# EDGAR Filing Document

**Accession Number:** 0000811922
**File Stem:** 0001752724-25-177407
**Filing Date:** 2025-7
**Character Count:** 232473
**Document Hash:** 3fac7382797a03fc61846ce143c65c6f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-177407.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001752724-25-177407

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**PERIOD START**: 20251130

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05078
- **FILM NUMBER:** 251148717

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-05-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $105948767.74

**Total Liabilities:** $2740699.61

**Net Assets:** $103208068.13

**Delayed Delivery Securities:** $2410181.99

**Cash Not Reported:** $51503.41

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -140.49000000 | **1-Year:** -1971.60000000 | **5-Year:** -4536.39000000 | **10-Year:** -12640.65000000 | **30-Year:** -5973.79000000

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

- **3-Month:** -20.25000000 | **1-Year:** -208.40000000 | **5-Year:** -400.53000000 | **10-Year:** -70.00000000 | **30-Year:** -8.08000000

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 2.23%                | -0.01%               | -2.09%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $14344.17                | $-270797.53                                |
| Month 2  | $-21143.32               | $18418.42                                  |
| Month 3  | $-110499.79              | $-940765.57                                |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                              | Title                                                                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FETQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4648047 | PA      | $34361.62     | 0.03%             | 2028-01-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76662 | PA      | $73076.88     | 0.07%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BSJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141931 | PA      | $142371.69    | 0.14%             | 2054-07-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89468 | PA      | $81464.85     | 0.08%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2019-C7                                                                                            | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1299901 | PA      | $41825.22     | 0.04%             | 2072-12-15      | Variable      | 0.82%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2024-NQM1 Trust                                                                                                                    | CUSIP: 67448LAB8<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |     73097 | PA      | $73553.82     | 0.07%             | 2063-11-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                                                                         | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    588000 | PA      | $557522.97    | 0.54%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198375 | PA      | $166851.01    | 0.16%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                                                                           | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    750000 | PA      | $610023.97    | 0.59%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72200 | PA      | $67783.05     | 0.07%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873865 | PA      | $33606.93     | 0.03%             | 2031-01-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1921000 | PA      | $1867197.00   | 1.81%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BUX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197858 | PA      | $196077.70    | 0.19%             | 2055-03-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21140 | PA      | $20738.38     | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                             | Becton Dickinson & Co                                                                                                                  | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    123000 | PA      | $103972.86    | 0.10%             | 2044-12-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                             | Chile Electricity Lux Mpc II Sarl                                                                                                      | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    195501 | PA      | $194209.40    | 0.19%             | 2035-10-20      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities, LLC                      | Business Jet Securities 2024-1 LLC                                                                                                     | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82269 | PA      | $83578.77     | 0.08%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31385JK31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40216 | PA      | $41551.01     | 0.04%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38376R2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185616 | PA      | $187342.61    | 0.18%             | 2067-03-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31412FS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14478 | PA      | $15038.39     | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | FREMF 2025-K169 Mortgage Trust                                                                                                         | CUSIP: 3137HK2F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1866669 | PA      | $44435.12     | 0.04%             | 2035-01-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136BBTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115639 | PA      | $22925.97     | 0.02%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd.                               | ACREC 2021-FL1 Ltd                                                                                                                     | CUSIP: 00500RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    323500 | PA      | $322340.22    | 0.31%             | 2036-10-16      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31414CRZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21047 | PA      | $21420.67     | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111414 | PA      | $82184.03     | 0.08%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140141 | PA      | $128921.04    | 0.12%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3618N5KV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175291 | PA      | $170151.15    | 0.16%             | 2055-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19255 | PA      | $19980.12     | 0.02%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDIAN RAILWAY FINANCE                            | Indian Railway Finance Corp Ltd                                                                                                        | CUSIP: 45434L2C7<br>LEI: 335800F2JHSOGXQEBY56 | Long             | DBT              | CORP              | IN        |    376000 | PA      | $335386.48    | 0.32%             | 2031-02-10      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393426 | PA      | $329756.65    | 0.32%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    747700 | PA      | $733752.08    | 0.71%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43905 | PA      | $40966.88     | 0.04%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90190 | PA      | $74180.29     | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CLG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1592000 | PA      | $1587025.00   | 1.54%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35517 | PA      | $35459.84     | 0.03%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83131 | PA      | $79162.02     | 0.08%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137B45J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189258 | PA      | $184352.13    | 0.18%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43497 | PA      | $33852.43     | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd   | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                                                                                 | CUSIP: 03880KAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    374500 | PA      | $373685.46    | 0.36%             | 2034-08-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B24 Mortgage Trust                                                                                                      | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1161849 | PA      | $49900.00     | 0.05%             | 2054-03-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HAMF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2899969 | PA      | $37131.78     | 0.04%             | 2033-08-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                             | ARI Fleet Lease Trust 2023-B                                                                                                           | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56999 | PA      | $57426.72     | 0.06%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31371LDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101764 | PA      | $103554.33    | 0.10%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301736 | PA      | $263039.44    | 0.25%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A84D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $432924.44    | 0.42%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    381436 | PA      | $320527.66    | 0.31%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44850 | PA      | $42031.18     | 0.04%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-1                                                                                                      | CUSIP: 92540EAB9<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |     66762 | PA      | $66867.39     | 0.06%             | 2069-01-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3618N5JC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    624709 | PA      | $606489.04    | 0.59%             | 2055-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MONTEFIORE OBLIGATED GRP                          | Montefiore Obligated Group                                                                                                             | CUSIP: 61237WAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    614000 | PA      | $526667.31    | 0.51%             | 2048-11-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140NMBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232714 | PA      | $235372.60    | 0.23%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE6 Trust                                                                                                                  | CUSIP: 04002VAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    512000 | PA      | $510254.82    | 0.49%             | 2037-01-20      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| Toledo Hospital/The                               | Toledo Hospital/The                                                                                                                    | CUSIP: 889184AD9<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $172181.22    | 0.17%             | 2038-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15859 | PA      | $15169.46     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379QC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145585 | PA      | $140875.43    | 0.14%             | 2045-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47691 | PA      | $45453.59     | 0.04%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17611 | PA      | $17320.07     | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97187 | PA      | $94862.43     | 0.09%             | 2026-10-25      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357240 | PA      | $327054.76    | 0.32%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $201906.66    | 0.20%             | 2054-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31230 | PA      | $28793.07     | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212860 | PA      | $178705.38    | 0.17%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36332 | PA      | $34528.52     | 0.03%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50266 | PA      | $41979.86     | 0.04%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $196720.34    | 0.19%             | 2026-09-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Trust 2021-C10                                                                                                                   | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090923 | PA      | $58520.91     | 0.06%             | 2054-07-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31384WLN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8104 | PA      | $8319.57      | 0.01%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154164 | PA      | $127089.97    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2018-C48                                                                                         | CUSIP: 95001RAY5<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |    831073 | PA      | $21617.20     | 0.02%             | 2052-01-15      | Variable      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53697 | PA      | $51042.62     | 0.05%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                                                                                   | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    750000 | PA      | $662382.82    | 0.64%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                             | Time Warner Cable LLC                                                                                                                  | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $76956.20     | 0.07%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199378 | PA      | $164289.44    | 0.16%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70010 | PA      | $68723.61     | 0.07%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                 | State Street Corp                                                                                                                      | CUSIP: 857477BN2<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    138000 | PA      | $129388.17    | 0.13%             | 2031-03-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ERSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98656 | PA      | $93708.98     | 0.09%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4017000 | PA      | $2763884.32   | 2.68%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3470000 | PA      | $2500568.75   | 2.42%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235304 | PA      | $217473.83    | 0.21%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                     | SALES TAX SECURITIZATION CORP IL                                                                                                       | CUSIP: 79467BDK8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    240000 | PA      | $177446.98    | 0.17%             | 2043-01-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31403UHG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69270 | PA      | $70530.87     | 0.07%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29769 | PA      | $29343.00     | 0.03%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                              | Tencent Holdings Ltd                                                                                                                   | CUSIP: 88032WBA3<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    501000 | PA      | $459993.88    | 0.45%             | 2031-04-22      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Michigan Finance Authority                        | MICHIGAN ST FIN AUTH REVENUE                                                                                                           | CUSIP: 59447TH89<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |       855 | PA      | $855.37       | 0.00%             | 2030-06-01      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74026 | PA      | $63008.50     | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AQVJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27925 | PA      | $26354.28     | 0.03%             | 2045-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                                                                       | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    500000 | PA      | $505037.75    | 0.49%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJC99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82116 | PA      | $84048.23     | 0.08%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2841510 | PA      | $40054.49     | 0.04%             | 2031-01-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87162 | PA      | $81269.76     | 0.08%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151141 | PA      | $130701.97    | 0.13%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11729   IRS USD R V 12MSOFR SM11729_FLO CCPOIS / Short: BM11729   IRS USD P F  4.16350 SM11729_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2000000 | OU      | $-10651.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Syracuse Industrial Development Agency            | SYRACUSE NY INDL DEV AGY PILOT REVENUE                                                                                                 | CUSIP: 87172NBE7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1215000 | PA      | $899809.32    | 0.87%             | 2036-01-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559633 | PA      | $33067.31     | 0.03%             | 2030-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2021-C9                                                                                                           | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    962029 | PA      | $65738.41     | 0.06%             | 2054-02-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                                                                       | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    650000 | PA      | $563637.25    | 0.55%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17245 | PA      | $13502.66     | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H7Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4502658 | PA      | $93788.57     | 0.09%             | 2032-06-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107534 | PA      | $94331.60     | 0.09%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                                                                                   | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    109000 | PA      | $87077.59     | 0.08%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38378TKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15404 | PA      | $245.42       | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19364 | PA      | $16047.35     | 0.02%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2736 | PA      | $253.37       | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148333 | PA      | $128362.32    | 0.12%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35943 | PA      | $32691.20     | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1251 | PA      | $1268.78      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36225B2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31126 | PA      | $31914.04     | 0.03%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92362 | PA      | $72266.51     | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                 | GLS Auto Select Receivables Trust 2023-2                                                                                               | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43946 | PA      | $44297.66     | 0.04%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38375UKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42392 | PA      | $42448.41     | 0.04%             | 2064-07-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    178731 | PA      | $147570.47    | 0.14%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    403556 | PA      | $338402.77    | 0.33%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38704 | PA      | $3056.22      | 0.00%             | 2036-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86630 | PA      | $80884.73     | 0.08%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19631 | PA      | $3171.89      | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HB3G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52609 | PA      | $53439.02     | 0.05%             | 2028-10-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HAAL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $14907.41     | 0.01%             | 2033-05-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Village of Bridgeview IL                          | BRIDGEVIEW IL                                                                                                                          | CUSIP: 108555GF4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    175000 | PA      | $174522.65    | 0.17%             | 2025-12-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50147 | PA      | $47016.80     | 0.05%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31456 | PA      | $29918.44     | 0.03%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149625 | PA      | $122319.64    | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140A6UE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34605 | PA      | $34972.36     | 0.03%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ERQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123277 | PA      | $119391.66    | 0.12%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76672 | PA      | $62500.81     | 0.06%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155222 | PA      | $142122.13    | 0.14%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384J5R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172318 | PA      | $177226.70    | 0.17%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225000 | PA      | $223374.02    | 0.22%             | 2054-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140ABY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95825 | PA      | $96830.61     | 0.09%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244458 | PA      | $211397.79    | 0.20%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                              | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    355000 | PA      | $315225.12    | 0.31%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                     | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                                                                           | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     32000 | PA      | $37733.99     | 0.04%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F4D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11099879 | PA      | $81056.87     | 0.08%             | 2028-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AMNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38155 | PA      | $36743.09     | 0.04%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XTCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286156 | PA      | $243577.43    | 0.24%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31405VJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18941 | PA      | $19134.38     | 0.02%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36200MQ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151112 | PA      | $156197.62    | 0.15%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340619 | PA      | $285700.56    | 0.28%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2591485 | PA      | $116664.25    | 0.11%             | 2031-09-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XJXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114985 | PA      | $116310.17    | 0.11%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10068 | PA      | $10284.22     | 0.01%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                           | Laboratory Corp of America Holdings                                                                                                    | CUSIP: 50540RAS1<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    106000 | PA      | $89520.74     | 0.09%             | 2045-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140AD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138188 | PA      | $139647.00    | 0.14%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162893 | PA      | $158469.96    | 0.15%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F2L38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43486 | PA      | $42960.63     | 0.04%             | 2026-12-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1032000 | PA      | $1021841.25   | 0.99%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194756 | PA      | $185090.58    | 0.18%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137BNPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96259 | PA      | $90479.21     | 0.09%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKSJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158498 | PA      | $129235.19    | 0.13%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31371LTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85838 | PA      | $87321.32     | 0.08%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                                                                             | CUSIP: 21H062669<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $204209.01    | 0.20%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital                                                        | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     56000 | PA      | $55991.33     | 0.05%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        60 | NC      | $18066.48     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149904 | PA      | $123990.91    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51110 | PA      | $53446.51     | 0.05%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45532 | PA      | $42044.59     | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11803   IRS USD R V 00MSOFR SM11803_FLO CCPOIS / Short: BM11803   IRS USD P F  3.55950 SM11803_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3119000 | OU      | $8331.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    663744 | PA      | $30215.22     | 0.03%             | 2031-01-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK31                                                                                                                        | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1477977 | PA      | $83285.75     | 0.08%             | 2054-02-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137AT2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $191481.12    | 0.19%             | 2032-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58482 | PA      | $54961.91     | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B23 Mortgage Trust                                                                                                      | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1954200 | PA      | $99066.80     | 0.10%             | 2054-02-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AP2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278950 | PA      | $264663.92    | 0.26%             | 2035-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                                                                          | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85655 | PA      | $82238.20     | 0.08%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71640 | PA      | $70280.20     | 0.07%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                | Ready Capital Mortgage Financing 2021-FL7 LLC                                                                                          | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     82918 | PA      | $82852.07     | 0.08%             | 2036-11-25      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Power Finance Corp Ltd                            | Power Finance Corp Ltd                                                                                                                 | CUSIP: 000000000<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | CORP              | IN        |    370000 | PA      | $371663.15    | 0.36%             | 2028-08-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80001 | PA      | $65264.54     | 0.06%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384NWN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    342277 | PA      | $335610.71    | 0.33%             | 2054-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                               | PFS Financing Corp                                                                                                                     | CUSIP: 69335PEZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63000 | PA      | $63659.87     | 0.06%             | 2028-10-15      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633757 | PA      | $45593.75     | 0.04%             | 2030-08-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31392 | PA      | $30731.35     | 0.03%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133B0SP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    470317 | PA      | $383470.07    | 0.37%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11605   IRS USD R V 12MSOFR SM11605_FLO CCPOIS / Short: BM11605   IRS USD P F  4.75850 SM11605_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1600000 | OU      | $-11038.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                           | Walt Disney Co/The                                                                                                                     | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    612000 | PA      | $491435.30    | 0.48%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61668 | PA      | $59210.98     | 0.06%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53010 | PA      | $45972.28     | 0.04%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31335B7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77682 | PA      | $78100.61     | 0.08%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66088 | PA      | $54629.10     | 0.05%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14617 | PA      | $14622.65     | 0.01%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384JC85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    339103 | PA      | $345688.88    | 0.33%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140F5A45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236117 | PA      | $207425.35    | 0.20%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141846 | PA      | $125033.59    | 0.12%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67965 | PA      | $60492.69     | 0.06%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21675 | PA      | $21728.76     | 0.02%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73378 | PA      | $69725.59     | 0.07%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93345 | PA      | $73736.00     | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44207 | PA      | $36135.40     | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AQWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25267 | PA      | $24834.25     | 0.02%             | 2045-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    884311 | PA      | $41189.25     | 0.04%             | 2030-06-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK35                                                                                                                        | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    981650 | PA      | $44224.22     | 0.04%             | 2064-06-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53887 | PA      | $44470.32     | 0.04%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | MASSACHUSETTS ST EDUCTNL FING AUTH                                                                                                     | CUSIP: 57563RRZ4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |    415000 | PA      | $384383.79    | 0.37%             | 2037-07-01      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88554 | PA      | $73370.92     | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CJB8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3216000 | PA      | $3222218.43   | 3.12%             | 2025-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A4ES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49219 | PA      | $50023.63     | 0.05%             | 2042-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QNE32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32947 | PA      | $25771.46     | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B26 Mortgage Trust                                                                                                      | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1592942 | PA      | $55976.62     | 0.05%             | 2054-06-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27618 | PA      | $22533.39     | 0.02%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40873 | PA      | $38865.14     | 0.04%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 31396HE70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28097 | PA      | $28659.90     | 0.03%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EKET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18830 | PA      | $18489.36     | 0.02%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                                            | CUSIP: 83162CVR1<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     61069 | PA      | $58310.08     | 0.06%             | 2033-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494407 | PA      | $414395.09    | 0.40%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122904 | PA      | $103014.36    | 0.10%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78094 | PA      | $64450.03     | 0.06%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472096 | PA      | $420388.06    | 0.41%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                                                                          | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    139043 | PA      | $118746.76    | 0.12%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                                                                          | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    116079 | PA      | $107729.61    | 0.10%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HB3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2363261 | PA      | $40112.10     | 0.04%             | 2033-10-25      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128LXDA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21028 | PA      | $21522.80     | 0.02%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M6WA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85896 | PA      | $89595.71     | 0.09%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174169 | PA      | $158738.03    | 0.15%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Trust       | Navistar Financial Dealer Note Master Owner Trust II                                                                                   | CUSIP: 63938PBV0<br>LEI: 549300S28N49H5RT4J50 | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $50168.88     | 0.05%             | 2028-08-25      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136B13S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    305932 | PA      | $278836.44    | 0.27%             | 2048-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612877 | PA      | $44468.39     | 0.04%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9DT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70245 | PA      | $69240.72     | 0.07%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16802 | PA      | $13787.02     | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97327 | PA      | $92497.23     | 0.09%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| City of Chicago IL                                | CHICAGO IL                                                                                                                             | CUSIP: 167486C80<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |    615000 | PA      | $623987.98    | 0.60%             | 2036-01-01      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2257756 | PA      | $53841.17     | 0.05%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B28 Mortgage Trust                                                                                                      | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2170613 | PA      | $117651.37    | 0.11%             | 2054-08-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137A4J99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111479 | PA      | $111061.55    | 0.11%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    500000 | PA      | $485158.59    | 0.47%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41796 | PA      | $40699.92     | 0.04%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62686 | PA      | $59731.17     | 0.06%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33279 | PA      | $25941.13     | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    791000 | PA      | $790103.95    | 0.77%             | 2027-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38376R6C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222810 | PA      | $225765.71    | 0.22%             | 2067-07-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd                                          | BXMT 2021-FL4 Ltd                                                                                                                      | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    345000 | PA      | $337124.79    | 0.33%             | 2038-05-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13626 | PA      | $13871.41     | 0.01%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                          | Liberty Mutual Group Inc                                                                                                               | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |     99000 | PA      | $70032.88     | 0.07%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31411VFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4971 | PA      | $5055.21      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51530 | PA      | $50710.60     | 0.05%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8054992 | PA      | $80042.45     | 0.08%             | 2027-07-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122152 | PA      | $107323.02    | 0.10%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384LCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    267586 | PA      | $266165.24    | 0.26%             | 2075-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155441 | PA      | $154142.63    | 0.15%             | 2026-02-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292KZ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359647 | PA      | $360264.86    | 0.35%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13136 | PA      | $12885.71     | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292LLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90487 | PA      | $83809.61     | 0.08%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | FREMF 2025-K168 Mortgage Trust                                                                                                         | CUSIP: 3137HJ6F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4660229 | PA      | $43891.90     | 0.04%             | 2035-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61007 | PA      | $60965.37     | 0.06%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516084 | PA      | $36029.01     | 0.03%             | 2034-09-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117599 | PA      | $111759.45    | 0.11%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56968 | PA      | $54767.45     | 0.05%             | 2042-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194015 | PA      | $160043.51    | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                                                                                     | CUSIP: 3133Q3JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38841 | PA      | $39386.66     | 0.04%             | 2053-10-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XLXD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286421 | PA      | $278112.59    | 0.27%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                             | Haleon US Capital LLC                                                                                                                  | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    250000 | PA      | $231639.09    | 0.22%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25072 | PA      | $22886.30     | 0.02%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    165000 | PA      | $133843.36    | 0.13%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    390961 | PA      | $383535.63    | 0.37%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489989 | PA      | $24545.07     | 0.02%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31412LBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4173 | PA      | $4339.21      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FEZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8727532 | PA      | $33597.51     | 0.03%             | 2028-04-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38205 | PA      | $31209.77     | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AFA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18994 | PA      | $18870.47     | 0.02%             | 2043-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53171 | PA      | $51362.30     | 0.05%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                                            | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    164866 | PA      | $164262.33    | 0.16%             | 2036-07-15      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789331 | PA      | $40356.28     | 0.04%             | 2030-11-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EREH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60030 | PA      | $57157.40     | 0.06%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123272 | PA      | $127532.61    | 0.12%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323433 | PA      | $281968.00    | 0.27%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160289 | PA      | $148124.82    | 0.14%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11730   IRS USD R V 12MSOFR SM11730_FLO CCPOIS / Short: BM11730   IRS USD P F  4.08500 SM11730_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2300000 | OU      | $-47410.98    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31412V4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13255 | PA      | $13622.11     | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                         | Chesapeake Funding II LLC                                                                                                              | CUSIP: 165183DA9<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    192183 | PA      | $192973.30    | 0.19%             | 2035-10-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Trust       | Navistar Financial Dealer Note Master Owner Trust II                                                                                   | CUSIP: 63938PBU2<br>LEI: 549300S28N49H5RT4J50 | Long             | ABS-O            | CORP              | US        |    121000 | PA      | $121386.40    | 0.12%             | 2028-08-25      | Fixed         | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418C5U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67738 | PA      | $65283.41     | 0.06%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65976 | PA      | $53955.79     | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69643 | PA      | $71032.47     | 0.07%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                  | FirstEnergy Corp                                                                                                                       | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    694000 | PA      | $684065.70    | 0.66%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252174 | PA      | $15324.37     | 0.01%             | 2030-01-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L7                                                                                                 | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3320139 | PA      | $145419.44    | 0.14%             | 2054-10-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113676 | PA      | $18554.62     | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113280 | PA      | $107892.89    | 0.10%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54546 | PA      | $50359.03     | 0.05%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97583 | PA      | $86474.11     | 0.08%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 31395TR22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5539 | PA      | $5487.44      | 0.01%             | 2035-04-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15017 | PA      | $14301.99     | 0.01%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60412 | PA      | $60436.89     | 0.06%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141949 | PA      | $132498.14    | 0.13%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46346 | PA      | $47374.80     | 0.05%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $25669.15     | 0.02%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A5C38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5578 | PA      | $224.84       | 0.00%             | 2031-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3068000 | PA      | $3078066.88   | 2.98%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69374 | PA      | $68295.66     | 0.07%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QPKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    384157 | PA      | $327344.06    | 0.32%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1277474 | PA      | $98818.11     | 0.10%             | 2030-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137BMFL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2336 | PA      | $2331.08      | 0.00%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2619786 | PA      | $77184.14     | 0.07%             | 2031-09-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69921 | PA      | $57551.96     | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136B3DM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65001 | PA      | $63402.68     | 0.06%             | 2030-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1368000 | PA      | $1393650.00   | 1.35%             | 2035-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                   | 3650R 2021-PF1 Commercial Mortgage Trust                                                                                               | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1152535 | PA      | $45306.15     | 0.04%             | 2054-11-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140QFLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43156 | PA      | $35178.84     | 0.03%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio          | MFS Institutional Money Market Portfolio                                                                                               | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | EC               | RF                | US        |   4115255 | NS      | $4115254.98   | 3.99%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38377VGJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17989 | PA      | $17818.73     | 0.02%             | 2039-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69796 | PA      | $5068.52      | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35939 | PA      | $31965.21     | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 912828Y79<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4700000 | PA      | $4688525.37   | 4.54%             | 2025-07-31      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399402 | PA      | $24492.97     | 0.02%             | 2031-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137AXU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $479936.45    | 0.47%             | 2033-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810PT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    336000 | PA      | $344885.62    | 0.33%             | 2037-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                                                                             | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    488000 | PA      | $459033.10    | 0.44%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43084 | PA      | $41012.51     | 0.04%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142961 | PA      | $124627.14    | 0.12%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds            | Uruguay Government International Bonds                                                                                                 | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     96000 | PA      | $100032.00    | 0.10%             | 2034-10-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123512 | PA      | $119891.37    | 0.12%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13025 | PA      | $13260.43     | 0.01%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123931 | PA      | $99582.07     | 0.10%             | 2052-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31409WVY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10122 | PA      | $10544.25     | 0.01%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128LDWL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12126 | PA      | $12447.26     | 0.01%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89655 | PA      | $70590.91     | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        40 | NC      | $7971.52      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LAD Auto Receivables Trust                        | LAD Auto Receivables Trust 2022-1                                                                                                      | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10492 | PA      | $10500.70     | 0.01%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                                                                                      | CUSIP: 442851AG6<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |     42000 | PA      | $41563.97     | 0.04%             | 2025-10-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384KSF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72086 | PA      | $72299.59     | 0.07%             | 2064-03-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38375AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18377 | PA      | $2929.61      | 0.00%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136ATTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78654 | PA      | $8183.81      | 0.01%             | 2046-09-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140N5MY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273973 | PA      | $272259.22    | 0.26%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19236 | PA      | $15783.40     | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137BUX60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $295595.28    | 0.29%             | 2026-12-25      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31371LQW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106926 | PA      | $108860.57    | 0.11%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150492 | PA      | $129253.81    | 0.13%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351110 | PA      | $282125.83    | 0.27%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                                                                      | CUSIP: 36177UCZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13166 | PA      | $12372.45     | 0.01%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    567700 | PA      | $548943.73    | 0.53%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15294 | PA      | $15034.70     | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31411JUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4476 | PA      | $4635.16      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973113 | PA      | $36482.59     | 0.04%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30228 | PA      | $27869.26     | 0.03%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2024-4                                                                                                      | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |     90302 | PA      | $90983.60     | 0.09%             | 2069-06-25      | Variable      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6191355 | PA      | $49150.07     | 0.05%             | 2027-08-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101723 | PA      | $95950.85     | 0.09%             | 2042-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HDJK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2263637 | PA      | $38046.08     | 0.04%             | 2029-05-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239321 | PA      | $221087.74    | 0.21%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2024-FL13 LLC                                                                                                                      | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $99404.80     | 0.10%             | 2039-09-19      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L6                                                                                                 | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1095839 | PA      | $48225.15     | 0.05%             | 2054-06-15      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TV44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148721 | PA      | $131137.64    | 0.13%             | 2048-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -3 | NC      | $-5636.49     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248264 | PA      | $208086.23    | 0.20%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L5                                                                                                 | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730033 | PA      | $36525.09     | 0.04%             | 2054-05-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62250 | PA      | $51367.79     | 0.05%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153821 | PA      | $127194.08    | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355671 | PA      | $328645.72    | 0.32%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3914 | PA      | $3922.62      | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HCKP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734976 | PA      | $15873.64     | 0.02%             | 2031-02-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16335 | PA      | $16697.67     | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1109000 | PA      | $1089809.10   | 1.06%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137HB7A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179280 | PA      | $178510.44    | 0.17%             | 2053-12-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24124 | PA      | $22941.22     | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73311 | PA      | $64622.09     | 0.06%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30200 | PA      | $27474.05     | 0.03%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    313776 | PA      | $267400.34    | 0.26%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                    | LoanCore 2021-CRE5 Issuer Ltd                                                                                                          | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    283500 | PA      | $283268.41    | 0.27%             | 2036-07-15      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6071000 | PA      | $5899067.40   | 5.72%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417N4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18938 | PA      | $18945.60     | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38384AZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88668 | PA      | $10811.39     | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600527 | PA      | $45427.23     | 0.04%             | 2030-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1389954 | PA      | $108096.44    | 0.10%             | 2030-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44707 | PA      | $45499.63     | 0.04%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38379ETW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61767 | PA      | $3298.89      | 0.00%             | 2029-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38376RT22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84390 | PA      | $85108.73     | 0.08%             | 2067-02-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Long: BM11804   IRS USD R V 12MUSCPI SM11804_FLO CCPINFLATIONZERO / Short: BM11804   IRS USD P F  2.53900 SM11804_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3400000 | OU      | $1705.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32834 | PA      | $29010.84     | 0.03%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136ABKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $383408.52    | 0.37%             | 2033-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418FBP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    506168 | PA      | $511359.13    | 0.50%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BF2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357524 | PA      | $347765.97    | 0.34%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2018-H4                                                                                                 | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1459166 | PA      | $34755.73     | 0.03%             | 2051-12-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                                            | CUSIP: 83162CVK6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     67509 | PA      | $62714.27     | 0.06%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28022 | PA      | $26573.05     | 0.03%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    644718 | PA      | $19695.36     | 0.02%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24527 | PA      | $23111.48     | 0.02%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1                                                                          | CUSIP: 35563P7F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175022 | PA      | $158921.00    | 0.15%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CHD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1898000 | PA      | $1898000.00   | 1.84%             | 2025-05-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK GOSPODARSTWA KRAJOW                          | Bank Gospodarstwa Krajowego                                                                                                            | CUSIP: 06237MAB9<br>LEI: 259400BCOV9JJIGLYF05 | Long             | DBT              | NUSS              | PL        |    264000 | PA      | $276032.06    | 0.27%             | 2028-10-31      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                                                                                  | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    400000 | PA      | $389200.00    | 0.38%             | 2032-07-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314905 | PA      | $16903.79     | 0.02%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                                            | CUSIP: 83162CVH3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     47798 | PA      | $44540.37     | 0.04%             | 2033-02-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137F4X98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13319406 | PA      | $49558.84     | 0.05%             | 2028-02-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M4T37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19362 | PA      | $20039.91     | 0.02%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140AD6Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472275 | PA      | $477233.39    | 0.46%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100884 | PA      | $83277.91     | 0.08%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810FG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    572000 | PA      | $600465.93    | 0.58%             | 2029-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DNV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110546 | PA      | $86504.70     | 0.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    453700 | PA      | $357590.03    | 0.35%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds        | Philippines Government International Bonds                                                                                             | CUSIP: 718286CX3<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    200000 | PA      | $191117.24    | 0.19%             | 2048-01-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE6 Issuer, Ltd.                   | LoanCore 2021-CRE6 Issuer Ltd                                                                                                          | CUSIP: 53948HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $496543.00    | 0.48%             | 2038-11-15      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WEEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24166 | PA      | $22014.77     | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3899181 | PA      | $77973.09     | 0.08%             | 2031-11-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34095 | PA      | $32487.92     | 0.03%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7329 | PA      | $7334.61      | 0.01%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560699 | PA      | $458141.89    | 0.44%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391000 | PA      | $8649.62      | 0.01%             | 2027-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38378HQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33904 | PA      | $4665.76      | 0.00%             | 2042-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29652 | PA      | $26428.55     | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                                                                             | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    167000 | PA      | $160418.76    | 0.16%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34483 | PA      | $32785.93     | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162769 | PA      | $138856.78    | 0.13%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117350 | PA      | $119377.22    | 0.12%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDOFOOD CBP SUKSES MAKM                          | Indofood CBP Sukses Makmur Tbk PT                                                                                                      | CUSIP: 000000000<br>LEI: 254900YKZW9GRKZZN285 | Long             | DBT              | CORP              | ID        |    416000 | PA      | $327209.32    | 0.32%             | 2052-04-27      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481914 | PA      | $479457.99    | 0.46%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33512 | PA      | $30473.83     | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                             | Chile Electricity Lux MPC Sarl                                                                                                         | CUSIP: 168829AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    186000 | PA      | $190882.50    | 0.18%             | 2033-01-20      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    217000 | PA      | $194045.47    | 0.19%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1697100 | PA      | $1281708.27   | 1.24%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71980 | PA      | $68384.65     | 0.07%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38377VG83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109507 | PA      | $8714.00      | 0.01%             | 2041-05-20      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $680500.00    | 0.66%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153805 | PA      | $126987.99    | 0.12%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17979 | PA      | $14742.51     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138A4XB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82083 | PA      | $82116.65     | 0.08%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132D6BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125765 | PA      | $116186.96    | 0.11%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    725830 | PA      | $689178.67    | 0.67%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tyson Foods Inc                                   | Tyson Foods Inc                                                                                                                        | CUSIP: 902494AY9<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     38000 | PA      | $33943.97     | 0.03%             | 2044-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BSPDF Issuer Ltd                                  | BSPDF 2021-FL1 Issuer Ltd                                                                                                              | CUSIP: 055731AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     99309 | PA      | $98914.36     | 0.10%             | 2036-10-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                                                                                   | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    200000 | PA      | $173000.00    | 0.17%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                                                                                 | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |     16000 | PA      | $15884.85     | 0.02%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28008 | PA      | $25486.29     | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143734 | PA      | $123417.07    | 0.12%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                                                                                  | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1975000 | PA      | $1534222.52   | 1.49%             | 2054-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31407FJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37176 | PA      | $38002.15     | 0.04%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78916 | PA      | $71760.53     | 0.07%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136A5AW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51953 | PA      | $49524.50     | 0.05%             | 2041-04-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B29 Mortgage Trust                                                                                                      | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1866689 | PA      | $73018.51     | 0.07%             | 2054-09-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C18                                                                                                          | CUSIP: 054975AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1223570 | PA      | $41644.20     | 0.04%             | 2055-12-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HFP33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1648656 | PA      | $51975.53     | 0.05%             | 2029-07-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44280 | PA      | $43330.46     | 0.04%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       179 | NC      | $36964.57     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67909 | PA      | $60632.30     | 0.06%             | 2051-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENGIE ENERGIA CHILE SA                            | Engie Energia Chile SA                                                                                                                 | CUSIP: 29287TAB5<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $203425.00    | 0.20%             | 2034-04-17      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4503100 | PA      | $4406529.62   | 4.27%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    652686 | PA      | $508595.15    | 0.49%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151317 | PA      | $124849.34    | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Antonio B Won Pat International Airport Authority | GUAM INTERNATIONAL ARPT AUTH                                                                                                           | CUSIP: 40064REL9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      5000 | PA      | $4095.61      | 0.00%             | 2043-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2021-BNK32                                                                                                                        | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    988659 | PA      | $31319.73     | 0.03%             | 2054-04-15      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                                                                                    | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1929000 | PA      | $1839783.75   | 1.78%             | 2055-02-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| DUA CAPITAL LTD                                   | Dua Capital Ltd                                                                                                                        | CUSIP: 000000000<br>LEI: 213800ILVLALFTITCB43 | Long             | DBT              | CORP              | MY        |    400000 | PA      | $359448.40    | 0.35%             | 2031-05-11      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    678600 | PA      | $655485.19    | 0.64%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                                                                      | CUSIP: 3136AWFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128386 | PA      | $120406.16    | 0.12%             | 2039-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41614 | PA      | $39823.13     | 0.04%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2503992 | PA      | $101348.84    | 0.10%             | 2029-08-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70229 | PA      | $66926.20     | 0.06%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                                                                       | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41349 | PA      | $36972.57     | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                                                                                     | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736064 | PA      | $591447.34    | 0.57%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                            | Export-Import Bank of India                                                                                                            | CUSIP: 30216JAF2<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    317000 | PA      | $275273.27    | 0.27%             | 2031-01-13      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    984709 | PA      | $62773.13     | 0.06%             | 2031-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11343 | PA      | $11080.27     | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 31397BYP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60770 | PA      | $63530.12     | 0.06%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                           | Imperial Brands Finance PLC                                                                                                            | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $205201.07    | 0.20%             | 2027-07-27      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3898081 | PA      | $107281.82    | 0.10%             | 2031-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                                                                                    | CUSIP: 91282CKN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    534000 | PA      | $549310.78    | 0.53%             | 2031-04-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    227552 | PA      | $207197.42    | 0.20%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59327 | PA      | $60079.69     | 0.06%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                                                                                    | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    750000 | PA      | $661981.94    | 0.64%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                                                                            | CUSIP: 55282XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    279500 | PA      | $275815.38    | 0.27%             | 2036-07-15      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3140XJJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135489 | PA      | $125860.10    | 0.12%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760459 | PA      | $18499.76     | 0.02%             | 2030-01-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 31297V6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12688 | PA      | $12946.47     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT SEP25                                                                                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -25 | NC      | $-7592.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38378FJG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156166 | PA      | $23697.25     | 0.02%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs | United States Small Business Administration                                                                                            | CUSIP: 83162CVU4<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     52477 | PA      | $50725.81     | 0.05%             | 2033-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31407CRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6490 | PA      | $6608.63      | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B27 Mortgage Trust                                                                                                      | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1415593 | PA      | $75305.02     | 0.07%             | 2054-07-15      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156666 | PA      | $144570.05    | 0.14%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526253 | PA      | $409658.59    | 0.40%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                                                                            | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    357000 | PA      | $360539.65    | 0.35%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137H9MC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3670222 | PA      | $48421.97     | 0.05%             | 2032-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                                                                           | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1230144 | PA      | $46444.08     | 0.05%             | 2029-07-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                  | Provident Funding Mortgage Trust 2024-1                                                                                                | CUSIP: 74389BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150232 | PA      | $149558.14    | 0.14%             | 2054-12-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                                                                                  | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69868 | PA      | $64748.76     | 0.06%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                                                                                     | CUSIP: 3137B0CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73240 | PA      | $71269.77     | 0.07%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSERVATION FUND                                 | Conservation Fund A Nonprofit Corp/The                                                                                                 | CUSIP: 20848FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    159000 | PA      | $149124.90    | 0.14%             | 2029-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                                                                        | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35071 | PA      | $34426.99     | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                                                                               | CUSIP: 38375GBQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000 | PA      | $17906.10     | 0.02%             | 2042-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-13

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer