 | PA      | $3556.33      | 0.00%             | 2061-03-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2013-H11, Class FA                                                 | CUSIP: 38375BY22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61397 | PA      | $61369.99     | 0.00%             | 2063-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-77, Class MY                                                  | CUSIP: 38375GBQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310000 | PA      | $285913.40    | 0.01%             | 2042-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-H13, Class FL                                                 | CUSIP: 38375UKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480418 | PA      | $480750.06    | 0.02%             | 2064-07-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-H20, Class CF                                                 | CUSIP: 38375UQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281762 | PA      | $281713.36    | 0.01%             | 2064-10-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H23, Class FB                                                 | CUSIP: 38375US43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1342306 | PA      | $1341257.89   | 0.07%             | 2067-11-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2015-H08, Class FD                                                 | CUSIP: 38375UVD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33197 | PA      | $33194.92     | 0.00%             | 2065-03-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H11, Class HA                                                 | CUSIP: 38375UWY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305108 | PA      | $297856.02    | 0.01%             | 2066-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H08, Class FM                                                 | CUSIP: 38376R2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3702954 | PA      | $3726979.99   | 0.18%             | 2067-03-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H15, Class FB                                                 | CUSIP: 38376R6C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4454082 | PA      | $4499214.30   | 0.22%             | 2067-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H23, Class F                                                  | CUSIP: 38376RB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    882605 | PA      | $884169.71    | 0.04%             | 2066-10-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H22, Class FA                                                 | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2429821 | PA      | $2434692.69   | 0.12%             | 2066-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H04, Class FK                                                 | CUSIP: 38376RQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135281 | PA      | $135950.96    | 0.01%             | 2066-02-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H03, Class F                                                  | CUSIP: 38376RS56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2187912 | PA      | $2200942.09   | 0.11%             | 2067-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H04, Class BF                                                 | CUSIP: 38376RT22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1617409 | PA      | $1626326.68   | 0.08%             | 2067-02-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H17, Class HI                                                 | CUSIP: 38376RXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1789694 | PA      | $46653.75     | 0.00%             | 2066-03-20      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-103, Class WA                                                 | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    624014 | PA      | $638421.89    | 0.03%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-69, Class SE                                                  | CUSIP: 38377VG83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2619662 | PA      | $255384.34    | 0.01%             | 2041-05-20      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-52, Class GT                                                  | CUSIP: 38377VGJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    203884 | PA      | $203520.50    | 0.01%             | 2039-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-123, Class MA                                                 | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    729967 | PA      | $722029.89    | 0.04%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-12, Class KN                                                  | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    475287 | PA      | $480782.25    | 0.02%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2013-6, Class GI                                                   | CUSIP: 38378FJG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3427543 | PA      | $503918.02    | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-108, Class KI                                                 | CUSIP: 38378HQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    493217 | PA      | $66888.22     | 0.00%             | 2042-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2013-81, Class PI                                                  | CUSIP: 38378TKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147095 | PA      | $1555.78      | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-122, Class PI                                                 | CUSIP: 38379ETW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1258076 | PA      | $58677.67     | 0.00%             | 2029-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-129, Class BI                                                 | CUSIP: 38379GKK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358684 | PA      | $12318.91     | 0.00%             | 2029-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2015-144, Class HF                                                 | CUSIP: 38379QC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6955653 | PA      | $6826582.39   | 0.34%             | 2045-10-20      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-89, Class HF                                                  | CUSIP: 38379XRW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2684863 | PA      | $2650477.64   | 0.13%             | 2046-07-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-65, Class ST                                                  | CUSIP: 38380B6Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456818 | PA      | $59452.57     | 0.00%             | 2047-04-20      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-161, Class DF                                                 | CUSIP: 38380HZJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524717 | PA      | $510487.46    | 0.03%             | 2047-10-20      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-H04, Class FP                                                 | CUSIP: 38380L2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62558 | PA      | $62504.73     | 0.00%             | 2069-06-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2018-H06, Class KF                                                 | CUSIP: 38380LBW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7497217 | PA      | $7525784.09   | 0.37%             | 2068-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2019-H02, Class FD                                                 | CUSIP: 38380LQE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    604470 | PA      | $603175.56    | 0.03%             | 2068-11-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2019-H14, Class FB                                                 | CUSIP: 38380LYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2991770 | PA      | $2987764.35   | 0.15%             | 2069-08-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-H10, Class FB                                                 | CUSIP: 38380QBT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2409216 | PA      | $2403931.81   | 0.12%             | 2070-03-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2018-63                                                            | CUSIP: 38380WUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590578 | PA      | $111025.89    | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-98, Class SW                                                  | CUSIP: 38381NMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4270122 | PA      | $4356197.30   | 0.22%             | 2055-06-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-175, Class GI                                                 | CUSIP: 38382LLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180918 | PA      | $20417.16     | 0.00%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-83, Class FM                                                  | CUSIP: 38382QWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594959 | PA      | $497057.04    | 0.02%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-H01, Class FB                                                 | CUSIP: 38382YKP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2462596 | PA      | $2448566.39   | 0.12%             | 2071-12-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-H01, Class DA                                                 | CUSIP: 38382YKU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    848954 | PA      | $845809.89    | 0.04%             | 2071-12-20      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-H18, Class FA                                                 | CUSIP: 38383KU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4994428 | PA      | $4989289.87   | 0.25%             | 2074-08-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-40, Class FX                                                  | CUSIP: 38383WQB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6857608 | PA      | $6706507.47   | 0.33%             | 2041-09-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-79, Class JI                                                  | CUSIP: 38384AZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2192769 | PA      | $303740.00    | 0.02%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-26, Class E                                                   | CUSIP: 38384J5R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2621971 | PA      | $2712436.91   | 0.13%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-51, Class CF                                                  | CUSIP: 38384KSF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1018153 | PA      | $1022031.24   | 0.05%             | 2064-03-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-H05, Class BF                                                 | CUSIP: 38384LAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3152795 | PA      | $3126881.82   | 0.16%             | 2074-11-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-164, Class FM                                                 | CUSIP: 38384XSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3829713 | PA      | $3831785.41   | 0.19%             | 2054-10-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-97, Class SC                                                  | CUSIP: 38385G5H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3673861 | PA      | $3672188.77   | 0.18%             | 2055-06-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                      | KREF Ltd., Series 2021-FL2, Class AS                                            | CUSIP: 48275RAC1<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    759000 | PA      | $755014.49    | 0.04%             | 2039-02-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                           | LoanCore Issuer Ltd., Series 2021-CRE5, Class AS                                | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4425640 | PA      | $4426247.64   | 0.22%             | 2036-07-15      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                           | LoanCore Issuer Ltd., Series 2021-CRE6, Class AS                                | CUSIP: 53948HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10002620.00  | 0.50%             | 2038-11-15      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust    | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class AS          | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    160113 | PA      | $160106.29    | 0.01%             | 2036-07-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust    | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class B           | CUSIP: 55282XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4881500 | PA      | $4872302.77   | 0.24%             | 2036-07-15      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                       | MF1 Ltd., Series 2021-FL7, Class A                                              | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2354650 | PA      | $2353807.21   | 0.12%             | 2036-10-16      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio       | MFS Institutional Money Market Portfolio, Class A                               | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        | 197518071 | NS      | $197557574.46 | 9.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2018-H4, Class XA                        | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21691588 | PA      | $442718.79    | 0.02%             | 2051-12-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2021-L5, Class XA                        | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16411941 | PA      | $717956.76    | 0.04%             | 2054-05-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2021-L6, Class XA                        | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19073197 | PA      | $723326.19    | 0.04%             | 2054-06-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2021-L7, Class XA                        | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  79332169 | PA      | $3157848.73   | 0.16%             | 2054-10-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM3, Class A1      | CUSIP: 61776UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539934 | PA      | $1536860.63   | 0.08%             | 2069-07-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM3, Class A1      | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2487296 | PA      | $2500756.85   | 0.12%             | 2070-05-25      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2024-NQM1, Class A2                                           | CUSIP: 67448LAB8<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |    433666 | PA      | $436253.97    | 0.02%             | 2063-11-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2025-NQM8, Class A1                                           | CUSIP: 67449AAA3<br>LEI: 2549006UJL1L84XG2C80 | Long             | ABS-MBS          | CORP              | US        |   2142464 | PA      | $2156442.34   | 0.11%             | 2065-03-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                            | PFS Financing Corp., Series 2023-C, Class B                                     | CUSIP: 69335PEZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1302000 | PA      | $1317351.23   | 0.07%             | 2028-10-15      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                            | PFS Financing Corp., Series 2025-A, Class A                                     | CUSIP: 69335PFS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4611000 | PA      | $4618660.25   | 0.23%             | 2029-01-15      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                 | PMT Loan Trust, Series 2025-INV10, Class A36                                    | CUSIP: 69383EBK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2367602 | PA      | $2367547.30   | 0.12%             | 2056-10-01      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                | Palmer Square Loan Funding Ltd., Series 2025-2A, Class A2                       | CUSIP: 69704AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8550000 | PA      | $8540577.90   | 0.42%             | 2033-07-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust               | Provident Funding Mortgage Trust, Series 2024-1, Class A3                       | CUSIP: 74389BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2461616 | PA      | $2476234.31   | 0.12%             | 2054-12-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class A                                             | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1167749 | PA      | $1170593.35   | 0.06%             | 2034-07-25      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC           | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A                  | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    757517 | PA      | $757195.37    | 0.04%             | 2036-11-25      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC           | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class AS                 | CUSIP: 75575WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1261500 | PA      | $1261541.63   | 0.06%             | 2036-11-25      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                    | SBNA Auto Receivables Trust, Series 2025-SF1, Class B                           | CUSIP: 78437XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    437836 | PA      | $438156.79    | 0.02%             | 2031-03-17      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Shackleton 2019-XIV CLO Ltd.                   | Shackleton 2019-XIV CLO Ltd., Series 2019-14A, Class BRR                        | CUSIP: 81880XAY8<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |   6434263 | PA      | $6433960.59   | 0.32%             | 2034-07-20      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20B, Class 1           | CUSIP: 83162CVH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435843 | PA      | $412273.78    | 0.02%             | 2033-02-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20C, Class 1           | CUSIP: 83162CVK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    683372 | PA      | $644634.00    | 0.03%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20G, Class 1           | CUSIP: 83162CVR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    664520 | PA      | $644413.97    | 0.03%             | 2033-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20H, Class 1           | CUSIP: 83162CVS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269856 | PA      | $261546.52    | 0.01%             | 2033-08-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20I, Class 1           | CUSIP: 83162CVU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215573 | PA      | $211966.63    | 0.01%             | 2033-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                | 3650R Commercial Mortgage Trust, Series 2021-PF1, Class XA                      | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21447798 | PA      | $772592.57    | 0.04%             | 2054-11-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810EW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5933000 | PA      | $5955712.24   | 0.30%             | 2026-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810FA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2309000 | PA      | $2418226.53   | 0.12%             | 2027-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2078000 | PA      | $2124673.83   | 0.11%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9748800 | PA      | $8047710.54   | 0.40%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27528200 | PA      | $21810721.97  | 1.08%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97983000 | PA      | $71014709.74  | 3.52%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11168000 | PA      | $11397467.56  | 0.57%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11176000 | PA      | $11079083.07  | 0.55%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11722000 | PA      | $11623095.63  | 0.58%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36531000 | PA      | $37107504.84  | 1.84%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4336000 | PA      | $4545347.50   | 0.23%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  39192000 | PA      | $39681900.00  | 1.97%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54157000 | PA      | $53310796.88  | 2.64%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19515500 | PA      | $18787480.32  | 0.93%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41833000 | PA      | $37670943.22  | 1.87%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32248000 | PA      | $30217383.75  | 1.50%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11425300 | PA      | $10010526.58  | 0.50%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  86350000 | PA      | $86609724.39  | 4.29%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18675000 | PA      | $18615181.73  | 0.92%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37647000 | PA      | $38496998.48  | 1.91%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27900000 | PA      | $27971929.55  | 1.39%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7900000 | PA      | $8141011.70   | 0.40%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  34163000 | PA      | $34824908.13  | 1.73%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CPB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  89799200 | PA      | $89774645.31  | 4.45%             | 2027-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  78357000 | PA      | $78338634.69  | 3.88%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2024-1, Class A2                             | CUSIP: 92540EAB9<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |    977820 | PA      | $981494.93    | 0.05%             | 2069-01-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class XA                | CUSIP: 95001RAY5<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |  11909184 | PA      | $267919.73    | 0.01%             | 2052-01-15      | Variable      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class XA                | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20134892 | PA      | $1229794.91   | 0.06%             | 2054-08-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                            | SOP                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  49600000 | PA      | $213068.62    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | SOP                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  49600000 | PA      | $193069.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      2463 | NC      | $68212.79     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  56427000 | PA      | $93439.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 100992000 | PA      | $-115352.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 100309000 | PA      | $-105241.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | 100742000 | PA      | $64687.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      3316 | NC      | $-246726.98   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Note                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1722 | NC      | $48095.46     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Note                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -131 | NC      | $-25567.93    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

**Name of Applicant:** MFS Series Trust XIII

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer