# EDGAR Filing Document

**Accession Number:** 0000356349
**File Stem:** 0002071691-25-003691
**Filing Date:** 2025-10
**Character Count:** 338072
**Document Hash:** 021c1bc916dd8583ddce5a716e1369bb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-003691.hdr.sgml**: 20251027

**ACCESSION NUMBER**: 0002071691-25-003691

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251027

**DATE AS OF CHANGE**: 20251027

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03327
- **FILM NUMBER:** 251420583

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2105862610.83

**Total Liabilities:** $129020239.98

**Net Assets:** $1976842370.85

**Delayed Delivery Securities:** $120814073.26

**Cash Not Reported:** $338133.90

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2012.92070150 | **1-Year:** -24767.11684940 | **5-Year:** -21540.51517150 | **10-Year:** -83545.18865790 | **30-Year:** -51444.41123200

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

- **3-Month:** -1950.05457830 | **1-Year:** -8564.11277420 | **5-Year:** -15890.46740250 | **10-Year:** -7930.05617380 | **30-Year:** -2838.79093750

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000002008 | 1.59%                | -0.49%               | 1.37%                |
| Class ID C000002007 | 1.46%                | -0.51%               | 1.47%                |
| Class ID C000117927 | 1.49%                | -0.48%               | 1.50%                |
| Class ID C000002015 | 1.51%                | -0.69%               | 1.41%                |
| Class ID C000002006 | 1.60%                | -0.49%               | 1.37%                |
| Class ID C000002017 | 1.44%                | -0.53%               | 1.45%                |
| Class ID C000002012 | 1.39%                | -0.57%               | 1.41%                |
| Class ID C000002018 | 1.57%                | -0.51%               | 1.35%                |
| Class ID C000002013 | 1.51%                | -0.57%               | 1.29%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $404651.25               | $17619073.30                               |
| Month 2  | $-4980073.17             | $-6005759.13                               |
| Month 3  | $-97174.26               | $14724172.38                               |

**Designated Index Information**

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

- **Index Identifier:** LUMSTRUU

### Schedule of Portfolio Investments

| Name                                           | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7865816 | PA      | $6707924.65   | 0.34%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292JBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34062 | PA      | $34607.11     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K145, Class XAM  | CUSIP: 3137H7Z48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 116203070 | PA      | $2360235.42   | 0.12%             | 2032-06-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122370 | PA      | $101847.73    | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224759 | PA      | $978239.64    | 0.05%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust   | American Credit Acceptance Receivables Trust, Series 2024-2, Class A            | CUSIP: 02531BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34528 | PA      | $34547.46     | 0.00%             | 2027-02-12      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244996 | PA      | $254230.39    | 0.01%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385XA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41176 | PA      | $42119.82     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143751 | PA      | $151042.81    | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36177UCZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138314 | PA      | $132559.73    | 0.01%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    612895 | PA      | $584964.98    | 0.03%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    945948 | PA      | $972558.14    | 0.05%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5266, Class FA                                                    | CUSIP: 3137H9AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4812243 | PA      | $4731244.45   | 0.24%             | 2052-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2018-73, Class MV                                                  | CUSIP: 3136B3DM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    706341 | PA      | $692791.78    | 0.04%             | 2030-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K110, Class XAM  | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20077463 | PA      | $1500414.91   | 0.08%             | 2030-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K106, Class X1   | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26358303 | PA      | $1292039.20   | 0.07%             | 2030-01-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1291812 | PA      | $1308226.06   | 0.07%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2024-4, Class A1                             | CUSIP: 92540GAA6<br>LEI: 213800WNY873LW1L3M73 | Long             | ABS-MBS          | CORP              | US        |   2182454 | PA      | $2207778.17   | 0.11%             | 2069-06-25      | Variable      | 6.22%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 21H062693<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6625000 | PA      | $6816368.09   | 0.34%             | 2055-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust              | GLS Auto Receivables Issuer Trust, Series 2024-2A, Class A2                     | CUSIP: 37964VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226756 | PA      | $226868.22    | 0.01%             | 2027-06-15      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6814445 | PA      | $5660560.53   | 0.29%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3703223 | PA      | $3123331.03   | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N5ER1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148410 | PA      | $149507.55    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426048 | PA      | $396835.15    | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ENEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5451411 | PA      | $5446524.00   | 0.28%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                    | Business Jet Securities LLC, Series 2024-1A, Class A                            | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220756 | PA      | $1259861.91   | 0.06%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88740 | PA      | $88796.27     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2022-66, Class CF                                                  | CUSIP: 3136BN6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7427054 | PA      | $7312761.58   | 0.37%             | 2052-10-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2011-123, Class JF                                                 | CUSIP: 3136A2PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340552 | PA      | $339290.20    | 0.02%             | 2041-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2230882 | PA      | $1794816.29   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M5HJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30364 | PA      | $32017.70     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust, Series 2022-1A, Class A                             | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37688 | PA      | $37701.37     | 0.00%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K114, Class X1   | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19884189 | PA      | $885596.03    | 0.04%             | 2030-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class X1   | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40003106 | PA      | $915095.04    | 0.05%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3845, Class AI                                                    | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251381 | PA      | $39677.87     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CMP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1323496 | PA      | $1354280.31   | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454246 | PA      | $453303.80    | 0.02%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27528200 | PA      | $21052620.94  | 1.06%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1375472 | PA      | $1233838.09   | 0.06%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11774019 | PA      | $9648562.13   | 0.49%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MV              | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1846706 | PA      | $1738880.38   | 0.09%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407KRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202799 | PA      | $207028.88    | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140YWX81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200819 | PA      | $206153.49    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B23, Class XA                             | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  43246803 | PA      | $2092513.86   | 0.11%             | 2054-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190167 | PA      | $188823.31    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419JS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112982 | PA      | $114883.14    | 0.01%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9938510 | PA      | $8144401.11   | 0.41%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2015-144, Class HF                                                 | CUSIP: 38379QC94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7112457 | PA      | $6911747.56   | 0.35%             | 2045-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H03, Class F                                                  | CUSIP: 38376RS56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2619018 | PA      | $2638601.65   | 0.13%             | 2067-01-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K116, Class XAM  | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10235210 | PA      | $709810.79    | 0.04%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7845007 | PA      | $6516618.41   | 0.33%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169703 | PA      | $171859.78    | 0.01%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631772 | PA      | $477388.35    | 0.02%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353682 | PA      | $365085.15    | 0.02%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620AMD58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    172290 | PA      | $169245.75    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4604, Class FB                                                    | CUSIP: 3137BRN76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333070 | PA      | $329889.32    | 0.02%             | 2046-08-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H17, Class HI                                                 | CUSIP: 38376RXP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2188531 | PA      | $64833.03     | 0.00%             | 2066-03-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-4, Class LI                                                   | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711195 | PA      | $54687.69     | 0.00%             | 2036-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio       | MFS Institutional Money Market Portfolio, Class A                               | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        | 238995028 | NS      | $239018927.79 | 12.09%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1064371 | PA      | $1034387.77   | 0.05%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5279181 | PA      | $4827566.27   | 0.24%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412FS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98060 | PA      | $102966.48    | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    685716 | PA      | $569746.17    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ES68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26396 | PA      | $27069.60     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    402827 | PA      | $334708.63    | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77234 | PA      | $69423.01     | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KLC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    846578 | PA      | $703227.83    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166353 | PA      | $138294.65    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2451008 | PA      | $2308191.97   | 0.12%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140BKB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25900 | PA      | $24923.80     | 0.00%             | 2055-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2019-H02, Class FD                                                 | CUSIP: 38380LQE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    667204 | PA      | $665711.27    | 0.03%             | 2068-11-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M4T37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77035 | PA      | $80655.70     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412QSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51038 | PA      | $51979.11     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6375236 | PA      | $5436765.78   | 0.28%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6105232 | PA      | $4860951.66   | 0.25%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K522, Class X1   | CUSIP: 3137HDJK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  56107010 | PA      | $831287.08    | 0.04%             | 2029-05-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                      | Chesapeake Funding II LLC, Series 2023-2A, Class A2                             | CUSIP: 165183DA9<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |   1761538 | PA      | $1769600.08   | 0.09%             | 2035-10-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N9UX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431398 | PA      | $435075.66    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    804088 | PA      | $802019.81    | 0.04%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K109, Class XAM  | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14430646 | PA      | $1047104.99   | 0.05%             | 2030-04-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413749 | PA      | $412602.53    | 0.02%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89250 | PA      | $92168.24     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5750000 | PA      | $4980244.34   | 0.25%             | 2055-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326798 | PA      | $326505.19    | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36201U6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23953 | PA      | $24493.09     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2078000 | PA      | $2072642.67   | 0.10%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407HWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34936 | PA      | $36779.17     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                    | AREIT Trust, Series 2022-CRE6, Class AS                                         | CUSIP: 04002VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7155500 | PA      | $7129159.96   | 0.36%             | 2037-01-20      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5661417 | PA      | $4756089.30   | 0.24%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4096, Class DZ                                                    | CUSIP: 3137ATAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1364816 | PA      | $1296057.16   | 0.07%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K097, Class X1   | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18832403 | PA      | $665313.01    | 0.03%             | 2029-07-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K127, Class X1   | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49778390 | PA      | $672754.94    | 0.03%             | 2031-01-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-152, Class XAM | CUSIP: 3137H9MC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  74026378 | PA      | $952867.54    | 0.05%             | 2032-11-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2020-49, Class JA                                                  | CUSIP: 3136BAF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1114403 | PA      | $1040794.71   | 0.05%             | 2044-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31390YPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32794 | PA      | $34058.73     | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJC99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322404 | PA      | $334957.14    | 0.02%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-159, Class XAM | CUSIP: 3137HAMF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  78666400 | PA      | $983408.67    | 0.05%             | 2033-08-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370618 | PA      | $350823.65    | 0.02%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K129, Class XAM  | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7120528 | PA      | $423974.75    | 0.02%             | 2031-05-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K075, Class X1   | CUSIP: 3137F4X98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 165918005 | PA      | $549371.11    | 0.03%             | 2028-02-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MGEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11916431 | PA      | $9929982.55   | 0.50%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182494 | PA      | $186072.48    | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6NG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65711 | PA      | $68160.38     | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XFQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21188 | PA      | $18559.84     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA II, 30 Year                                                                | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1963234 | PA      | $1952299.42   | 0.10%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DSRU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    541462 | PA      | $534926.43    | 0.03%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2548844 | PA      | $2117250.00   | 0.11%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4689849 | PA      | $4402499.15   | 0.22%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31409CA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53163 | PA      | $55347.34     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410F5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45484 | PA      | $46385.50     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K076, Class A2   | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1867674 | PA      | $1864976.33   | 0.09%             | 2028-04-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M4GZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18177 | PA      | $18501.07     | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906879 | PA      | $844507.03    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140B7XB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999900 | PA      | $962212.53    | 0.05%             | 2055-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140BCDT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999900 | PA      | $962212.53    | 0.05%             | 2055-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    877870 | PA      | $849374.35    | 0.04%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K065, Class A2   | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10090226 | PA      | $9960224.54   | 0.50%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-98, Class SW                                                  | CUSIP: 38381NMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4651936 | PA      | $4718797.79   | 0.24%             | 2055-06-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H08, Class FM                                                 | CUSIP: 38376R2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4278680 | PA      | $4311919.96   | 0.22%             | 2067-03-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025713 | PA      | $999362.59    | 0.05%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2004-60, Class FW                                                  | CUSIP: 31394AWL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87707 | PA      | $87673.72     | 0.00%             | 2034-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  61400000 | PA      | $686303.39    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-40, Class PE                                                  | CUSIP: 3136A5AW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1283024 | PA      | $1229010.28   | 0.06%             | 2041-04-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391532 | PA      | $364767.51    | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7337247 | PA      | $7266759.65   | 0.37%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MEB47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100864 | PA      | $99721.38     | 0.01%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17999606 | PA      | $17473380.99  | 0.88%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K137, Class XAM  | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  73957916 | PA      | $1975793.12   | 0.10%             | 2031-12-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AEUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1172446 | PA      | $1200838.92   | 0.06%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WZE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34373 | PA      | $34312.33     | 0.00%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418C5U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    652702 | PA      | $634952.42    | 0.03%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138E55N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77928 | PA      | $73618.27     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31414CLB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224372 | PA      | $232123.28    | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608883 | PA      | $587515.57    | 0.03%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95135 | PA      | $79536.25     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5547, Class FH                                                    | CUSIP: 3137HLVG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7545949 | PA      | $7610721.60   | 0.38%             | 2055-06-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-108, Class KI                                                 | CUSIP: 38378HQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    521993 | PA      | $71452.64     | 0.00%             | 2042-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138YWJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2320609 | PA      | $2160135.33   | 0.11%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31411JUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30919 | PA      | $32370.94     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36294UUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138692 | PA      | $129404.96    | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XLYU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25586 | PA      | $25821.48     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA ACES, Series 2024-M6, Class A2                                             | CUSIP: 3136BTGM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10366665 | PA      | $10171373.62  | 0.51%             | 2027-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210848 | PA      | $213785.50    | 0.01%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3766, Class MB                                                    | CUSIP: 3137A2J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22437 | PA      | $22368.04     | 0.00%             | 2025-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2021-95, Class GI                                                  | CUSIP: 3136BKWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507388 | PA      | $81035.91     | 0.00%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132QSWK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    827449 | PA      | $772194.06    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18675000 | PA      | $18531290.09  | 0.94%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-164, Class FM                                                 | CUSIP: 38384XSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4116347 | PA      | $4114835.14   | 0.21%             | 2054-10-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B24, Class XA                             | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26102020 | PA      | $1066079.58   | 0.05%             | 2054-03-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1248016 | PA      | $1180340.90   | 0.06%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-43, Class MA                                                  | CUSIP: 3136ADY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1682059 | PA      | $1600227.54   | 0.08%             | 2033-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21244 | PA      | $21073.32     | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620A9PQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168749 | PA      | $161942.77    | 0.01%             | 2039-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412MAJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11306 | PA      | $11908.18     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F020695<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26175000 | PA      | $20782174.96  | 1.05%             | 2055-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140BHHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412987 | PA      | $397421.13    | 0.02%             | 2055-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-129, Class BI                                                 | CUSIP: 38379GKK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408747 | PA      | $14963.26     | 0.00%             | 2029-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DTZL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1192987 | PA      | $1246701.72   | 0.06%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8676 | PA      | $9222.57      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427MHC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1631479 | PA      | $1682593.39   | 0.09%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83993 | PA      | $87160.63     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K057, Class A2   | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28977669 | PA      | $28582726.68  | 1.45%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1443601 | PA      | $1299707.51   | 0.07%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3484020 | PA      | $3072918.98   | 0.16%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590795 | PA      | $554458.66    | 0.03%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1377981 | PA      | $1342295.67   | 0.07%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K112, Class XAM  | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12033779 | PA      | $839783.28    | 0.04%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61810 | PA      | $63150.21     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32248000 | PA      | $29959147.89  | 1.52%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3022142 | PA      | $2548920.38   | 0.13%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H04, Class BF                                                 | CUSIP: 38376RT22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1857121 | PA      | $1869932.03   | 0.09%             | 2067-02-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-93, Class ME                                                  | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1377556 | PA      | $1308080.45   | 0.07%             | 2042-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2018-C48, Class XA                | CUSIP: 95001RAY5<br>LEI: 549300REQJRID6TODX95 | Long             | ABS-MBS          | CORP              | US        |  12190669 | PA      | $292662.60    | 0.01%             | 2052-01-15      | Variable      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-79, Class JI                                                  | CUSIP: 38384AZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2255448 | PA      | $312697.34    | 0.02%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    465609 | PA      | $433304.74    | 0.02%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3571255 | PA      | $3199642.17   | 0.16%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K136, Class XAM  | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12187459 | PA      | $361700.63    | 0.02%             | 2031-12-25      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41833000 | PA      | $37236272.41  | 1.88%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV              | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1933543 | PA      | $1678675.33   | 0.08%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31404XS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41041 | PA      | $41482.57     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742667 | PA      | $723742.45    | 0.04%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    951381 | PA      | $803794.22    | 0.04%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20B, Class 1           | CUSIP: 83162CVH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    435843 | PA      | $409253.39    | 0.02%             | 2033-02-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31297DCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1612 | PA      | $1664.17      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140NPSF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135859 | PA      | $1162283.42   | 0.06%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5953086 | PA      | $5204164.73   | 0.26%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K740, Class A2   | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4600000 | PA      | $4378935.96   | 0.22%             | 2027-09-25      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    733491 | PA      | $707037.87    | 0.04%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-H18, Class FA                                                 | CUSIP: 38383KU42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5528737 | PA      | $5527146.41   | 0.28%             | 2074-08-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31335B7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1110145 | PA      | $1152973.43   | 0.06%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418E2D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799469 | PA      | $805351.86    | 0.04%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332139 | PA      | $344655.26    | 0.02%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B29, Class XA                             | CUSIP: 08163JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  44773371 | PA      | $1670588.50   | 0.08%             | 2054-09-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2025-59, Class FN                                                  | CUSIP: 3136BWP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5040529 | PA      | $5073669.93   | 0.26%             | 2055-08-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238680 | PA      | $238466.52    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XD6K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204375 | PA      | $171644.59    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4566, Class PG                                                    | CUSIP: 3137BNPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1470296 | PA      | $1406993.31   | 0.07%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    353848 | PA      | $282664.76    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31401L6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143853 | PA      | $145767.30    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2714736 | PA      | $2644433.90   | 0.13%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2015-3, Class PC                                                   | CUSIP: 3136AMNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538173 | PA      | $523290.66    | 0.03%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    700823 | PA      | $629482.86    | 0.03%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1560019 | PA      | $1295862.45   | 0.07%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2302902 | PA      | $2236611.46   | 0.11%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284278 | PA      | $1137309.85   | 0.06%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557583 | PA      | $536566.98    | 0.03%             | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1815063 | PA      | $1827998.33   | 0.09%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6K49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39925 | PA      | $41616.55     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1934610 | PA      | $1880910.79   | 0.10%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403209 | PA      | $321846.71    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1357848 | PA      | $1256067.60   | 0.06%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3844346 | PA      | $2904332.66   | 0.15%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  86350000 | PA      | $86424207.46  | 4.37%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5483, Class FD                                                    | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6800142 | PA      | $6829956.05   | 0.35%             | 2054-12-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2019-75, Class FK                                                  | CUSIP: 3136B7RX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1895561 | PA      | $1868451.83   | 0.09%             | 2049-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2025-52, Class FM                                                  | CUSIP: 3136BWXA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6536743 | PA      | $6578754.45   | 0.33%             | 2055-07-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138AEEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491487 | PA      | $500360.98    | 0.03%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3632, Class PK                                                    | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1087910 | PA      | $1108518.35   | 0.06%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132CWVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58574 | PA      | $55227.48     | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class A1   | CUSIP: 3137F2L38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934099 | PA      | $926387.69    | 0.05%             | 2026-12-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                      | BXMT Ltd., Series 2021-FL4, Class AS                                            | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7779500 | PA      | $7707739.56   | 0.39%             | 2038-05-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3639253 | PA      | $3186778.79   | 0.16%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6HH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13697 | PA      | $14204.55     | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2018-H4, Class XA                        | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21738255 | PA      | $480489.34    | 0.02%             | 2051-12-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BUYL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    546782 | PA      | $552070.75    | 0.03%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31297V6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50853 | PA      | $52671.98     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3077889 | PA      | $2624806.57   | 0.13%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418QPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189442 | PA      | $192938.17    | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                    | BBCMS Trust, Series 2021-C10, Class XA                                          | CUSIP: 05551VBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19576497 | PA      | $1010384.13   | 0.05%             | 2054-07-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4150, Class UK                                                    | CUSIP: 3137AYB75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    740302 | PA      | $701478.45    | 0.04%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412LA34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105411 | PA      | $111026.88    | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                            | COMM Mortgage Trust, Series 2024-CBM, Class A2                                  | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395974 | PA      | $1421968.01   | 0.07%             | 2041-12-10      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class A2   | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6876682 | PA      | $6779284.80   | 0.34%             | 2027-11-25      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM1, Class A1      | CUSIP: 61775UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4181158 | PA      | $4217862.23   | 0.21%             | 2068-12-25      | Variable      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3845286 | PA      | $3386533.03   | 0.17%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-77, Class MY                                                  | CUSIP: 38375GBQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    310000 | PA      | $282237.95    | 0.01%             | 2042-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150762 | PA      | $149332.69    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83551 | PA      | $86246.17     | 0.00%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    545147 | PA      | $520187.79    | 0.03%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36200NG47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196403 | PA      | $203304.31    | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2522155 | PA      | $2499125.79   | 0.13%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5199690 | PA      | $4467152.64   | 0.23%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MG4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    835647 | PA      | $756170.51    | 0.04%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140M23F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376105 | PA      | $348988.49    | 0.02%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XAB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248408 | PA      | $247031.51    | 0.01%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BRUM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196518 | PA      | $198292.31    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312940ZV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35202 | PA      | $35669.70     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B26, Class XA                             | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  36962443 | PA      | $1265653.19   | 0.06%             | 2054-06-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M73V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142178 | PA      | $145318.40    | 0.01%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195059 | PA      | $198658.90    | 0.01%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2422756 | PA      | $2483523.56   | 0.13%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36295SD45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60161 | PA      | $62456.82     | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6673591 | PA      | $5912267.97   | 0.30%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DNV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2660829 | PA      | $2129345.80   | 0.11%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                | 3650R Commercial Mortgage Trust, Series 2021-PF1, Class XA                      | CUSIP: 88581EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21495274 | PA      | $810801.75    | 0.04%             | 2054-11-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140ANFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921722 | PA      | $943350.93    | 0.05%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CAS68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419519 | PA      | $431474.02    | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48804 | PA      | $49098.30     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N7TV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21103 | PA      | $19728.10     | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2021-L6, Class XA                        | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19115771 | PA      | $768809.56    | 0.04%             | 2054-06-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                       | MF1 Ltd., Series 2021-FL7, Class A                                              | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3496364 | PA      | $3494801.63   | 0.18%             | 2036-10-16      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K538, Class X1   | CUSIP: 3137HKSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19147613 | PA      | $441266.31    | 0.02%             | 2030-01-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A3G98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741200 | PA      | $758898.34    | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5438, Class FE                                                    | CUSIP: 3137HFDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9373990 | PA      | $9405816.93   | 0.48%             | 2054-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 2526, Class FA                                                    | CUSIP: 31393FGK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36788 | PA      | $36670.84     | 0.00%             | 2032-11-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159618 | PA      | $150110.81    | 0.01%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class X1   | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14862899 | PA      | $375604.79    | 0.02%             | 2031-08-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128KYA33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115416 | PA      | $121342.78    | 0.01%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXC57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    274413 | PA      | $280105.73    | 0.01%             | 2030-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM3, Class A1      | CUSIP: 61776UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1667592 | PA      | $1663851.86   | 0.08%             | 2069-07-25      | Variable      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| BDS LLC                                        | BDS LLC, Series 2024-FL13, Class A                                              | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1558000 | PA      | $1561650.39   | 0.08%             | 2039-09-19      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444297 | PA      | $367653.53    | 0.02%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    549385 | PA      | $533571.59    | 0.03%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DNBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1156397 | PA      | $1004679.44   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31371KHY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33999 | PA      | $35731.58     | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140JAGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    946795 | PA      | $982509.00    | 0.05%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC           | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A                  | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    903871 | PA      | $903557.80    | 0.05%             | 2036-11-25      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440480 | PA      | $427481.74    | 0.02%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1037775 | PA      | $947222.28    | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2021-83, Class FM                                                  | CUSIP: 38382QWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    601739 | PA      | $495946.45    | 0.03%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                           | LoanCore Issuer Ltd., Series 2021-CRE5, Class AS                                | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6508500 | PA      | $6508285.22   | 0.33%             | 2036-07-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2021-BN32, Class XA                                                | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18856258 | PA      | $569017.76    | 0.03%             | 2054-04-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6662959 | PA      | $5903227.13   | 0.30%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2465099 | PA      | $1962328.37   | 0.10%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31376KQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200584 | PA      | $208145.25    | 0.01%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37647000 | PA      | $38354351.74  | 1.94%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-64, Class SA                                                  | CUSIP: 3136ATTW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1663739 | PA      | $188546.88    | 0.01%             | 2046-09-25      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20C, Class 1           | CUSIP: 83162CVK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    683372 | PA      | $643685.21    | 0.03%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393988 | PA      | $403955.97    | 0.02%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11176000 | PA      | $10647322.78  | 0.54%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    682130 | PA      | $544666.76    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140HMPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441366 | PA      | $429273.11    | 0.02%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                 | Enterprise Fleet Financing LLC, Series 2025-1, Class A2                         | CUSIP: 29390HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1207000 | PA      | $1211255.40   | 0.06%             | 2027-10-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419AT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44825 | PA      | $45352.57     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2019-H14, Class FB                                                 | CUSIP: 38380LYS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3324540 | PA      | $3323017.48   | 0.17%             | 2069-08-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H04, Class FK                                                 | CUSIP: 38376RQN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170433 | PA      | $171260.51    | 0.01%             | 2066-02-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K130, Class XAM  | CUSIP: 3137H1YZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22560568 | PA      | $1400454.03   | 0.07%             | 2031-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| M&T Bank Auto Receivables Trust                | M&T Bank Auto Receivables Trust, Series 2025-1A, Class A2A                      | CUSIP: 55287XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2362911 | PA      | $2368440.49   | 0.12%             | 2028-05-15      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417YSE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192606 | PA      | $196161.01    | 0.01%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419GP24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201391 | PA      | $201211.03    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-H31, Class DI                                                 | CUSIP: 38375BD66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4772570 | PA      | $210079.00    | 0.01%             | 2062-12-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437385 | PA      | $348620.08    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31414QTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21508 | PA      | $22250.80     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust               | Provident Funding Mortgage Trust, Series 2024-1, Class A3                       | CUSIP: 74389BAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2790003 | PA      | $2804903.04   | 0.14%             | 2054-12-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K054, Class A2   | CUSIP: 3137BNGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3206948 | PA      | $3183073.55   | 0.16%             | 2026-01-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636782 | PA      | $564794.84    | 0.03%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACREC Ltd.                                     | ACREC Ltd., Series 2021-FL1, Class AS                                           | CUSIP: 00500RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7778000 | PA      | $7777754.22   | 0.39%             | 2036-10-16      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120162 | PA      | $100493.88    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6017162 | PA      | $5007960.44   | 0.25%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43557 | PA      | $32907.94     | 0.00%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8433770 | PA      | $7030964.77   | 0.36%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                           | BBCMS Mortgage Trust, Series 2022-C18, Class XA                                 | CUSIP: 054975AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22872426 | PA      | $763669.14    | 0.04%             | 2055-12-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8370034 | PA      | $7185631.51   | 0.36%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4184, Class GM                                                    | CUSIP: 3137B0CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1041929 | PA      | $1019672.03   | 0.05%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174977 | PA      | $174127.62    | 0.01%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust          | Wells Fargo Commercial Mortgage Trust, Series 2021-C60, Class XA                | CUSIP: 95003DBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20175086 | PA      | $1286258.58   | 0.07%             | 2054-08-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27261 | PA      | $28288.46     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2010-116, Class BM                                                 | CUSIP: 31398NQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260869 | PA      | $257252.67    | 0.01%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4861525 | PA      | $4097294.76   | 0.21%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  96000000 | PA      | $-685093.98   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H23, Class FB                                                 | CUSIP: 38375US43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1564335 | PA      | $1563355.28   | 0.08%             | 2067-11-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412840 | PA      | $412470.22    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48616 | PA      | $44327.66     | 0.00%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407HWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14329 | PA      | $15039.63     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-1, Class YI                                                   | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    886361 | PA      | $62600.60     | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-26, Class E                                                   | CUSIP: 38384J5R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2907350 | PA      | $3008367.42   | 0.15%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $20752.45     | 0.00%             | 2055-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42064 | PA      | $44170.30     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM3, Class A1      | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2671707 | PA      | $2691310.84   | 0.14%             | 2070-05-25      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2676056 | PA      | $2251090.62   | 0.11%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N5FT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164744 | PA      | $166620.46    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2006-60, Class HF                                                  | CUSIP: 31395NTT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4228 | PA      | $4227.49      | 0.00%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XEAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5305176 | PA      | $4603817.19   | 0.23%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust    | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class AS          | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2025986 | PA      | $2025469.34   | 0.10%             | 2036-07-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    645951 | PA      | $608018.73    | 0.03%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133D3L45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542998 | PA      | $493076.08    | 0.02%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4217567 | PA      | $3946808.00   | 0.20%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294039 | PA      | $234794.71    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-H12, Class GF                                                 | CUSIP: 38380QEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6536919 | PA      | $6497355.49   | 0.33%             | 2070-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313980 | PA      | $251429.30    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407FJ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130101 | PA      | $134591.92    | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32955 | PA      | $33622.19     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166266 | PA      | $161651.35    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650340 | PA      | $649757.59    | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3923, Class DA                                                    | CUSIP: 3137AFKG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1348064 | PA      | $1318814.06   | 0.07%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4351381 | PA      | $4036529.77   | 0.20%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140ABZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    803089 | PA      | $808647.74    | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3575, Class ZA                                                    | CUSIP: 31398JUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1363299 | PA      | $1404858.37   | 0.07%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1833871 | PA      | $1878931.92   | 0.10%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-H04, Class FC                                                 | CUSIP: 38384LAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6716939 | PA      | $6710711.08   | 0.34%             | 2075-01-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CC5R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34939 | PA      | $35785.25     | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    514305 | PA      | $500772.64    | 0.03%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142J6AM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45422 | PA      | $43710.36     | 0.00%             | 2055-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6WA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238016 | PA      | $250993.09    | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K113, Class X1   | CUSIP: 3137FV5Q1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29338020 | PA      | $1567310.39   | 0.08%             | 2030-06-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11722000 | PA      | $11172531.25  | 0.57%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DQMV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61382 | PA      | $63224.52     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312934M58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98107 | PA      | $100047.65    | 0.01%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1252019 | PA      | $1250895.76   | 0.06%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11905176 | PA      | $9756042.97   | 0.49%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XBV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    542924 | PA      | $539914.60    | 0.03%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MAU             | CUSIP: 35563P7F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4222307 | PA      | $3872670.18   | 0.20%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36297H6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105374 | PA      | $103629.95    | 0.01%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425529 | PA      | $424645.79    | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31297CWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64058 | PA      | $65045.43     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class A2   | CUSIP: 3137F2LJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20616052 | PA      | $20308019.32  | 1.03%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312940BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94533 | PA      | $95789.20     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416XV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172103 | PA      | $174999.12    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-122, Class PI                                                 | CUSIP: 38379ETW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1404153 | PA      | $70275.04     | 0.00%             | 2029-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327249 | PA      | $273219.67    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418MUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89928 | PA      | $90923.12     | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133A2EK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1108773 | PA      | $980801.14    | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F062697<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $5699487.48   | 0.29%             | 2055-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-H01, Class DA                                                 | CUSIP: 38382YKU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1021311 | PA      | $1014998.68   | 0.05%             | 2071-12-20      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2020-65, Class EI                                                  | CUSIP: 3136BBTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2883469 | PA      | $563930.05    | 0.03%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    421943 | PA      | $414935.29    | 0.02%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36200EAQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64830 | PA      | $65529.46     | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287669 | PA      | $263240.13    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Ultra Note                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       509 | NC      | $177657.12    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EQT Trust                                      | EQT Trust, Series 2024-EXTR, Class B                                            | CUSIP: 29439DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503054 | PA      | $1533021.74   | 0.08%             | 2041-07-05      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GRL58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    723217 | PA      | $681374.72    | 0.03%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2261571 | PA      | $1886997.75   | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022408 | PA      | $860063.63    | 0.04%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XMV45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415355 | PA      | $345023.39    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2339148 | PA      | $1872421.22   | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K131, Class XAM  | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11674001 | PA      | $573445.61    | 0.03%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-H13, Class FL                                                 | CUSIP: 38375UKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    839648 | PA      | $840441.29    | 0.04%             | 2064-07-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5526746 | PA      | $5656988.09   | 0.29%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450032 | PA      | $438564.65    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2015-90, Class UQ                                                  | CUSIP: 3136AQVJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406370 | PA      | $388319.12    | 0.02%             | 2045-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2144748 | PA      | $1812370.36   | 0.09%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216183 | PA      | $223554.81    | 0.01%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5492, Class MB                                                    | CUSIP: 3137HHZ53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2407622 | PA      | $2421163.23   | 0.12%             | 2055-01-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-52, Class GT                                                  | CUSIP: 38377VGJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    241331 | PA      | $240340.88    | 0.01%             | 2039-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K114, Class XAM  | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11124134 | PA      | $629466.91    | 0.03%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120930 | PA      | $123935.58    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2793287 | PA      | $2474628.93   | 0.13%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M72C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61909 | PA      | $64318.41     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K139, Class XAM  | CUSIP: 3137H6LS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49680895 | PA      | $2126014.41   | 0.11%             | 2032-02-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3923339 | PA      | $3297823.77   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1222855 | PA      | $1099969.70   | 0.06%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-161, Class DF                                                 | CUSIP: 38380HZJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540396 | PA      | $521209.40    | 0.03%             | 2047-10-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5085, Class IK                                                    | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7703037 | PA      | $1273941.31   | 0.06%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858984 | PA      | $879301.42    | 0.04%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2017-33, Class LB                                                  | CUSIP: 3136AWFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1822708 | PA      | $1729236.79   | 0.09%             | 2039-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-137, Class UE                                                 | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994019 | PA      | $952504.54    | 0.05%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2882975 | PA      | $2946208.56   | 0.15%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                | Palmer Square Loan Funding Ltd., Series 2025-2A, Class A2                       | CUSIP: 69704AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8550000 | PA      | $8550000.00   | 0.43%             | 2033-07-15      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K122, Class XAM  | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13158725 | PA      | $652695.13    | 0.03%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7341394 | PA      | $6372716.17   | 0.32%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alinea CLO Ltd.                                | Alinea CLO Ltd., Series 2018-1A, Class AR                                       | CUSIP: 016269AE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1923000 | PA      | $1924033.10   | 0.10%             | 2031-07-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 406, Class F36                                                    | CUSIP: 3133Q3JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559140 | PA      | $568625.31    | 0.03%             | 2053-10-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H23, Class F                                                  | CUSIP: 38376RB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1113021 | PA      | $1114954.09   | 0.06%             | 2066-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K059, Class A2   | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12661384 | PA      | $12523323.00  | 0.63%             | 2026-09-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2209438 | PA      | $1858734.25   | 0.09%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4535912 | PA      | $4568005.26   | 0.23%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K528, Class X1   | CUSIP: 3137HFP33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31354116 | PA      | $930750.07    | 0.05%             | 2029-07-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339898 | PA      | $330217.60    | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2018-63                                                            | CUSIP: 38380WUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608277 | PA      | $110993.90    | 0.01%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5367, Class MF                                                    | CUSIP: 3137HB7A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4193012 | PA      | $4189432.38   | 0.21%             | 2053-12-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1254916 | PA      | $1222807.50   | 0.06%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    472608 | PA      | $466217.34    | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4263, Class FB                                                    | CUSIP: 3137B5QC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1330378 | PA      | $1319547.13   | 0.07%             | 2043-11-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K076, Class X1   | CUSIP: 3137FEZW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 109147632 | PA      | $373514.11    | 0.02%             | 2028-04-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3618N5KW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5103417 | PA      | $5144165.08   | 0.26%             | 2055-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K062, Class A2   | CUSIP: 3137BUX60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16700000 | PA      | $16539903.78  | 0.84%             | 2026-12-25      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 15 Year, Single Family                                                    | CUSIP: 01F022493<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $23454.42     | 0.00%             | 2040-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419FG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397334 | PA      | $387208.14    | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                     | LAD Auto Receivables Trust, Series 2025-1A, Class A2                            | CUSIP: 505712AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3206477 | PA      | $3210002.75   | 0.16%             | 2027-12-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-171, Class A2  | CUSIP: 3137HMCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5231317 | PA      | $5154677.68   | 0.26%             | 2035-06-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    716675 | PA      | $663641.27    | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36291FAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173526 | PA      | $175251.00    | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                            | PFS Financing Corp., Series 2023-C, Class B                                     | CUSIP: 69335PEZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1302000 | PA      | $1319213.35   | 0.07%             | 2028-10-15      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd. | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL3, Class AS       | CUSIP: 03880KAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6638000 | PA      | $6635437.73   | 0.34%             | 2034-08-15      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H11, Class HA                                                 | CUSIP: 38375UWY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    381348 | PA      | $371383.53    | 0.02%             | 2066-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    785601 | PA      | $652575.51    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-20, Class PD                                                  | CUSIP: 38384JC85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5631372 | PA      | $5768824.31   | 0.29%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332985 | PA      | $345395.93    | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                                      | ACREC LLC, Series 2023-FL2, Class A                                             | CUSIP: 00501BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2015577 | PA      | $2014946.53   | 0.10%             | 2038-02-19      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31405PNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63166 | PA      | $65134.82     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31403CZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291644 | PA      | $297787.65    | 0.02%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33779 | PA      | $28259.71     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1084074 | PA      | $1004382.62   | 0.05%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  23950000 | PA      | $-140821.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2025-NQM8, Class A1                                           | CUSIP: 67449AAA3<br>LEI: 2549006UJL1L84XG2C80 | Long             | ABS-MBS          | CORP              | US        |   2363875 | PA      | $2383891.74   | 0.12%             | 2065-03-25      | Variable      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K072, Class X1   | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1339584 | PA      | $10315.74     | 0.00%             | 2027-12-25      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XJJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4159150 | PA      | $3912477.59   | 0.20%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97983000 | PA      | $68266593.28  | 3.45%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402TBS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104424 | PA      | $105053.02    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295198 | PA      | $301238.52    | 0.02%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1B97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20875 | PA      | $21448.82     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                            | PFS Financing Corp., Series 2025-A, Class A                                     | CUSIP: 69335PFS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4611000 | PA      | $4610978.79   | 0.23%             | 2029-01-15      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-104, Class CF                                                 | CUSIP: 3136BUEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4116612 | PA      | $4123482.21   | 0.21%             | 2055-01-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108859 | PA      | $1107863.43   | 0.06%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412LBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28601 | PA      | $30020.40     | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161135 | PA      | $137326.00    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WHVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1369691 | PA      | $1169220.75   | 0.06%             | 2046-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WEEL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375426 | PA      | $350151.12    | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                      | OBX Trust, Series 2024-NQM1, Class A2                                           | CUSIP: 67448LAB8<br>LEI: 254900UI1468MQ7I8472 | Long             | ABS-MBS          | CORP              | US        |    470830 | PA      | $473920.68    | 0.02%             | 2063-11-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXDA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139489 | PA      | $144918.82    | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-65, Class ST                                                  | CUSIP: 38380B6Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    467996 | PA      | $59698.81     | 0.00%             | 2047-04-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    273011 | PA      | $261866.89    | 0.01%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-157, Class XAM | CUSIP: 3137HAAL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  64115960 | PA      | $1343710.23   | 0.07%             | 2033-05-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K073, Class X1   | CUSIP: 3137FETQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  57402429 | PA      | $377524.30    | 0.02%             | 2028-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2275093 | PA      | $2336011.18   | 0.12%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 2 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1301 | NC      | $352729.72    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-19, Class AD                                                  | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    768849 | PA      | $716921.74    | 0.04%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Shackleton 2019-XIV CLO Ltd.                   | Shackleton 2019-XIV CLO Ltd., Series 2019-14A, Class BRR                        | CUSIP: 81880XAY8<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |   6434263 | PA      | $6433619.57   | 0.33%             | 2034-07-20      | Floating      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3618N5JD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2099326 | PA      | $2116088.22   | 0.11%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3233, Class PA                                                    | CUSIP: 31397BYP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1536950 | PA      | $1619675.18   | 0.08%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198246 | PA      | $184970.35    | 0.01%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XNCU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2941637 | PA      | $2797616.70   | 0.14%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51625 | PA      | $52638.21     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DMWR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1095013 | PA      | $828999.86    | 0.04%             | 2051-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-123, Class MA                                                 | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    753990 | PA      | $736518.51    | 0.04%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3882743 | PA      | $3667296.68   | 0.19%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  45500000 | PA      | $-1340680.64  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873026 | PA      | $822852.26    | 0.04%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620AMF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226974 | PA      | $224222.95    | 0.01%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1262801 | PA      | $1134144.91   | 0.06%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LDWL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81235 | PA      | $84319.78     | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31391WVR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235118 | PA      | $240256.41    | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620AFWD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193529 | PA      | $190916.54    | 0.01%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2018-H06, Class KF                                                 | CUSIP: 38380LBW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8321133 | PA      | $8371056.48   | 0.42%             | 2068-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2417279 | PA      | $2255543.42   | 0.11%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133D16K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408577 | PA      | $403129.66    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    970022 | PA      | $902636.42    | 0.05%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1658084 | PA      | $1650542.74   | 0.08%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K067, Class X1   | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  99523761 | PA      | $851186.92    | 0.04%             | 2027-07-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    753860 | PA      | $711182.08    | 0.04%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    777272 | PA      | $710534.93    | 0.04%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    727692 | PA      | $700264.04    | 0.04%             | 2055-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140Q8AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508852 | PA      | $471475.91    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2088259 | PA      | $2127760.81   | 0.11%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                           | LoanCore Issuer Ltd., Series 2021-CRE6, Class AS                                | CUSIP: 53948HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10000770.00  | 0.51%             | 2038-11-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2022-H01, Class FB                                                 | CUSIP: 38382YKP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2718940 | PA      | $2705529.59   | 0.14%             | 2071-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2011-62, Class KF                                                  | CUSIP: 31397U6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253944 | PA      | $252326.71    | 0.01%             | 2041-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K511, Class X1   | CUSIP: 3137HB3H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39460092 | PA      | $510238.72    | 0.03%             | 2028-10-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2013-81, Class PI                                                  | CUSIP: 38378TKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    180847 | PA      | $2375.46      | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5501, Class FE                                                    | CUSIP: 3137HJQL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7592995 | PA      | $7623826.91   | 0.39%             | 2055-02-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140NDT72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33850 | PA      | $33457.33     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                               | Barings CLO Ltd., Series 2021-3A, Class B1R                                     | CUSIP: 06762TAN1<br>LEI: 549300V1VT2NXKFG0H98 | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5502541.00   | 0.28%             | 2035-01-18      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9DT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    580655 | PA      | $580844.88    | 0.03%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36297GLY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    687221 | PA      | $696424.05    | 0.04%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EPPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523605 | PA      | $541611.39    | 0.03%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20G, Class 1           | CUSIP: 83162CVR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    664520 | PA      | $639790.44    | 0.03%             | 2033-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31426WZQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421014 | PA      | $405145.44    | 0.02%             | 2055-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5750000 | PA      | $4980693.59   | 0.25%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7557347 | PA      | $6492649.20   | 0.33%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-169, Class XAM | CUSIP: 3137HK2F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47468092 | PA      | $1113767.58   | 0.06%             | 2035-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    452308 | PA      | $451902.46    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1583741 | PA      | $1327364.66   | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-36, Class FB                                                  | CUSIP: 3136BR3E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7323770 | PA      | $7360295.29   | 0.37%             | 2054-06-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-56, Class PK                                                  | CUSIP: 3136AEZE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012944 | PA      | $958153.25    | 0.05%             | 2043-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EQ7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560088 | PA      | $545007.58    | 0.03%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4243, Class BZ                                                    | CUSIP: 3137B45J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4893261 | PA      | $4804477.30   | 0.24%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2021-BN35, Class XA                                                | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13155559 | PA      | $568509.57    | 0.03%             | 2064-06-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                  | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26200000 | PA      | $20806117.97  | 1.05%             | 2055-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 10 Year Note                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1025 | NC      | $452650.25    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672012 | PA      | $654996.42    | 0.03%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347514 | PA      | $335361.66    | 0.02%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36291FVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109866 | PA      | $111138.38    | 0.01%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31408GSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21992 | PA      | $22598.91     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31409WVY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86471 | PA      | $90901.85     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-89, Class HF                                                  | CUSIP: 38379XRW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2760863 | PA      | $2695597.74   | 0.14%             | 2046-07-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust  | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class A2          | CUSIP: 10806HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2326983 | PA      | $2327327.62   | 0.12%             | 2027-09-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2014-H20, Class CF                                                 | CUSIP: 38375UQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    373302 | PA      | $373283.52    | 0.02%             | 2064-10-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    942201 | PA      | $942509.68    | 0.05%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K125, Class XAM  | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19512958 | PA      | $732340.83    | 0.04%             | 2031-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9092 | PA      | $8845.95      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-97, Class SC                                                  | CUSIP: 38385G5H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3716507 | PA      | $3676069.10   | 0.19%             | 2055-06-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2021-L5, Class XA                        | CUSIP: 61691YAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16432603 | PA      | $758486.24    | 0.04%             | 2054-05-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    749249 | PA      | $613993.70    | 0.03%             | 2052-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1164826 | PA      | $1046652.24   | 0.05%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2017-H15, Class FB                                                 | CUSIP: 38376R6C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5280279 | PA      | $5337307.69   | 0.27%             | 2067-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2021-10, Class AC                                                  | CUSIP: 3136BFMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1425202 | PA      | $1255241.73   | 0.06%             | 2041-03-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2023-40, Class FX                                                  | CUSIP: 38383WQB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7302020 | PA      | $7126842.54   | 0.36%             | 2041-09-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31425UZ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412407 | PA      | $396863.09    | 0.02%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Howard University                              | Howard University, Series 2020                                                  | CUSIP: 442851AG6<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    688000 | PA      | $686354.19    | 0.03%             | 2025-10-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1338513 | PA      | $1274307.75   | 0.06%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                            | U.S. Treasury 5 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      3496 | NC      | $863337.20    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K098, Class X1   | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33069953 | PA      | $1262280.11   | 0.06%             | 2029-08-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61404 | PA      | $62939.98     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 3113, Class QE                                                    | CUSIP: 31396HE70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    398475 | PA      | $411069.22    | 0.02%             | 2036-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2010-103, Class WA                                                 | CUSIP: 38377DSY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    672200 | PA      | $685902.77    | 0.03%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3129456R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    860944 | PA      | $877896.53    | 0.04%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301661 | PA      | $309818.60    | 0.02%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2015-H08, Class FD                                                 | CUSIP: 38375UVD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39322 | PA      | $39321.84     | 0.00%             | 2065-03-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2023-54, Class FD                                                  | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4336156 | PA      | $4409700.43   | 0.22%             | 2053-11-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4471, Class PI                                                    | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38874 | PA      | $3616.84      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GEV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307464 | PA      | $313517.14    | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54157000 | PA      | $53092899.43  | 2.69%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985149 | PA      | $1003337.68   | 0.05%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1EV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30217 | PA      | $30925.50     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138A4XB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1148803 | PA      | $1170011.38   | 0.06%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31404BRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156178 | PA      | $159582.04    | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GETS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169050 | PA      | $169105.85    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2009-68, Class PN                                                  | CUSIP: 38373ATA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    971849 | PA      | $987989.25    | 0.05%             | 2039-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418E5P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10364497 | PA      | $10437830.19  | 0.53%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K738, Class XAM  | CUSIP: 3137FTFW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5583000 | PA      | $105530.42    | 0.01%             | 2027-03-25      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2013-H11, Class FA                                                 | CUSIP: 38375BY22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68623 | PA      | $68597.73     | 0.00%             | 2063-04-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13701597 | PA      | $11893659.97  | 0.60%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98507 | PA      | $98302.16     | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132HL3J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    333610 | PA      | $305554.19    | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2025-11, Class FM                                                  | CUSIP: 3136BUX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4582886 | PA      | $4561565.17   | 0.23%             | 2055-03-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AHVX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2756293 | PA      | $2775228.25   | 0.14%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7900000 | PA      | $8123730.45   | 0.41%             | 2029-12-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-175, Class GI                                                 | CUSIP: 38382LLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185639 | PA      | $20996.79     | 0.00%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    839336 | PA      | $699735.97    | 0.04%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K755, Class XAM  | CUSIP: 3137HCKP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18431877 | PA      | $389530.07    | 0.02%             | 2031-02-25      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1073226 | PA      | $1007801.96   | 0.05%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC           | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class AS                 | CUSIP: 75575WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1261500 | PA      | $1261555.51   | 0.06%             | 2036-11-25      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M8RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256544 | PA      | $261373.64    | 0.01%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K134, Class XAM  | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  73361326 | PA      | $1423767.27   | 0.07%             | 2031-11-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ERQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1655335 | PA      | $1615071.34   | 0.08%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-88, Class FC                                                  | CUSIP: 3136BT7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8548746 | PA      | $8614493.85   | 0.44%             | 2054-12-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4336000 | PA      | $4408492.50   | 0.22%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K118, Class XAM  | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6568138 | PA      | $340056.81    | 0.02%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31296L3U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20078 | PA      | $20346.27     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                          | ARI Fleet Lease Trust, Series 2023-B, Class A2                                  | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    861444 | PA      | $868603.98    | 0.04%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140ML3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473952 | PA      | $394476.89    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2020-H10, Class FB                                                 | CUSIP: 38380QBT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2659406 | PA      | $2653095.14   | 0.13%             | 2070-03-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1258396 | PA      | $1065945.67   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292HVU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107879 | PA      | $110819.68    | 0.01%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140HF7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316547 | PA      | $269196.32    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140BHJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037660 | PA      | $998549.19    | 0.05%             | 2055-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RCKT Trust                                     | RCKT Trust, Series 2025-1A, Class A                                             | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1579267 | PA      | $1581953.90   | 0.08%             | 2034-07-25      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3862512 | PA      | $3277927.57   | 0.17%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2012-12, Class KN                                                  | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    510852 | PA      | $514243.78    | 0.03%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140JPLF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    504449 | PA      | $468152.96    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3430022 | PA      | $2741642.47   | 0.14%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103725 | PA      | $86624.26     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1691537 | PA      | $1513458.68   | 0.08%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412V4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59847 | PA      | $62174.62     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N56D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3935206 | PA      | $3974667.19   | 0.20%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3969155 | PA      | $3470372.63   | 0.18%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-161, Class XAM | CUSIP: 3137HB3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  75772703 | PA      | $1260425.87   | 0.06%             | 2033-10-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K737, Class A2   | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10822583 | PA      | $10638723.55  | 0.54%             | 2026-10-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31440 | PA      | $28236.83     | 0.00%             | 2047-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407CRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43847 | PA      | $45310.61     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5500, Class FE                                                    | CUSIP: 3137HJAS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4561158 | PA      | $4596281.80   | 0.23%             | 2055-02-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256525 | PA      | $259424.91    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417NB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250706 | PA      | $255526.44    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-H05, Class F                                                  | CUSIP: 38384LCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6620793 | PA      | $6592869.39   | 0.33%             | 2075-02-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1F77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45384 | PA      | $46422.31     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133W93M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    489185 | PA      | $509639.74    | 0.03%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWMA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3817140 | PA      | $3842174.91   | 0.19%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9748800 | PA      | $7775048.79   | 0.39%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 3620ALQ49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160960 | PA      | $158576.45    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K734, Class A2   | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1668091 | PA      | $1659627.20   | 0.08%             | 2026-02-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140BD4C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1396994 | PA      | $1344339.62   | 0.07%             | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 312934RV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183503 | PA      | $187245.03    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-98, Class FJ                                                  | CUSIP: 3136BUSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5614289 | PA      | $5633717.64   | 0.28%             | 2053-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133C8L60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2202766 | PA      | $2256218.15   | 0.11%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    834141 | PA      | $853126.84    | 0.04%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class XAM  | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17260719 | PA      | $624960.58    | 0.03%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3919596 | PA      | $3294660.00   | 0.17%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228255 | PA      | $227661.47    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161703 | PA      | $137803.27    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CNU34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355307 | PA      | $363834.33    | 0.02%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31296LFZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20536 | PA      | $20927.13     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                    | SBNA Auto Receivables Trust, Series 2025-SF1, Class B                           | CUSIP: 78437XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    940742 | PA      | $941694.83    | 0.05%             | 2031-03-17      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417NCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295207 | PA      | $300683.59    | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11168000 | PA      | $11064608.78  | 0.56%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2059490 | PA      | $1930902.98   | 0.10%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2013-6, Class GI                                                   | CUSIP: 38378FJG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3541776 | PA      | $530942.61    | 0.03%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2017-30, Class VH                                                  | CUSIP: 3136AWQJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    686338 | PA      | $671389.23    | 0.03%             | 2030-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-46, Class AM                                                  | CUSIP: 3136BSJF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3241781 | PA      | $3265080.75   | 0.17%             | 2054-07-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25891517 | PA      | $20655515.67  | 1.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2022-29, Class MG                                                  | CUSIP: 3136BM3G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497580 | PA      | $500756.72    | 0.03%             | 2042-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133A62T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90228 | PA      | $80177.82     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    583359 | PA      | $582836.09    | 0.03%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CYR59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1981831 | PA      | $1956467.87   | 0.10%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1713948 | PA      | $1661730.43   | 0.08%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    980507 | PA      | $954816.65    | 0.05%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1338055 | PA      | $1126205.55   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3952704 | PA      | $3340812.62   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152853 | PA      | $158318.78    | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418FAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25440 | PA      | $25120.95     | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QN6Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    833676 | PA      | $724138.24    | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    174489 | PA      | $170343.61    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AD2W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141942 | PA      | $1150021.22   | 0.06%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XL6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    724982 | PA      | $602221.20    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K068, Class X1   | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  77119546 | PA      | $528924.40    | 0.03%             | 2027-08-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31413ECR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90294 | PA      | $95107.05     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3642919 | PA      | $3106661.37   | 0.16%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31407QRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75686 | PA      | $78212.47     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82299 | PA      | $68946.58     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31415PNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36145 | PA      | $37427.97     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720456 | PA      | $699863.59    | 0.04%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128LXMK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38060 | PA      | $39541.89     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-168, Class XAM | CUSIP: 3137HJ6F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 119066272 | PA      | $1099600.84   | 0.06%             | 2035-01-25      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5018244 | PA      | $5053750.44   | 0.26%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BUZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29461 | PA      | $29142.91     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3180167 | PA      | $2787157.90   | 0.14%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B27, Class XA                             | CUSIP: 08163HAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32688454 | PA      | $1670824.58   | 0.08%             | 2054-07-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243233 | PA      | $234486.00    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3811122 | PA      | $3221172.75   | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-44, Class IK                                                  | CUSIP: 3136A5C38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77670 | PA      | $2888.43      | 0.00%             | 2031-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140HHFV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116425 | PA      | $112884.00    | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140B9BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1113434 | PA      | $1071467.44   | 0.05%             | 2055-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248977 | PA      | $188067.28    | 0.01%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133WEUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    358497 | PA      | $366516.93    | 0.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DM2M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32259 | PA      | $27131.24     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375092 | PA      | $1373859.84   | 0.07%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1064322 | PA      | $994043.16    | 0.05%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-83, Class FA                                                  | CUSIP: 3136BTME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3536669 | PA      | $3540140.79   | 0.18%             | 2054-10-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397063 | PA      | $362909.52    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EPC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32210 | PA      | $31913.91     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1766689 | PA      | $1661690.19   | 0.08%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-58, Class FM                                                  | CUSIP: 3136A6JP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2361406 | PA      | $2343333.59   | 0.12%             | 2042-06-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2025-H05, Class BF                                                 | CUSIP: 38384LAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3925448 | PA      | $3893580.91   | 0.20%             | 2074-11-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                       | Benchmark Mortgage Trust, Series 2021-B28, Class XA                             | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39137909 | PA      | $2030243.82   | 0.10%             | 2054-08-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810968 | PA      | $690006.93    | 0.03%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K126, Class XAM  | CUSIP: 3137FXYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  70182335 | PA      | $1823449.36   | 0.09%             | 2031-01-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5500, Class KF                                                    | CUSIP: 3137HJBF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9185004 | PA      | $9219608.81   | 0.47%             | 2054-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                           | BBCMS Mortgage Trust, Series 2021-C9, Class XA                                  | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13450477 | PA      | $884164.39    | 0.04%             | 2054-02-15      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-82, Class FD                                                  | CUSIP: 3136AUAU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5840317 | PA      | $5795544.08   | 0.29%             | 2046-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116339 | PA      | $119487.26    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1902284 | PA      | $1536139.41   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KREF Ltd.                                      | KREF Ltd., Series 2021-FL2, Class AS                                            | CUSIP: 48275RAC1<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    759000 | PA      | $754414.88    | 0.04%             | 2039-02-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69755 | PA      | $71281.73     | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810FA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2309000 | PA      | $2429140.16   | 0.12%             | 2027-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240547 | PA      | $237587.79    | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11425300 | PA      | $9872619.55   | 0.50%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133CUD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    671026 | PA      | $662231.02    | 0.03%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171072 | PA      | $171161.71    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K-165, Class XAM | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9883118 | PA      | $685742.12    | 0.03%             | 2034-09-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179UGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104817 | PA      | $94139.18     | 0.00%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QL7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874054 | PA      | $726050.74    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2012-23, Class CE                                                  | CUSIP: 3136A4ES4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284014 | PA      | $1321135.80   | 0.07%             | 2042-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417MLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81203 | PA      | $82369.60     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559198 | PA      | $543386.74    | 0.03%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140XHKP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16413 | PA      | $16511.43     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWGG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1692477 | PA      | $1671003.70   | 0.08%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82523 | PA      | $77405.11     | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140N0CA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1556617 | PA      | $1572177.40   | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343403 | PA      | $321535.40    | 0.02%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Conservation Fund A Nonprofit Corp. (The)      | Conservation Fund A Nonprofit Corp. (The), Series 2019                          | CUSIP: 20848FAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2018000 | PA      | $1903226.25   | 0.10%             | 2029-12-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2013-81, Class KA                                                  | CUSIP: 3136AFC51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    878082 | PA      | $848970.80    | 0.04%             | 2042-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419HBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82161 | PA      | $83678.21     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19515500 | PA      | $18681517.21  | 0.95%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    845148 | PA      | $807638.50    | 0.04%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133298 | PA      | $136647.82    | 0.01%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 21H060697<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30875000 | PA      | $31487169.74  | 1.59%             | 2055-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140LYSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135824 | PA      | $112825.24    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1770463 | PA      | $1650397.24   | 0.08%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2011-69, Class SE                                                  | CUSIP: 38377VG83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2713228 | PA      | $244211.13    | 0.01%             | 2041-05-20      | Floating      | 0.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2016-30, Class PA                                                  | CUSIP: 3136AR2J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702434 | PA      | $670034.60    | 0.03%             | 2045-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5502, Class FD                                                    | CUSIP: 3137HJSW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4283193 | PA      | $4353468.69   | 0.22%             | 2055-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2009-121, Class MI                                                 | CUSIP: 38375AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    452872 | PA      | $70860.84     | 0.00%             | 2039-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KGJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    536449 | PA      | $455098.22    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  51200000 | PA      | $137279.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406LYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11253 | PA      | $11469.34     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K111, Class XAM  | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26880424 | PA      | $1999976.12   | 0.10%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2025-7, Class FE                                                   | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9313700 | PA      | $9360001.94   | 0.47%             | 2055-02-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2015-87, Class BF                                                  | CUSIP: 3136AQWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    561800 | PA      | $555072.80    | 0.03%             | 2045-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20I, Class 1           | CUSIP: 83162CVU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    215573 | PA      | $210768.48    | 0.01%             | 2033-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class XAM  | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  48419608 | PA      | $2123853.48   | 0.11%             | 2031-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3306787 | PA      | $3212138.17   | 0.16%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K107, Class X1   | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19289069 | PA      | $1119736.24   | 0.06%             | 2030-01-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4861620 | PA      | $4175178.32   | 0.21%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56563 | PA      | $56371.00     | 0.00%             | 2033-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31412QF95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50623 | PA      | $51556.87     | 0.00%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417N4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171972 | PA      | $175145.52    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417AVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151589 | PA      | $142610.40    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31292LLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1065629 | PA      | $1004195.88   | 0.05%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2024-51, Class CF                                                  | CUSIP: 38384KSF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1148429 | PA      | $1154942.48   | 0.06%             | 2064-03-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406B2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102223 | PA      | $104590.17    | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31389QN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68822 | PA      | $71485.97     | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2018-H07, Class FL                                                 | CUSIP: 38380LCL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5872135 | PA      | $5900441.67   | 0.30%             | 2068-05-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DMYS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    190010 | PA      | $143692.02    | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 31427NMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2486434 | PA      | $2587473.94   | 0.13%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K074, Class X1   | CUSIP: 3137F4D66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 137130128 | PA      | $892621.14    | 0.05%             | 2028-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323287 | PA      | $244078.72    | 0.01%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36177PCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    368871 | PA      | $345543.86    | 0.02%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31404JT88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78593 | PA      | $79751.17     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 31335B7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1037426 | PA      | $1061603.07   | 0.05%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810EW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5933000 | PA      | $5983754.98   | 0.30%             | 2026-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Bonds                                                             | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36531000 | PA      | $35988742.97  | 1.82%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust       | AmeriCredit Automobile Receivables Trust, Series 2024-1, Class A2B              | CUSIP: 023947AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1741757 | PA      | $1742325.03   | 0.09%             | 2028-02-18      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416370 | PA      | $389857.69    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36202EDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44778 | PA      | $46219.15     | 0.00%             | 2035-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X6EF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    867782 | PA      | $900595.87    | 0.05%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                            | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  56427000 | PA      | $60909.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133C4BS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119768 | PA      | $122442.41    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030343 | PA      | $1004193.06   | 0.05%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128K8GJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44377 | PA      | $45357.44     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36179UH21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94455 | PA      | $84605.77     | 0.00%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140B5RA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148807 | PA      | $143200.28    | 0.01%             | 2055-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | FNMA, Series 2024-99, Class FE                                                  | CUSIP: 3136BUMM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8173172 | PA      | $8259044.81   | 0.42%             | 2055-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140A1FR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271937 | PA      | $278073.17    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1271345 | PA      | $1072600.13   | 0.05%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1649912 | PA      | $1600713.25   | 0.08%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3128M5M56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88784 | PA      | $92240.53     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA                                                                            | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321365 | PA      | $314806.77    | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300816 | PA      | $227233.02    | 0.01%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133A67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1084767 | PA      | $957309.60    | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3011529 | PA      | $2613630.75   | 0.13%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 4474, Class HJ                                                    | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206552 | PA      | $198345.72    | 0.01%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140AQYG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    577161 | PA      | $569792.65    | 0.03%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust            | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class XA                   | CUSIP: 17328CAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21236247 | PA      | $643320.25    | 0.03%             | 2072-12-15      | Variable      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K741, Class A2   | CUSIP: 3137FF3X3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8595852 | PA      | $8165986.34   | 0.41%             | 2027-12-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31371KN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3441 | PA      | $3581.25      | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K133, Class XAM  | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50814178 | PA      | $1453437.93   | 0.07%             | 2031-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1418842 | PA      | $1379105.61   | 0.07%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4703100 | PA      | $4082557.50   | 0.21%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8613 | PA      | $8888.33      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                       | U.S. Treasury Notes                                                             | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27900000 | PA      | $27886921.88  | 1.41%             | 2029-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC                                                                           | CUSIP: 3132GLGN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176575 | PA      | $166798.13    | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust    | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class B           | CUSIP: 55282XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4881500 | PA      | $4881343.79   | 0.25%             | 2036-07-15      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                     | Verus Securitization Trust, Series 2024-1, Class A2                             | CUSIP: 92540EAB9<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |   1089770 | PA      | $1096960.59   | 0.06%             | 2069-01-25      | Variable      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                 | Morgan Stanley Capital I Trust, Series 2021-L7, Class XA                        | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  79496571 | PA      | $3329189.19   | 0.17%             | 2054-10-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| BANK                                           | BANK, Series 2021-BN31, Class XA                                                | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32529736 | PA      | $1760740.26   | 0.09%             | 2054-02-15      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140NPQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200544 | PA      | $205640.05    | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530606 | PA      | $442474.50    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387135 | PA      | $376471.50    | 0.02%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                           | GNMA, Series 2016-H22, Class FA                                                 | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3102663 | PA      | $3108725.31   | 0.16%             | 2066-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust              | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2                     | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    852565 | PA      | $858464.78    | 0.04%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| United States Small Business Administration    | United States Small Business Administration, Series 2013-20H, Class 1           | CUSIP: 83162CVS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    269856 | PA      | $259207.58    | 0.01%             | 2033-08-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC Multifamily Structured Pass-Through Certificates, Series K124, Class XAM  | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14681587 | PA      | $645675.64    | 0.03%             | 2031-01-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 3140KG3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1110313 | PA      | $946198.08    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23565 | PA      | $19714.87     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                          | FHLMC, Series 5566, Class HC                                                    | CUSIP: 3137HMJJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    604207 | PA      | $606195.60    | 0.03%             | 2055-08-25      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                     | UMBS                                                                            | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3797705 | PA      | $3154642.83   | 0.16%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31406PDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117972 | PA      | $121998.21    | 0.01%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                           | UMBS                                                                            | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    783118 | PA      | $653832.93    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer