# EDGAR Filing Document

**Accession Number:** 0000356349
**File Stem:** 0001752724-25-178387
**Filing Date:** 2025-7
**Character Count:** 399496
**Document Hash:** 96ed02f9679d3c629a78adac8aa36d06
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-178387.hdr.sgml**: 20250725

**ACCESSION NUMBER**: 0001752724-25-178387

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250725

**DATE AS OF CHANGE**: 20250725

**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:** 251150298

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

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

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

![](imgf3a68c221.gif)

### Quarterly Report
May 31, 2025

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

![](img926af71a2.gif)

MFG-Q1

------

### Portfolio of Investments
5/31/25 (unaudited)

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

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – 98.6% | Bonds – 98.6% | Bonds – 98.6% |
| Asset-Backed & Securitized – 8.1% | Asset-Backed & Securitized – 8.1% | Asset-Backed & Securitized – 8.1% |
| 3650R Commercial Mortgage Trust, 2021-PF1, "XA", 1%, 11/15/2054 (i) | $21542304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$846828 |
| ACREC 2021-FL1 Ltd., "AS", FLR, 5.943% ((SOFR - 1mo. + 0.11448%) + 1.5%), 10/16/2036 (n) | &nbsp;&nbsp;7778000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7750115 |
| ACREC 2023-FL2 LLC, "A", FLR, 6.559% (SOFR - 1mo. + 2.23%), 2/19/2038 (n) | &nbsp;&nbsp;4606627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4612377 |
| Alinea CLO Ltd., 2018-1A, "AR", FLR, 5.169% (SOFR - 3mo. + 0.9%), 7/20/2031 (n) | &nbsp;&nbsp;3421955 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3419617 |
| American Credit Acceptance Receivables Trust, 2024-2, "A", 5.9%, 2/12/2027 (n) | &nbsp;&nbsp;&nbsp;&nbsp;723004 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;723633 |
| AmeriCredit Automobile Receivables Trust, 2024-1, "A2-B", FLR, 4.928% (SOFR - 1mo. + 0.6%), 2/18/2028 | &nbsp;&nbsp;3181989 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3180876 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, "AS", FLR, 5.843% ((SOFR - 1mo. + 0.11448%) + 1.4%), 8/15/2034 (n) | &nbsp;&nbsp;6638000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6623562 |
| AREIT 2022-CRE6 Trust, "AS", FLR, 5.978% (SOFR - 30 day + 1.65%), 1/20/2037 (n) | &nbsp;&nbsp;7155500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7131110 |
| ARI Fleet Lease Trust, 2023-B, "A2", 6.05%, 7/15/2032 (n) | &nbsp;&nbsp;1081337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1089451 |
| BBCMS Mortgage Trust, 2021-C10, "XA", 1.207%, 7/15/2054 (i) | 19636139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1053351 |
| BBCMS Mortgage Trust, 2021-C9, "XA", 1.578%, 2/15/2054 (i) | 13493630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;922062 |
| BBCMS Mortgage Trust, 2022-C18, "XA", 0.464%, 12/15/2055 (i) | 22898404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;779347 |
| BDS 2024-FL13 Ltd., "A", FLR, 5.903% (SOFR - 1mo. + 1.5762%), 9/19/2039 (n) | &nbsp;&nbsp;1558000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1548727 |
| Benchmark 2021-B23 Mortgage Trust, "XA", 1.255%, 2/15/2054 (i) | 43316439 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2195897 |
| Benchmark 2021-B24 Mortgage Trust, "XA", 1.135%, 3/15/2054 (i) | 26131161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1122302 |
| Benchmark 2021-B26 Mortgage Trust, "XA", 0.881%, 6/15/2054 (i) | 38063916 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1337581 |
| Benchmark 2021-B27 Mortgage Trust, "XA", 1.234%, 7/15/2054 (i) | 32736201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1741461 |
| Benchmark 2021-B28 Mortgage Trust, "XA", 1.256%, 8/15/2054 (i) | 39581480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2145391 |
| Benchmark 2021-B29 Mortgage Trust, "XA", 1.018%, 9/15/2054 (i) | 44840690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1754015 |
| Bridgecrest Lending Auto Securitization Trust, 2024-2, "A2", 5.78%, 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;97563 |
| Bridgecrest Lending Auto Securitization Trust, 2025-1, "A2", 4.71%, 9/15/2027 | &nbsp;&nbsp;3656000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3654582 |
| BSPDF 2021-FL1 Issuer Ltd., "AS", FLR, 5.923% ((SOFR - 1mo. + 0.11448%) + 1.48%), 10/15/2036 (n) | &nbsp;&nbsp;1841419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1834110 |
| Business Jet Securities LLC, 2024-1A, "A", 6.197%, 5/15/2039 (n) | &nbsp;&nbsp;1270240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1290456 |
| BXMT 2021-FL4 Ltd., "AS", FLR, 5.743% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | &nbsp;&nbsp;7779500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7601920 |
| Chesapeake Funding II LLC, 2023-2A, "A2", FLR, 5.432% (SOFR - 30 day + 1.1%), 10/15/2035 (n) | &nbsp;&nbsp;2061696 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2070174 |
| Citigroup Commercial Mortgage Trust, 2019-XA, "C7", 0.818%, 12/15/2072 (i)(n) | 21295260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;685190 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN31, "XA", 1.281%, 2/15/2054 (i) | 32664402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1840678 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, "XA", 0.763%, 4/15/2054 (i) | 18875143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;597946 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN35, "XA", 1.03%, 6/15/2064 (i) | 13174386 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;593518 |
| Commercial Mortgage Pass-Through Certificates, 2024-CBM, "A2", 5.867%, 12/10/2041 (n) | &nbsp;&nbsp;1395974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1410596 |
| Enterprise Fleet Financing 2025-1 LLC, "A2", 4.65%, 10/20/2027 (n) | &nbsp;&nbsp;1207000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1207814 |
| EQT Trust, 2024-EXTR, "B", 5.655%, 7/05/2041 (n) | &nbsp;&nbsp;1503054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1516150 |
| GLS Auto Select Receivables Trust, 2023-2A, 6.37%, 6/15/2028 (n) | &nbsp;&nbsp;1192653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1202198 |
| GLS Auto Select Receivables Trust, 2024-2A, "A-2", 5.77%, 6/15/2027 (n) | &nbsp;&nbsp;1598152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1600893 |
| KREF 2018-FT1 Ltd., "AS", FLR, 5.743% ((SOFR - 1mo. + 0.11448%) + 1.3%), 2/15/2039 (n) | &nbsp;&nbsp;&nbsp;&nbsp;759000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;753560 |
| LAD Auto Receivables Trust, 2022-1A, "A", 5.21%, 6/15/2027 (n) | &nbsp;&nbsp;&nbsp;&nbsp;113918 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114007 |
| LAD Auto Receivables Trust, 2025-1A, "A2", 4.6%, 12/15/2027 (n) | &nbsp;&nbsp;3919000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3915061 |
| LoanCore 2021-CRE5 Ltd., "AS", FLR, 6.193% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | &nbsp;&nbsp;6508500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6503183 |
| LoanCore 2021-CRE6 Ltd., "AS", FLR, 6.093% ((SOFR - 1mo. + 0.11448%) + 1.65%), 11/15/2038 (n) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9930860 |
| M&T Bank Auto Receivables Trust, 2025-1, "A-2A", 4.63%, 5/15/2028 (n) | &nbsp;&nbsp;2528000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2526364 |
| MF1 2021-FL5 Ltd., "AS", FLR, 5.643% ((SOFR - 1mo. + 0.11448%) + 1.2%), 7/15/2036 (n) | &nbsp;&nbsp;3682631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3669156 |
| MF1 2021-FL5 Ltd., "B", FLR, 5.893% ((SOFR - 1mo. + 0.11448%) + 1.45%), 7/15/2036 (n) | &nbsp;&nbsp;4881500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4817148 |
| MF1 2021-FL7 Ltd., "A", FLR, 5.521% ((SOFR - 1mo. + 0.11448%) + 1.08%), 10/16/2036 (n) | &nbsp;&nbsp;4523715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4518829 |
| Morgan Stanley Capital I Trust, 2018-H4, "XA", 0.8%, 12/15/2051 (i) | 21806426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;519405 |
| Morgan Stanley Capital I Trust, 2021-L5, "XA", 1.277%, 5/15/2054 (i) | 16624648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;831766 |
| Morgan Stanley Capital I Trust, 2021-L6, "XA", 1.172%, 6/15/2054 (i) | 19729729 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;868256 |
| Morgan Stanley Capital I Trust, 2021-L7, "XA", 1.079%, 10/15/2054 (i) | 79655789 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3488860 |
| Morgan Stanley Residential Mortgage Loan Trust, 2024-NQM1, "A-1", 6.152%, 12/25/2068 (n) | &nbsp;&nbsp;4560649 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4585524 |
| Morgan Stanley Residential Mortgage Loan Trust, 2024-NQM3, "A-1", 5.044%, 7/25/2069 (n) | &nbsp;&nbsp;1809781 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1796000 |
| Morgan Stanley Residential Mortgage Loan Trust, 2025-NQM3, "A-1", 5.53%, 5/25/2070 (n) | &nbsp;&nbsp;2809920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2812869 |
| Navistar Financial Dealer Note Master Owner Trust, 2023-1, "A", 6.18%, 8/25/2028 (n) | &nbsp;&nbsp;1299000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1303148 |
| Navistar Financial Dealer Note Master Owner Trust, 2023-1, "B", 6.48%, 8/25/2028 (n) | &nbsp;&nbsp;1379000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1383658 |
| OBX Trust, 2024-NQM1, "A2", 6.253%, 11/25/2063 (n) | &nbsp;&nbsp;&nbsp;&nbsp;511283 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;514481 |
| OBX Trust, 2025-NQM8, "A1", 5.472%, 3/25/2065 (n) | &nbsp;&nbsp;2517310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2521182 |
| PFS Financing Corp., 2023-C, "B", 5.91%, 10/15/2028 (n) | &nbsp;&nbsp;1302000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1315637 |
| PFS Financing Corp., 2025-A, "A", FLR, 4.982% (SOFR - 1mo. + 0.65%), 1/15/2029 (n) | &nbsp;&nbsp;4611000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4607356 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued |
| Provident Funding Mortgage Trust, 2024-1, "A3", 5.5%, 12/25/2054 (n) | $&nbsp;&nbsp;&nbsp;&nbsp;2877237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2864338 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "A", FLR, 5.639% ((SOFR - 1mo. + 0.11448%) + 1.2%), 11/25/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;1547168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1545944 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "AS", FLR, 5.939% ((SOFR - 1mo. + 0.11448%) + 1.5%), 11/25/2036 (n) | &nbsp;&nbsp;&nbsp;&nbsp;1261500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1260757 |
| Verus Securitization Trust, 2024-1, "A2", 5.915%, 1/25/2069 (n) | &nbsp;&nbsp;&nbsp;&nbsp;1193239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1195127 |
| Verus Securitization Trust, 2024-4, "A1", 6.218%, 6/25/2069 (n) | &nbsp;&nbsp;&nbsp;&nbsp;2336380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2354025 |
| Wells Fargo Commercial Mortgage Trust, 2018-C48, "XA", 0.931%, 1/15/2052 (i)(n) | &nbsp;&nbsp;12232852 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;318191 |
| Wells Fargo Commercial Mortgage Trust, 2021-C60, "XA", 1.493%, 8/15/2054 (i) | &nbsp;&nbsp;20214852 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1335537 |
| Westlake Automobile Receivables Trust, 2024-1A, "A2B", FLR, 4.901% (SOFR - 1mo. + 0.57%), 3/15/2027 (n) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;910795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;910965 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$152262685 |
| Consumer Services – 0.1% | Consumer Services – 0.1% | Consumer Services – 0.1% |
| Conservation Fund, 3.474%, 12/15/2029 | $&nbsp;&nbsp;&nbsp;&nbsp;2018000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1892667 |
| Industrial – 0.0% | Industrial – 0.0% | Industrial – 0.0% |
| Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;688000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$680857 |
| Mortgage-Backed – 62.0% | Mortgage-Backed – 62.0% |  |
| Fannie Mae, 2.908%, 7/25/2027 | $&nbsp;&nbsp;10366665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$10102921 |
| Fannie Mae, 3%, 11/01/2028 - 9/01/2046 | &nbsp;&nbsp;42303733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;40366514 |
| Fannie Mae, 3.5%, 1/25/2030 - 6/25/2048 | &nbsp;&nbsp;28800319 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26410152 |
| Fannie Mae, 2.5%, 11/01/2031 - 10/01/2046 | &nbsp;&nbsp;&nbsp;&nbsp;4323294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3993729 |
| Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;843098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63190 |
| Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;475580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;495792 |
| Fannie Mae, 6%, 1/01/2033 - 12/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;1202701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1237891 |
| Fannie Mae, 3%, 2/25/2033 - 1/25/2052 (i) | &nbsp;&nbsp;&nbsp;&nbsp;1466829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;144421 |
| Fannie Mae, 5.5%, 5/01/2033 - 5/01/2044 | &nbsp;&nbsp;&nbsp;&nbsp;5715624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5824301 |
| Fannie Mae, 5%, 11/01/2033 - 3/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;6964212 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6988986 |
| Fannie Mae, 4.5%, 3/01/2034 - 6/01/2044 | &nbsp;&nbsp;14457283 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14198057 |
| Fannie Mae, 4.886%, 4/25/2034 - 11/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp;6215061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6135512 |
| Fannie Mae, 4.726%, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43171 |
| Fannie Mae, 4%, 9/01/2040 - 7/01/2047 | &nbsp;&nbsp;28365692 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26923693 |
| Fannie Mae, 1%, 3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;1481177 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1291153 |
| Fannie Mae, 4.786%, 3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;374456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;372423 |
| Fannie Mae, 2.25%, 4/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;1383582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1318901 |
| Fannie Mae, 4.936%, 7/25/2041 - 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp;4621537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4524227 |
| Fannie Mae, 1.75%, 9/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;1070829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1020751 |
| Fannie Mae, 2.75%, 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;946226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;909679 |
| Fannie Mae, 2%, 8/25/2044 - 4/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp;1977298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1829315 |
| Fannie Mae, 4.736%, 12/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;586720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;576664 |
| Fannie Mae, 1.563%, 9/25/2046 (i) | &nbsp;&nbsp;&nbsp;&nbsp;1715131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;178455 |
| Fannie Mae, 4%, 9/25/2050 (i) | &nbsp;&nbsp;&nbsp;&nbsp;2958188 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;586475 |
| Fannie Mae, 5.121%, 10/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp;7710762 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7460800 |
| Fannie Mae, 5.772%, 11/25/2053 - 1/25/2055 | &nbsp;&nbsp;13074511 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13094013 |
| Fannie Mae, 5.222%, 12/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp;5810796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5804524 |
| Fannie Mae, 5.472%, 6/25/2054 - 2/25/2055 | &nbsp;&nbsp;17355023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17316866 |
| Fannie Mae, 7.322%, 7/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp;3375471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3385951 |
| Fannie Mae, 5.172%, 1/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;4221163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4208127 |
| Fannie Mae, 6.762%, 3/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;4705530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4663200 |
| Fannie Mae, UMBS, 2.5%, 5/01/2036 - 8/01/2052 | 107991727 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;89670736 |
| Fannie Mae, UMBS, 5.5%, 10/01/2038 - 8/01/2054 | &nbsp;&nbsp;25542156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25339533 |
| Fannie Mae, UMBS, 1.5%, 2/01/2042 - 3/01/2051 | &nbsp;&nbsp;&nbsp;&nbsp;1391660 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1057986 |
| Fannie Mae, UMBS, 2%, 2/01/2042 - 3/01/2052 | &nbsp;&nbsp;60702001 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48600175 |
| Fannie Mae, UMBS, 3.5%, 5/01/2049 - 2/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;1983007 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1786339 |
| Fannie Mae, UMBS, 3%, 6/01/2051 - 8/01/2052 | &nbsp;&nbsp;20655004 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17714644 |
| Fannie Mae, UMBS, 4%, 8/01/2051 - 2/01/2053 | &nbsp;&nbsp;&nbsp;&nbsp;5552896 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5156280 |
| Fannie Mae, UMBS, 4.5%, 9/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;1779419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1690846 |
| Fannie Mae, UMBS, 5%, 9/01/2052 - 11/01/2054 | &nbsp;&nbsp;&nbsp;&nbsp;1733761 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1679924 |
| Fannie Mae, UMBS, 6%, 6/01/2053 - 10/01/2054 | &nbsp;&nbsp;16600899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16783189 |
| Freddie Mac, 4%, 7/01/2025 - 1/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp;5895111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5730805 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Freddie Mac, 4.5%, 7/01/2025 - 5/01/2042 | $&nbsp;&nbsp;&nbsp;&nbsp;4440655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4396415 |
| Freddie Mac, 3.75%, 8/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1716522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1710131 |
| Freddie Mac, 3.5%, 11/15/2025 - 10/25/2058 | &nbsp;&nbsp;28148179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26544563 |
| Freddie Mac, 2.745%, 1/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp;3355892 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3315413 |
| Freddie Mac, 3.208%, 2/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp;1888953 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1873177 |
| Freddie Mac, 2.57%, 7/25/2026 | &nbsp;&nbsp;31378495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30793129 |
| Freddie Mac, 3.12%, 9/25/2026 | &nbsp;&nbsp;12661384 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12453759 |
| Freddie Mac, 2.525%, 10/25/2026 | &nbsp;&nbsp;10822583 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10563723 |
| Freddie Mac, 2.797%, 12/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp;1122311 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1108761 |
| Freddie Mac, 3.413%, 12/25/2026 | &nbsp;&nbsp;16700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16454804 |
| Freddie Mac, 1.373%, 3/25/2027 (i) | &nbsp;&nbsp;&nbsp;&nbsp;5583000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;123506 |
| Freddie Mac, 3.243%, 4/25/2027 | &nbsp;&nbsp;10090226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9898586 |
| Freddie Mac, 3.117%, 6/25/2027 | &nbsp;&nbsp;20616052 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20176573 |
| Freddie Mac, 0.563%, 7/25/2027 (i) | &nbsp;&nbsp;99980789 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;993509 |
| Freddie Mac, 0.408%, 8/25/2027 (i) | &nbsp;&nbsp;77572389 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;615808 |
| Freddie Mac, 1.47%, 9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;4600000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4325939 |
| Freddie Mac, 3.286%, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;6876682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6723585 |
| Freddie Mac, 0.362%, 12/25/2027 (i) | &nbsp;&nbsp;&nbsp;&nbsp;1346191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10893 |
| Freddie Mac, 1.603%, 12/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp;8595852 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8065393 |
| Freddie Mac, 0.294%, 1/25/2028 (i) | 137852173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1006665 |
| Freddie Mac, 0.299%, 1/25/2028 (i) | &nbsp;&nbsp;57691720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;426498 |
| Freddie Mac, 0.129%, 2/25/2028 (i) | 166625635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;619981 |
| Freddie Mac, 0.115%, 4/25/2028 (i) | 109560122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;421763 |
| Freddie Mac, 3.9%, 4/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp;1867674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1850557 |
| Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | &nbsp;&nbsp;24603983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22724182 |
| Freddie Mac, 0.425%, 10/25/2028 (i) | &nbsp;&nbsp;39461071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;553876 |
| Freddie Mac, 0.443%, 5/25/2029 (i) | &nbsp;&nbsp;58815424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;988540 |
| Freddie Mac, 0.816%, 7/25/2029 (i) | &nbsp;&nbsp;31354116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;988470 |
| Freddie Mac, 1.085%, 7/25/2029 (i) | &nbsp;&nbsp;18907077 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;713837 |
| Freddie Mac, 1.137%, 8/25/2029 (i) | &nbsp;&nbsp;33175464 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1342774 |
| Freddie Mac, 0.571%, 1/25/2030 (i) | &nbsp;&nbsp;19154523 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;465974 |
| Freddie Mac, 1.316%, 1/25/2030 (i) | &nbsp;&nbsp;26454280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1361655 |
| Freddie Mac, 1.587%, 1/25/2030 (i) | &nbsp;&nbsp;19346318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1175654 |
| Freddie Mac, 1.797%, 4/25/2030 (i) | &nbsp;&nbsp;14430646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1091615 |
| Freddie Mac, 1.838%, 4/25/2030 (i) | &nbsp;&nbsp;20077463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1553078 |
| Freddie Mac, 1.665%, 5/25/2030 (i) | &nbsp;&nbsp;12033779 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;873132 |
| Freddie Mac, 1.798%, 5/25/2030 (i) | &nbsp;&nbsp;26880424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2090485 |
| Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | &nbsp;&nbsp;&nbsp;&nbsp;2489149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2540641 |
| Freddie Mac, 1.113%, 6/25/2030 (i) | &nbsp;&nbsp;19932253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;928400 |
| Freddie Mac, 1.341%, 6/25/2030 (i) | &nbsp;&nbsp;11124134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;657297 |
| Freddie Mac, 1.375%, 6/25/2030 (i) | &nbsp;&nbsp;29439894 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1640747 |
| Freddie Mac, 1.597%, 8/25/2030 (i) | &nbsp;&nbsp;10235210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;736341 |
| Freddie Mac, 1.168%, 9/25/2030 (i) | &nbsp;&nbsp;&nbsp;&nbsp;6568138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;352571 |
| Freddie Mac, 1.08%, 11/25/2030 (i) | &nbsp;&nbsp;13158725 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;672769 |
| Freddie Mac, 0.322%, 1/25/2031 (i) | &nbsp;&nbsp;49831338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;702432 |
| Freddie Mac, 0.536%, 1/25/2031 - 9/25/2031 (i) | 120996513 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3379040 |
| Freddie Mac, 0.78%, 1/25/2031 (i) | &nbsp;&nbsp;19512958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750425 |
| Freddie Mac, 0.935%, 1/25/2031 (i) | &nbsp;&nbsp;14681587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;668341 |
| Freddie Mac, 0.355%, 2/25/2031 (i) | &nbsp;&nbsp;18431877 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;398082 |
| Freddie Mac, 0.511%, 3/25/2031 (i) | &nbsp;&nbsp;40043489 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;954925 |
| Freddie Mac, 0.731%, 3/25/2031 (i) | &nbsp;&nbsp;17260719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;647115 |
| Freddie Mac, 1.214%, 5/25/2031 - 7/25/2031 (i) | &nbsp;&nbsp;29681096 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1874849 |
| Freddie Mac, 0.938%, 7/25/2031 (i) | &nbsp;&nbsp;11674001 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;584787 |
| Freddie Mac, 0.507%, 8/25/2031 (i) | &nbsp;&nbsp;14870513 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;387356 |
| Freddie Mac, 0.855%, 9/25/2031 (i) | &nbsp;&nbsp;48419608 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2179768 |
| Freddie Mac, 0.349%, 11/25/2031 (i) | &nbsp;&nbsp;73361326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1467028 |
| Freddie Mac, 0.496%, 12/25/2031 (i) | &nbsp;&nbsp;73957916 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2035448 |
| Freddie Mac, 0.567%, 12/25/2031 (i) | &nbsp;&nbsp;12187459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;372312 |
| Freddie Mac, 0.766%, 2/25/2032 (i) | &nbsp;&nbsp;49680895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2160175 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Freddie Mac, 0.32%, 6/25/2032 (i) | $116203070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2420463 |
| Freddie Mac, 4.897%, 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38066 |
| Freddie Mac, 0.154%, 11/25/2032 (i) | &nbsp;&nbsp;74026378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;976645 |
| Freddie Mac, 0.266%, 5/25/2033 (i) | &nbsp;&nbsp;64115960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1365433 |
| Freddie Mac, 0.128%, 8/25/2033 (i) | &nbsp;&nbsp;78666400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1007260 |
| Freddie Mac, 0.176%, 10/25/2033 (i) | &nbsp;&nbsp;75772703 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1286105 |
| Freddie Mac, 5%, 5/01/2034 - 12/01/2054 | &nbsp;&nbsp;13169318 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13034104 |
| Freddie Mac, 6%, 8/01/2034 - 10/01/2038 | &nbsp;&nbsp;&nbsp;&nbsp;2394647 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2498270 |
| Freddie Mac, 0.905%, 9/25/2034 (i) | &nbsp;&nbsp;&nbsp;&nbsp;9883118 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;689963 |
| Freddie Mac, 0.055%, 1/25/2035 (i) | 119066272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1121414 |
| Freddie Mac, 0.247%, 1/25/2035 (i) | &nbsp;&nbsp;47468092 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1129954 |
| Freddie Mac, 5.5%, 2/15/2036 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;263115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42512 |
| Freddie Mac, 6.5%, 5/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;82010 |
| Freddie Mac, 4.5%, 12/15/2040 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42979 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3980 |
| Freddie Mac, 1.75%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;784993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;740086 |
| Freddie Mac, 4.847%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;345535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;340311 |
| Freddie Mac, 2.5%, 3/25/2051 (i) | &nbsp;&nbsp;&nbsp;&nbsp;7820215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1276440 |
| Freddie Mac, 5.142%, 9/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp;4997472 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4877488 |
| Freddie Mac, 5.771%, 10/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;589533 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;597811 |
| Freddie Mac, 6.551%, 12/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp;4480475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4461237 |
| Freddie Mac, 5.222%, 10/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp;9503548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9488650 |
| Freddie Mac, 6.772%, 1/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;2469332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2456823 |
| Freddie Mac, 5.272%, 2/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;7765480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7761146 |
| Freddie Mac, 5.922%, 2/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp;4445723 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4469755 |
| Freddie Mac, 3.25%, 11/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp;4344726 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3945029 |
| Freddie Mac, UMBS, 2.5%, 3/01/2037 - 9/01/2052 | &nbsp;&nbsp;24571058 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20159365 |
| Freddie Mac, UMBS, 2%, 2/01/2042 - 3/01/2052 | &nbsp;&nbsp;17605059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14067046 |
| Freddie Mac, UMBS, 3.5%, 12/01/2046 - 5/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;3386552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3042183 |
| Freddie Mac, UMBS, 3%, 2/01/2050 - 8/01/2052 | &nbsp;&nbsp;29095033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24821152 |
| Freddie Mac, UMBS, 1.5%, 4/01/2051 - 11/01/2051 | &nbsp;&nbsp;&nbsp;&nbsp;5868854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4330718 |
| Freddie Mac, UMBS, 4%, 5/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;3987184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3684605 |
| Freddie Mac, UMBS, 5%, 11/01/2052 - 12/01/2054 | &nbsp;&nbsp;15121298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14662080 |
| Freddie Mac, UMBS, 5.5%, 12/01/2052 - 8/01/2054 | &nbsp;&nbsp;16847072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16704158 |
| Freddie Mac, UMBS, 6%, 2/01/2053 - 5/01/2054 | &nbsp;&nbsp;11305967 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11441342 |
| Freddie Mac, UMBS, 6.5%, 4/01/2054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;490519 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;506032 |
| Ginnie Mae, 3.5%, 8/20/2029 - 1/20/2043 (i) | &nbsp;&nbsp;&nbsp;&nbsp;5909505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;660590 |
| Ginnie Mae, 5.5%, 3/15/2033 - 10/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp;2673270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2683844 |
| Ginnie Mae, 4.5%, 7/20/2033 - 5/20/2054 | &nbsp;&nbsp;34545656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33174996 |
| Ginnie Mae, 5.657%, 8/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;724519 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;737368 |
| Ginnie Mae, 4%, 5/16/2039 - 7/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp;3469203 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3259009 |
| Ginnie Mae, 5%, 8/20/2039 - 5/20/2055 | &nbsp;&nbsp;22919582 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22301967 |
| Ginnie Mae, 4%, 12/20/2039 - 9/20/2047 (i) | &nbsp;&nbsp;&nbsp;&nbsp;1636900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;242822 |
| Ginnie Mae, 0.961%, 5/20/2041 (i) | &nbsp;&nbsp;&nbsp;&nbsp;2796263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;222513 |
| Ginnie Mae, 4.539%, 9/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp;7751237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7540836 |
| Ginnie Mae, 3.5%, 12/15/2041 - 5/20/2055 | &nbsp;&nbsp;18211909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16364318 |
| Ginnie Mae, 2.5%, 6/20/2042 - 5/20/2052 | &nbsp;&nbsp;22446018 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18818892 |
| Ginnie Mae, 3%, 2/20/2043 - 10/20/2052 | &nbsp;&nbsp;27446693 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24038503 |
| Ginnie Mae, 4.739%, 10/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp;7305481 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7069152 |
| Ginnie Mae, 4.889%, 7/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp;2843840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2776504 |
| Ginnie Mae, 1.711%, 4/20/2047 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;481516 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56614 |
| Ginnie Mae, 4.689%, 10/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;553008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;531979 |
| Ginnie Mae, 2%, 11/20/2050 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;190635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21453 |
| Ginnie Mae, 2.5%, 2/20/2051 (i) | &nbsp;&nbsp;&nbsp;&nbsp;2287869 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;278963 |
| Ginnie Mae, 2%, 1/20/2052 - 11/20/2052 | &nbsp;&nbsp;35294462 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28360038 |
| Ginnie Mae, 6%, 2/20/2054 - 11/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp;9900987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10122074 |
| Ginnie Mae, 5.378%, 10/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp;4335480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4295295 |
| Ginnie Mae, 5.478%, 3/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp;1359343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1363364 |
| Ginnie Mae, 5.113%, 7/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp;1082493 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1083924 |
| Ginnie Mae, 5.183%, 10/20/2066 | &nbsp;&nbsp;&nbsp;&nbsp;1370488 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1373588 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Ginnie Mae, 5.203%, 10/20/2066 | $&nbsp;&nbsp;3793912 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$3803434 |
| Ginnie Mae, 5.249%, 1/20/2067 | &nbsp;&nbsp;3217751 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3246962 |
| Ginnie Mae, 5.127%, 2/20/2067 | &nbsp;&nbsp;2107036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2124981 |
| Ginnie Mae, 5.174%, 3/20/2067 | &nbsp;&nbsp;4770671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4815050 |
| Ginnie Mae, 6.417%, 7/20/2067 | &nbsp;&nbsp;5726619 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5802594 |
| Ginnie Mae, 4.883%, 11/20/2067 | &nbsp;&nbsp;1791008 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1796914 |
| Ginnie Mae, 4.992%, 4/20/2068 | &nbsp;&nbsp;9153015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9222195 |
| Ginnie Mae, 5.425%, 5/20/2068 | &nbsp;&nbsp;6451540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6490752 |
| Ginnie Mae, 4.933%, 11/20/2068 - 3/20/2070 | &nbsp;&nbsp;7363769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7373150 |
| Ginnie Mae, 4.963%, 7/20/2070 | &nbsp;&nbsp;6591834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6554415 |
| Ginnie Mae, 4.728%, 12/20/2071 | &nbsp;&nbsp;3039960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3025085 |
| Ginnie Mae, 4.978%, 8/20/2074 - 1/20/2075 | 13463836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13453575 |
| Ginnie Mae, 4.328%, 11/20/2074 | &nbsp;&nbsp;4520098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4482287 |
| Ginnie Mae, 4.928%, 2/20/2075 | &nbsp;&nbsp;6842010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6805693 |
| Ginnie Mae, TBA, 5.5%, 6/15/2055 | &nbsp;&nbsp;7250000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7197607 |
| Ginnie Mae, TBA, 6%, 6/15/2055 | 10725000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10827245 |
| Ginnie Mae, TBA, 6.5%, 6/15/2055 | &nbsp;&nbsp;6625000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6764423 |
| UMBS, TBA, 2%, 6/01/2055 | 31225000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24256252 |
| UMBS, TBA, 3%, 6/25/2055 | 12350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10506653 |
|  |  | &nbsp;&nbsp;$1158625072 |
| Municipals – 0.3% | Municipals – 0.3% | Municipals – 0.3% |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 2.682%, 7/01/2027 | $&nbsp;&nbsp;2165000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2085963 |
| Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), "A-1", 2.326%, 6/01/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;79719 |
| Port of Oakland, CA, Senior Lien Refunding Rev., Taxable, "R", 1.517%, 5/01/2026 | &nbsp;&nbsp;1413570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1375059 |
| West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, "A-1", 1.647%, 6/01/2025 | &nbsp;&nbsp;1550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1550000 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$5090741 |
| U.S. Government Agencies and Equivalents – 0.1% | U.S. Government Agencies and Equivalents – 0.1% | U.S. Government Agencies and Equivalents – 0.1% |
| Small Business Administration, 2.21%, 2/01/2033 | $&nbsp;&nbsp;&nbsp;&nbsp;488886 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$455569 |
| Small Business Administration, 2.22%, 3/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;745811 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;692843 |
| Small Business Administration, 3.15%, 7/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;713680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;681435 |
| Small Business Administration, 3.16%, 8/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;299122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;285847 |
| Small Business Administration, 3.62%, 9/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;262386 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;253629 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2369323 |
| U.S. Treasury Obligations – 28.0% | U.S. Treasury Obligations – 28.0% | U.S. Treasury Obligations – 28.0% |
| U.S. Treasury Bonds, 6%, 2/15/2026 (f) | $&nbsp;&nbsp;5933000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$6004845 |
| U.S. Treasury Bonds, 6.375%, 8/15/2027 | &nbsp;&nbsp;2309000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2430042 |
| U.S. Treasury Bonds, 4.375%, 2/15/2038 | &nbsp;&nbsp;2078000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2042041 |
| U.S. Treasury Bonds, 3.125%, 2/15/2043 | &nbsp;&nbsp;9748800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7683654 |
| U.S. Treasury Bonds, 2.875%, 5/15/2043 | 27528200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20790243 |
| U.S. Treasury Bonds, 4.75%, 11/15/2043 | 11168000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10949439 |
| U.S. Treasury Bonds, 2.5%, 2/15/2045 | 97983000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;67416897 |
| U.S. Treasury Bonds, 4.75%, 2/15/2045 | 36531000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35657681 |
| U.S. Treasury Bonds, 4.625%, 5/15/2054 | 37560000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35727483 |
| U.S. Treasury Bonds, 4.625%, 2/15/2055 | 11722000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11179858 |
| U.S. Treasury Notes, 2.75%, 2/15/2028 | 54157000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52599986 |
| U.S. Treasury Notes, 3.625%, 3/31/2028 (f) | 86350000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;85810313 |
| U.S. Treasury Notes, 1%, 7/31/2028 | 32248000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;29509439 |
| U.S. Treasury Notes, 2.375%, 5/15/2029 | 19515500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18424614 |
| U.S. Treasury Notes, 1.625%, 8/15/2029 | 29405000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26849292 |
| U.S. Treasury Notes, 1.75%, 11/15/2029 | &nbsp;&nbsp;8564000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7814650 |
| U.S. Treasury Notes, 3.5%, 4/30/2030 | 18675000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18279615 |
| U.S. Treasury Notes, 4.125%, 8/31/2030 | 37647000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;37861705 |
| U.S. Treasury Notes, 1.625%, 5/15/2031 | 41833000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36447001 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| U.S. Treasury Obligations – continued | U.S. Treasury Obligations – continued | U.S. Treasury Obligations – continued |
| U.S. Treasury Notes, 1.375%, 11/15/2031 | 11425300 | &nbsp;&nbsp;&nbsp;$9648130 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$523126928 |
| **Total Bonds** |  | &nbsp;&nbsp;**$1844048273** |
| Mutual Funds (h) – 4.7% | Mutual Funds (h) – 4.7% | Mutual Funds (h) – 4.7% |
| Money Market Funds – 4.7% | Money Market Funds – 4.7% |  |
| MFS Institutional Money Market Portfolio, 4.35% (v) | 88505301 | &nbsp;&nbsp;&nbsp;$88505301 |
| Other Assets, Less Liabilities – (3.3)% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(62053309) |
| **Net Assets – 100.0%** | **Net Assets – 100.0%** | &nbsp;&nbsp;&nbsp;**$1870500265** |

---

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

(h) An affiliated issuer, which may be considered one in which the fund owns 5% or more of the outstanding voting securities, or a company which is under common control. At period end,
the aggregate values of the fund's investments in affiliated issuers and in unaffiliated issuers were $88,505,301 and $1,844,048,273, respectively.

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

(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from
registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was $121,355,463, representing 6.5% of net assets.

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

---

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

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 5/31/25** | **Derivative Contracts at 5/31/25** | **Derivative Contracts at 5/31/25** | **Derivative Contracts at 5/31/25** | **Derivative Contracts at 5/31/25** | **Derivative Contracts at 5/31/25** | **Derivative Contracts at 5/31/25** |
| **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** | **Futures Contracts** |
| **Description** | &nbsp;&nbsp;**Long/<br> Short** | &nbsp;&nbsp;**Currency** | &nbsp;&nbsp;**Contracts** | &nbsp;&nbsp;**Notional<br> Amount** | &nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;**Value/Unrealized<br> Appreciation<br> (Depreciation)** |
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |
| ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** |  |  |
| U.S. Treasury Note 10 yr | &nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;877 | &nbsp;&nbsp;$97127750 | &nbsp;&nbsp;September – 2025 | &nbsp;&nbsp;$174758 |
| U.S. Treasury Note 2 yr | &nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;1169 | &nbsp;&nbsp;242494438 | &nbsp;&nbsp;September – 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;351963 |
| U.S. Treasury Note 5 yr | &nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;2570 | &nbsp;&nbsp;278041875 | &nbsp;&nbsp;September – 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;415112 |
| U.S. Treasury Ultra Bond 30 yr | &nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16 | &nbsp;&nbsp;1857000 | &nbsp;&nbsp;September – 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;823 |
| U.S. Treasury Ultra Note 10 yr | &nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;248 | &nbsp;&nbsp;27911625 | &nbsp;&nbsp;September – 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;112883 |
|  |  |  |  |  |  | &nbsp;&nbsp;$1055539 |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** | **Cleared Swap Agreements** |
| **Maturity<br> Date** | **Maturity<br> Date** | **Notional<br> Amount** | &nbsp;&nbsp;**Counterparty** | &nbsp;&nbsp;**Cash Flows<br> to Receive/<br> Frequency** | &nbsp;&nbsp;**Cash Flows<br> to Pay/<br> Frequency** | &nbsp;&nbsp;**Unrealized<br> Appreciation<br> (Depreciation)** | &nbsp;&nbsp;**Net Unamortized<br> Upfront Payments<br> (Receipts)** | &nbsp;&nbsp;**Value** |
| **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** | **Asset Derivatives** |  |  |  |
| ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** |  |  |  |
| 5/08/27 | USD | &nbsp;&nbsp;56427000 | &nbsp;&nbsp;centrally cleared | &nbsp;&nbsp;Daily SOFR / Annually | &nbsp;&nbsp;3.5595% / Annually | &nbsp;&nbsp;&nbsp;$171492 | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$171492 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Cleared Swap Agreements - continued** | **Cleared Swap Agreements - continued** | **Cleared Swap Agreements - continued** | **Cleared Swap Agreements - continued** | **Cleared Swap Agreements - continued** | **Cleared Swap Agreements - continued** | **Cleared Swap Agreements - continued** | **Cleared Swap Agreements - continued** | **Cleared Swap Agreements - continued** |
| **Maturity<br> Date** | **Maturity<br> Date** | **Notional<br> Amount** | &nbsp;&nbsp;**Counterparty** | &nbsp;&nbsp;**Cash Flows<br> to Receive/<br> Frequency** | &nbsp;&nbsp;**Cash Flows<br> to Pay/<br> Frequency** | &nbsp;&nbsp;**Unrealized<br> Appreciation<br> (Depreciation)** | &nbsp;&nbsp;**Net Unamortized<br> Upfront Payments<br> (Receipts)** | &nbsp;&nbsp;**Value** |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |  |  |  |
| ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** | ***Interest Rate Swaps*** |  |  |  |
| 5/24/26 | USD | &nbsp;&nbsp;96000000 | &nbsp;&nbsp;centrally cleared | &nbsp;&nbsp;Daily SOFR / Annually | &nbsp;&nbsp;4.7585% / Annually | &nbsp;&nbsp;$(672241) | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(672241) |
| 12/26/26 | USD | &nbsp;&nbsp;23950000 | &nbsp;&nbsp;centrally cleared | &nbsp;&nbsp;Daily SOFR / Annually | &nbsp;&nbsp;4.1635% / Annually | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(109503) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(109503) |
| 12/26/29 | USD | &nbsp;&nbsp;45500000 | &nbsp;&nbsp;centrally cleared | &nbsp;&nbsp;Daily SOFR / Annually | &nbsp;&nbsp;4.085% / Annually | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(888059) | &nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(888059) |
|  |  |  |  |  |  | &nbsp;&nbsp;$(1669803) | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(1669803) |
| ***Inflation Swaps*** | ***Inflation Swaps*** | ***Inflation Swaps*** | ***Inflation Swaps*** | ***Inflation Swaps*** | ***Inflation Swaps*** |  |  |  |
| 5/14/30 | USD | &nbsp;&nbsp;61400000 | &nbsp;&nbsp;centrally cleared | &nbsp;&nbsp;CPI-U / At Maturity | &nbsp;&nbsp;2.539% / At Maturity | &nbsp;&nbsp;&nbsp;&nbsp;$(46083) | &nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$(46083) |
|  |  |  |  |  |  | &nbsp;&nbsp;$(1715886) | &nbsp;&nbsp;$— | &nbsp;&nbsp;$(1715886) |

---

At May 31, 2025, the fund had cash collateral of $514,103 and other liquid securities with an aggregate value of $11,286,656 to cover any collateral or margin obligations for certain derivative contracts.

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

------

### Supplemental Information
5/31/25 (unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies.

(1) Investment Valuations

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

Under the fund's valuation policy and procedures, debt instruments and floating rate loans, including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less may be valued at amortized cost, which approximates market value. Futures contracts are generally valued at last posted settlement price on their primary exchange as provided by a third-party pricing service. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation on their primary exchange as provided by a third-party pricing service. Swap agreements are generally valued using valuations provided by a third-party pricing service, which for cleared swaps includes an evaluation of any trading activity at the clearinghouses. Open-end investment companies are generally valued at net asset value per share. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

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

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

------

Supplemental Information (unaudited) – continued

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** | &nbsp;&nbsp;&nbsp;**Level 1** | &nbsp;&nbsp;&nbsp;**Level 2** | &nbsp;&nbsp;&nbsp;**Level 3** | &nbsp;&nbsp;&nbsp;**Total** |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$525496251 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$525496251 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5090741 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5090741 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2573524 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2573524 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1177268618 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1177268618 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60091467 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60091467 |
| Asset-Backed Securities (including CDOs) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73527672 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;73527672 |
| Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp;88505301 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88505301 |
| Total | &nbsp;&nbsp;&nbsp;$88505301 | &nbsp;&nbsp;&nbsp;$1844048273 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$1932553574 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Assets | &nbsp;&nbsp;&nbsp;&nbsp;$1055539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1055539 |
| Swap Agreements – Assets | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171492 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;171492 |
| Swap Agreements – Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1715886) | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1715886) |

---

(2) Investments in Affiliated Issuers

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Affiliated Issuers** | &nbsp;&nbsp;**Beginning<br> Value** | &nbsp;&nbsp;**Purchases** | &nbsp;&nbsp;**Sales<br> Proceeds** | &nbsp;&nbsp;**Realized<br> Gain<br> (Loss)** | &nbsp;&nbsp;**Change in<br> Unrealized<br> Appreciation or<br> Depreciation** | &nbsp;&nbsp;**Ending<br> Value** |
| MFS Institutional Money Market Portfolio | &nbsp;&nbsp;$24511411 | &nbsp;&nbsp;$380733112 | &nbsp;&nbsp;$316720900 | &nbsp;&nbsp;$(18322) | &nbsp;&nbsp;$— | &nbsp;&nbsp;$88505301 |

---

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | &nbsp;&nbsp;**Dividend<br> Income** | &nbsp;&nbsp;**Capital Gain<br> Distributions** |
| MFS Institutional Money Market Portfolio | &nbsp;&nbsp;$1114296 | &nbsp;&nbsp;$— |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1953388017.58

**Total Liabilities:** $82850164.39

**Net Assets:** $1870537853.19

**Delayed Delivery Securities:** $59850471.68

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1536.43721400 | **1-Year:** -24742.79928170 | **5-Year:** -24982.71177430 | **10-Year:** -78827.78457360 | **30-Year:** -52723.24986550

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

- **3-Month:** -629.66381310 | **1-Year:** -9259.23533290 | **5-Year:** -17381.76768660 | **10-Year:** -7360.85814710 | **30-Year:** -2760.89772420

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000002008 | 0.07%                | 0.65%                | -1.20%               |
| Class ID C000002007 | 0.05%                | 0.63%                | -1.10%               |
| Class ID C000117927 | 0.08%                | 0.66%                | -1.07%               |
| Class ID C000002015 | -0.01%               | 0.57%                | -1.17%               |
| Class ID C000002006 | 0.19%                | 0.65%                | -1.20%               |
| Class ID C000002017 | 0.03%                | 0.61%                | -1.12%               |
| Class ID C000002012 | -0.01%               | 0.57%                | -1.17%               |
| Class ID C000002018 | 0.17%                | 0.63%                | -1.22%               |
| Class ID C000002013 | 0.11%                | 0.57%                | -1.28%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $235219.34               | $-4959110.49                               |
| Month 2  | $438266.77               | $2789602.34                                |
| Month 3  | $-1564354.79             | $-18976282.01                              |

**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        |   8075306 | PA      | $6768452.72   | 0.36%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 31292JBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35902 | PA      | $36006.97     | 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      | $2420463.47   | 0.13%             | 2032-06-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124303 | PA      | $101507.09    | 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        |   1247342 | PA      | $972164.59    | 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        |    723004 | PA      | $723632.48    | 0.04%             | 2027-02-12      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 4092, Class AY                                                    | CUSIP: 3137AT2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5450000 | PA      | $5217860.52   | 0.28%             | 2032-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254564 | PA      | $260218.45    | 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        |     44106 | PA      | $44822.61     | 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        |    152584 | PA      | $159558.80    | 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        |    139950 | PA      | $131514.63    | 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        |    628714 | PA      | $589471.45    | 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        |    987014 | PA      | $1004064.81   | 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        |   4997472 | PA      | $4877488.28   | 0.26%             | 2052-09-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2018-73, Class MV                                                  | CUSIP: 3136B3DM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    744452 | PA      | $726150.88    | 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      | $1553078.10   | 0.08%             | 2030-04-25      | Variable      | 1.84%                 | 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        |  26454280 | PA      | $1361654.71   | 0.07%             | 2030-01-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1348678 | PA      | $1344014.85   | 0.07%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tobacco Settlement Finance Authority                 | Tobacco Settlement Finance Authority                                            | CUSIP: 88880LAG8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1550000 | PA      | $1550000.00   | 0.08%             | 2025-06-01      | Fixed         | 1.65%                 | 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        |   2336380 | PA      | $2354025.38   | 0.13%             | 2069-06-25      | Variable      | 6.22%                 | Yes           |                  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        |   1598152 | PA      | $1600893.33   | 0.09%             | 2027-06-15      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6920327 | PA      | $5639198.53   | 0.30%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3802684 | PA      | $3136852.73   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140MXGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31688 | PA      | $25880.38     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140N5ER1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168121 | PA      | $166571.35    | 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        |    431106 | PA      | $392194.71    | 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        |   5606032 | PA      | $5499588.82   | 0.29%             | 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        |   1270240 | PA      | $1290456.05   | 0.07%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91787 | PA      | $90474.21     | 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        |   7710762 | PA      | $7460800.03   | 0.40%             | 2052-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2011-123, Class JF                                                 | CUSIP: 3136A2PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374456 | PA      | $372422.62    | 0.02%             | 2041-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2246493 | PA      | $1768809.10   | 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        |     30995 | PA      | $32334.16     | 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        |    113918 | PA      | $114007.38    | 0.01%             | 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        |  19932253 | PA      | $928400.51    | 0.05%             | 2030-06-25      | Variable      | 1.11%                 | 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        |  40043489 | PA      | $954925.10    | 0.05%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 3845, Class AI                                                    | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263115 | PA      | $42512.19     | 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        |   1418611 | PA      | $1433576.48   | 0.08%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    467345 | PA      | $457327.53    | 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      | $20790243.06  | 1.11%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1415238 | PA      | $1247493.77   | 0.07%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12076826 | PA      | $9704050.18   | 0.52%             | 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        |   1872746 | PA      | $1738037.60   | 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        |    207140 | PA      | $207731.20    | 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        |    202136 | PA      | $204791.95    | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Michigan Finance Authority                           | Michigan Finance Authority                                                      | CUSIP: 59447TH89<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |     79719 | PA      | $79719.29     | 0.00%             | 2030-06-01      | Fixed         | 2.33%                 | 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        |  43316439 | PA      | $2195896.58   | 0.12%             | 2054-02-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199394 | PA      | $194770.32    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418FEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    778755 | PA      | $754140.57    | 0.04%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31419JS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114174 | PA      | $114032.91    | 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        |  10186714 | PA      | $8185294.72   | 0.44%             | 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        |   7305481 | PA      | $7069152.02   | 0.38%             | 2045-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H03, Class F                                                  | CUSIP: 38376RS56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3217751 | PA      | $3246962.04   | 0.17%             | 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      | $736341.48    | 0.04%             | 2030-08-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7976700 | PA      | $6503904.61   | 0.35%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175242 | PA      | $174348.81    | 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        |    643217 | PA      | $474983.33    | 0.03%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    369228 | PA      | $375890.05    | 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        |    179778 | PA      | $171917.00    | 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        |    345535 | PA      | $340310.64    | 0.02%             | 2046-08-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2016-4, Class LI                                                   | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    755531 | PA      | $59660.42     | 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        |  88094303 | NS      | $88094302.67  | 4.71%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1128978 | PA      | $1073411.15   | 0.06%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5396152 | PA      | $4805121.11   | 0.26%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31412FS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101001 | PA      | $104912.56    | 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        |    699495 | PA      | $570645.87    | 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        |     27514 | PA      | $27835.88     | 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        |    406811 | PA      | $331681.71    | 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        |     79330 | PA      | $70182.73     | 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        |    870659 | PA      | $709894.55    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 4160, Class AY                                                    | CUSIP: 3137AXU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5597180 | PA      | $5372581.40   | 0.29%             | 2033-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170036 | PA      | $138846.81    | 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        |   2523645 | PA      | $2332121.83   | 0.12%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class A2          | CUSIP: 10805MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97515 | PA      | $97562.61     | 0.01%             | 2027-02-16      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H02, Class FD                                                 | CUSIP: 38380LQE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    739982 | PA      | $738906.09    | 0.04%             | 2068-11-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M4T37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79235 | PA      | $82009.91     | 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        |     53683 | PA      | $53704.63     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 2 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1169 | NC      | $351962.52    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6545180 | PA      | $5485951.69   | 0.29%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6216481 | PA      | $4844097.24   | 0.26%             | 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        |  58815424 | PA      | $988540.23    | 0.05%             | 2029-05-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128PR3E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       914 | PA      | $911.66       | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | 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        |   2061696 | PA      | $2070174.26   | 0.11%             | 2035-10-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140N9UX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444503 | PA      | $440385.17    | 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        |    825479 | PA      | $808929.14    | 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      | $1091614.88   | 0.06%             | 2030-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432446 | PA      | $424713.56    | 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        |     94434 | PA      | $97966.87     | 0.01%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340388 | PA      | $333922.85    | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 21H040665<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7425000 | PA      | $6798260.06   | 0.36%             | 2055-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128PRZ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2162 | PA      | $2157.95      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36201U6W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26248 | PA      | $26901.47     | 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      | $2042040.85   | 0.11%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 3618N5MP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9699783 | PA      | $9415381.09   | 0.50%             | 2055-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31407HWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35537 | PA      | $37074.89     | 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      | $7131110.12   | 0.38%             | 2037-01-20      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140QNZC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24132 | PA      | $22394.64     | 0.00%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5781247 | PA      | $4773337.15   | 0.26%             | 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        |   1383169 | PA      | $1295099.45   | 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        |  18907077 | PA      | $713836.69    | 0.04%             | 2029-07-25      | Variable      | 1.09%                 | 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        |  49831338 | PA      | $702432.51    | 0.04%             | 2031-01-25      | Variable      | 0.32%                 | 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      | $976644.81    | 0.05%             | 2032-11-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2020-49, Class JA                                                  | CUSIP: 3136BAF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1169332 | PA      | $1083371.82   | 0.06%             | 2044-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31390YPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34367 | PA      | $35611.26     | 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        |    341180 | PA      | $349208.19    | 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      | $1007260.32   | 0.05%             | 2033-08-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379091 | PA      | $354552.57    | 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      | $436659.97    | 0.02%             | 2031-05-25      | Variable      | 1.21%                 | 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        | 166625635 | PA      | $619980.66    | 0.03%             | 2028-02-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140MGEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12127294 | PA      | $9921762.93   | 0.53%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190383 | PA      | $190691.89    | 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        |     68531 | PA      | $70002.20     | 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        |     21852 | PA      | $18803.60     | 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        |   2036794 | PA      | $1981491.65   | 0.11%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DSRU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    555185 | PA      | $538391.70    | 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        |   2601081 | PA      | $2121139.51   | 0.11%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2012-144, Class LB                                                 | CUSIP: 3136ABKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4995679 | PA      | $4788464.73   | 0.26%             | 2033-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4772349 | PA      | $4409728.49   | 0.24%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31409CA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54370 | PA      | $55984.23     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31411VFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18170 | PA      | $18479.35     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31410F5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48278 | PA      | $48366.49     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133ARVM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    943918 | PA      | $838314.34    | 0.04%             | 2051-09-01      | Fixed         | 3.50%                 | 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      | $1850556.77   | 0.10%             | 2028-04-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M4GZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19542 | PA      | $19790.51     | 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        |    938975 | PA      | $854024.96    | 0.05%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    911806 | PA      | $875476.71    | 0.05%             | 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      | $9898586.37   | 0.53%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H08, Class FM                                                 | CUSIP: 38376R2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4770671 | PA      | $4815050.08   | 0.26%             | 2067-03-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1060796 | PA      | $1010574.44   | 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        |    132819 | PA      | $132737.86    | 0.01%             | 2034-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | IRS                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  61400000 | PA      | $-46083.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2012-40, Class PE                                                  | CUSIP: 3136A5AW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1383582 | PA      | $1318901.34   | 0.07%             | 2041-04-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400121 | PA      | $364089.81    | 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        |   7428780 | PA      | $7210998.87   | 0.39%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140MEB47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127105 | PA      | $123281.23    | 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        |  18597253 | PA      | $17658175.83  | 0.94%             | 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      | $2035447.58   | 0.11%             | 2031-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140AEUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1181655 | PA      | $1194256.90   | 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        |     36793 | PA      | $36009.39     | 0.00%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2013-102, Class GM                                                 | CUSIP: 3136AGYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3857304 | PA      | $3702132.00   | 0.20%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418C5U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680431 | PA      | $655771.61    | 0.04%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138E55N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79325 | PA      | $73490.29     | 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        |    229431 | PA      | $233546.61    | 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        |    631779 | PA      | $604587.64    | 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        |     97278 | PA      | $79665.55     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-108, Class KI                                                 | CUSIP: 38378HQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    538709 | PA      | $74135.60     | 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        |   2398360 | PA      | $2182379.51   | 0.12%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31411JUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31369 | PA      | $32482.62     | 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        |    141586 | PA      | $129246.09    | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BSPDF Issuer Ltd.                                    | BSPDF Issuer Ltd., Series 2021-FL1, Class AS                                    | CUSIP: 055731AC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1841419 | PA      | $1834110.36   | 0.10%             | 2036-10-15      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140XLYU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25876 | PA      | $25672.82     | 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      | $10102921.49  | 0.54%             | 2027-07-25      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239138 | PA      | $238173.63    | 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        |     55324 | PA      | $55056.77     | 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        |    519642 | PA      | $75637.02     | 0.00%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 5 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      2146 | NC      | $443116.81    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128PRZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2822 | PA      | $2815.86      | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3132QSWK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    862816 | PA      | $786714.67    | 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      | $18279615.14  | 0.98%             | 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        |   4335480 | PA      | $4295295.39   | 0.23%             | 2054-10-20      | Floating      | 5.38%                 | 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        |  26131161 | PA      | $1122302.03   | 0.06%             | 2054-03-15      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1308106 | PA      | $1221359.39   | 0.07%             | 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        |   1802541 | PA      | $1702260.25   | 0.09%             | 2033-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21762 | PA      | $21130.02     | 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        |    175836 | PA      | $165379.01    | 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        |     11497 | PA      | $11978.59     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-129, Class BI                                                 | CUSIP: 38379GKK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464765 | PA      | $17832.95     | 0.00%             | 2029-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9127 | PA      | $9614.24      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31403CXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87543 | PA      | $89487.64     | 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        |  31378495 | PA      | $30793129.13  | 1.65%             | 2026-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1484150 | PA      | $1315198.44   | 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        |   3615625 | PA      | $3128831.54   | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    608146 | PA      | $561571.05    | 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        |   1420633 | PA      | $1353079.15   | 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      | $873132.50    | 0.05%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128LXE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63777 | PA      | $64016.58     | 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      | $29509439.21  | 1.58%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3120915 | PA      | $2575017.65   | 0.14%             | 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        |   2107036 | PA      | $2124980.55   | 0.11%             | 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        |   1434095 | PA      | $1352718.82   | 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        |  12232852 | PA      | $318191.16    | 0.02%             | 2052-01-15      | Variable      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-79, Class JI                                                  | CUSIP: 38384AZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2287869 | PA      | $278963.32    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483399 | PA      | $439574.54    | 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        |   3677334 | PA      | $3241475.38   | 0.17%             | 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      | $372312.25    | 0.02%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  41833000 | PA      | $36447001.25  | 1.95%             | 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        |   1954785 | PA      | $1669439.66   | 0.09%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31404XS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42412 | PA      | $42646.75     | 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        |    786369 | PA      | $749303.87    | 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        |    987547 | PA      | $818401.84    | 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        |    488886 | PA      | $455568.85    | 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        |      1646 | PA      | $1682.04      | 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        |   1150533 | PA      | $1165496.34   | 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        |   6113198 | PA      | $5286466.81   | 0.28%             | 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      | $4325939.36   | 0.23%             | 2027-09-25      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757608 | PA      | $712006.18    | 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        |   6123355 | PA      | $6118195.91   | 0.33%             | 2074-08-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 31335B7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1154504 | PA      | $1178377.19   | 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        |    815170 | PA      | $807254.52    | 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        |    346648 | PA      | $354345.77    | 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        |  44840690 | PA      | $1754015.35   | 0.09%             | 2054-09-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248507 | PA      | $244400.66    | 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        |    210492 | PA      | $173748.74    | 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        |   1535770 | PA      | $1443554.70   | 0.08%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360605 | PA      | $280649.90    | 0.02%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31401L6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149642 | PA      | $152121.89    | 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        |   2800311 | PA      | $2667151.81   | 0.14%             | 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        |    575796 | PA      | $554486.70    | 0.03%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                             | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29405000 | PA      | $26849292.07  | 1.44%             | 2029-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    719844 | PA      | $636208.17    | 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        |   1605362 | PA      | $1308921.77   | 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        |   2441071 | PA      | $2319926.20   | 0.12%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325250 | PA      | $1149307.15   | 0.06%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418E3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1861534 | PA      | $1843457.17   | 0.10%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M6K49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40625 | PA      | $41882.52     | 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        |   1960760 | PA      | $1864661.76   | 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        |    410961 | PA      | $320247.11    | 0.02%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 3772, Class PE                                                    | CUSIP: 3137A4J99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2213946 | PA      | $2205652.72   | 0.12%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1398894 | PA      | $1270603.53   | 0.07%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWBX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3922847 | PA      | $2893214.97   | 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      | $85810312.50  | 4.59%             | 2028-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust            | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MA              | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1367631 | PA      | $1313069.91   | 0.07%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2019-75, Class FK                                                  | CUSIP: 3136B7RX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1941466 | PA      | $1881162.37   | 0.10%             | 2049-12-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138AEEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519316 | PA      | $519099.42    | 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        |   1178712 | PA      | $1193668.01   | 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        |     60820 | PA      | $56441.48     | 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        |   1122311 | PA      | $1108760.77   | 0.06%             | 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      | $7601919.69   | 0.41%             | 2038-05-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3719111 | PA      | $3193416.79   | 0.17%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M6HH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14056 | PA      | $14415.31     | 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        |  21806426 | PA      | $519405.07    | 0.03%             | 2051-12-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133BUYL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    569760 | PA      | $565030.52    | 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        |     51849 | PA      | $52904.13     | 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        |   3160398 | PA      | $2648940.66   | 0.14%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418QPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192730 | PA      | $192808.14    | 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        |  19636139 | PA      | $1053351.25   | 0.06%             | 2054-07-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 4150, Class UK                                                    | CUSIP: 3137AYB75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    784993 | PA      | $740086.23    | 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        |    107612 | PA      | $112126.54    | 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      | $1410596.13   | 0.08%             | 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      | $6723585.05   | 0.36%             | 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        |   4560649 | PA      | $4585524.02   | 0.25%             | 2068-12-25      | Variable      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3948570 | PA      | $3414589.00   | 0.18%             | 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      | $277544.58    | 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        |    155434 | PA      | $150692.25    | 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        |     86611 | PA      | $88175.28     | 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        |    561054 | PA      | $525797.15    | 0.03%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7250000 | PA      | $7197607.37   | 0.38%             | 2055-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36200NG47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200899 | PA      | $204209.98    | 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        |   2592182 | PA      | $2516251.25   | 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        |   5321501 | PA      | $4467634.42   | 0.24%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140MG4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    840013 | PA      | $746150.78    | 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        |    630218 | PA      | $574335.88    | 0.03%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179XAB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258273 | PA      | $251322.56    | 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        |    211449 | PA      | $209579.30    | 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        |     35590 | PA      | $35423.52     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2015-68, Class BW                                                  | CUSIP: 3136AP2K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3625022 | PA      | $3439367.54   | 0.18%             | 2035-08-25      | Fixed         | 3.00%                 | 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        |  38063916 | PA      | $1337581.23   | 0.07%             | 2054-06-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M73V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146902 | PA      | $147514.47    | 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        |    204264 | PA      | $204346.47    | 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        |   2519021 | PA      | $2547920.11   | 0.14%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36295SD45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61498 | PA      | $62677.09     | 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        |   6893509 | PA      | $6009444.24   | 0.32%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DNV59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2718168 | PA      | $2127032.79   | 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        |  21542304 | PA      | $846827.97    | 0.05%             | 2054-11-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140ANFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924238 | PA      | $935972.24    | 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        |    442830 | PA      | $450486.59    | 0.02%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority        | Massachusetts Educational Financing Authority                                   | CUSIP: 57563RRA9<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |   2165000 | PA      | $2085962.56   | 0.11%             | 2027-07-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51187 | PA      | $51226.69     | 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        |     22164 | PA      | $20350.79     | 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        |  19729729 | PA      | $868256.06    | 0.05%             | 2054-06-15      | Variable      | 1.17%                 | 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        |   4523715 | PA      | $4518829.29   | 0.24%             | 2036-10-16      | Floating      | 5.52%                 | 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        |  19154523 | PA      | $465973.99    | 0.02%             | 2030-01-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140A3G98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    743651 | PA      | $752196.71    | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 2526, Class FA                                                    | CUSIP: 31393FGK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38225 | PA      | $38066.12     | 0.00%             | 2032-11-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418DY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166285 | PA      | $153933.64    | 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        |  14870513 | PA      | $387356.04    | 0.02%             | 2031-08-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128KYA33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133015 | PA      | $138768.75    | 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        |    289923 | PA      | $295160.38    | 0.02%             | 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        |   1809781 | PA      | $1795999.51   | 0.10%             | 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      | $1548726.78   | 0.08%             | 2039-09-19      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Note                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       877 | NC      | $174758.04    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450876 | PA      | $363456.26    | 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        |    568595 | PA      | $540378.56    | 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        |   1177195 | PA      | $1003789.68   | 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        |     36436 | PA      | $38170.15     | 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        |    984966 | PA      | $1006435.02   | 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        |   1547168 | PA      | $1545943.88   | 0.08%             | 2036-11-25      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455109 | PA      | $432520.23    | 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        |   1043740 | PA      | $933265.00    | 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        |    624523 | PA      | $511126.95    | 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      | $6503183.21   | 0.35%             | 2036-07-15      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                 | BANK, Series 2021-BN32, Class XA                                                | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18875143 | PA      | $597945.65    | 0.03%             | 2054-04-15      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6861392 | PA      | $5981743.73   | 0.32%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2507281 | PA      | $1954107.47   | 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        |    210155 | PA      | $214822.83    | 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      | $37861705.36  | 2.02%             | 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        |   1715131 | PA      | $178455.38    | 0.01%             | 2046-09-25      | Floating      | 1.56%                 | 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        |    745811 | PA      | $692843.28    | 0.04%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWHH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    409158 | PA      | $413899.41    | 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        |  37560000 | PA      | $35727482.91  | 1.91%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691455 | PA      | $539225.70    | 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        |    473768 | PA      | $456629.04    | 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      | $1207813.88   | 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        |     47254 | PA      | $47441.48     | 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        |   3687885 | PA      | $3702932.30   | 0.20%             | 2069-08-20      | Floating      | 4.93%                 | 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      | $1438188.83   | 0.08%             | 2031-07-25      | Variable      | 1.21%                 | 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        |   2528000 | PA      | $2526363.63   | 0.14%             | 2028-05-15      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31417YSE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195234 | PA      | $195313.06    | 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        |    204066 | PA      | $200378.61    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445569 | PA      | $347216.53    | 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        |     22285 | PA      | $22693.28     | 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        |   2877237 | PA      | $2864337.93   | 0.15%             | 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        |   3355892 | PA      | $3315413.25   | 0.18%             | 2026-01-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    655316 | PA      | $571274.37    | 0.03%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Owner Trust II | Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class B    | CUSIP: 63938PBV0<br>LEI: 549300S28N49H5RT4J50 | Long             | ABS-O            | CORP              | US        |   1379000 | PA      | $1383657.71   | 0.07%             | 2028-08-25      | Fixed         | 6.48%                 | Yes           |                  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      | $7750115.09   | 0.41%             | 2036-10-16      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWBZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122977 | PA      | $100838.78    | 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        |   6148203 | PA      | $5023635.07   | 0.27%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44350 | PA      | $32714.46     | 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        |   8609939 | PA      | $7018529.25   | 0.38%             | 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        |  22898404 | PA      | $779347.16    | 0.04%             | 2055-12-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8542900 | PA      | $7165525.13   | 0.38%             | 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        |   1113392 | PA      | $1083436.24   | 0.06%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181110 | PA      | $176696.05    | 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        |  20214852 | PA      | $1335536.67   | 0.07%             | 2054-08-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28034 | PA      | $28656.67     | 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        |    273851 | PA      | $269173.00    | 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        |   4993314 | PA      | $4114547.66   | 0.22%             | 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      | $-672241.42   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H23, Class FB                                                 | CUSIP: 38375US43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1791008 | PA      | $1796913.98   | 0.10%             | 2067-11-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426796 | PA      | $419656.00    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 3618N5ML0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12075000 | PA      | $10747894.35  | 0.57%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50013 | PA      | $44894.80     | 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        |     14563 | PA      | $15146.95     | 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        |    947187 | PA      | $68783.97     | 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        |   3176762 | PA      | $3267250.07   | 0.17%             | 2055-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42847 | PA      | $44507.40     | 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        |   2809920 | PA      | $2812869.01   | 0.15%             | 2070-05-25      | Variable      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128PR3G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       747 | PA      | $745.22       | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2735670 | PA      | $2258257.03   | 0.12%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140N5FT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197319 | PA      | $196357.23    | 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        |     43184 | PA      | $43171.27     | 0.00%             | 2036-01-25      | Floating      | 4.73%                 | 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        |   3682631 | PA      | $3669156.41   | 0.20%             | 2036-07-15      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673206 | PA      | $628158.84    | 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        |    551493 | PA      | $496194.27    | 0.03%             | 2040-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4335120 | PA      | $3969268.06   | 0.21%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299508 | PA      | $233466.98    | 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        |   6591834 | PA      | $6554414.53   | 0.35%             | 2070-07-20      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327659 | PA      | $256550.60    | 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        |    144767 | PA      | $147982.73    | 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        |     33695 | PA      | $33770.26     | 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        |    170487 | PA      | $162131.64    | 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        |    660150 | PA      | $648019.14    | 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        |   1393700 | PA      | $1353606.37   | 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        |   4458350 | PA      | $4061078.43   | 0.22%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140ABZY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    806765 | PA      | $798930.96    | 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        |   1426654 | PA      | $1454320.70   | 0.08%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140A1FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840061 | PA      | $1860472.59   | 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        |   7340481 | PA      | $7335378.91   | 0.39%             | 2075-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133CC5R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35090 | PA      | $35472.26     | 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        |    540307 | PA      | $514332.30    | 0.03%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M6WA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243959 | PA      | $254465.81    | 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        |  29439894 | PA      | $1640747.13   | 0.09%             | 2030-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bonds                                                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11722000 | PA      | $11179857.50  | 0.60%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DQMV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63879 | PA      | $64988.67     | 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        |    101092 | PA      | $101276.29    | 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        |   1276566 | PA      | $1252331.35   | 0.07%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12217709 | PA      | $9817253.54   | 0.52%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179XBV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    562797 | PA      | $547536.29    | 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        |   4344726 | PA      | $3945028.59   | 0.21%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36297H6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106627 | PA      | $102602.48    | 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        |    436774 | PA      | $427413.11    | 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        |     66127 | PA      | $66796.20     | 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      | $20176573.43  | 1.08%             | 2027-06-25      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 312940BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95680 | PA      | $95231.50     | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31416XV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173954 | PA      | $173738.76    | 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        |   1577029 | PA      | $84227.54     | 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        |    334100 | PA      | $274126.33    | 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        |     93512 | PA      | $92858.78     | 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        |   1117203 | PA      | $972489.68    | 0.05%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2020-65, Class EI                                                  | CUSIP: 3136BBTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2958188 | PA      | $586474.90    | 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        |    477961 | PA      | $467906.34    | 0.03%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36200EAQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66525 | PA      | $66889.73     | 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        |    292087 | PA      | $260339.01    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT Trust                                            | EQT Trust, Series 2024-EXTR, Class B                                            | CUSIP: 29439DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1503054 | PA      | $1516149.66   | 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        |    746677 | PA      | $691495.11    | 0.04%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2311825 | PA      | $1890618.93   | 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        |   1031565 | PA      | $851238.35    | 0.05%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140XMV45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423221 | PA      | $344874.64    | 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        |   2382930 | PA      | $1864475.99   | 0.10%             | 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      | $584786.90    | 0.03%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H13, Class FL                                                 | CUSIP: 38375UKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1082493 | PA      | $1083924.41   | 0.06%             | 2064-07-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140AJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6050905 | PA      | $6114739.12   | 0.33%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458699 | PA      | $437079.78    | 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        |    422867 | PA      | $399079.03    | 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        |   2194137 | PA      | $1813685.93   | 0.10%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225380 | PA      | $233865.51    | 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        |   2469332 | PA      | $2456822.88   | 0.13%             | 2055-01-25      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-52, Class GT                                                  | CUSIP: 38377VGJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271391 | PA      | $268823.07    | 0.01%             | 2039-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                             | CUSIP: 912828YS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8564000 | PA      | $7814650.00   | 0.42%             | 2029-11-15      | Fixed         | 1.75%                 | 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      | $657297.27    | 0.04%             | 2030-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128124 | PA      | $130462.66    | 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        |   2877098 | PA      | $2508121.36   | 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        |     64436 | PA      | $65952.24     | 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      | $2160175.00   | 0.12%             | 2032-02-25      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4008265 | PA      | $3304339.05   | 0.18%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1256109 | PA      | $1101886.62   | 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        |    553008 | PA      | $531978.63    | 0.03%             | 2047-10-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 5085, Class IK                                                    | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7820215 | PA      | $1276440.45   | 0.07%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418ET75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    893986 | PA      | $904242.54    | 0.05%             | 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        |   1893698 | PA      | $1775990.94   | 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        |   1070829 | PA      | $1020751.50   | 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        |   2992815 | PA      | $3023307.81   | 0.16%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12350000 | PA      | $10506652.83  | 0.56%             | 2055-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Multifamily Structured Pass-Through Certificates, Series K122, Class XAM  | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13158725 | PA      | $672768.76    | 0.04%             | 2030-11-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7490686 | PA      | $6379842.01   | 0.34%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Port of Oakland                                      | Port of Oakland                                                                 | CUSIP: 735000TN1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1413570 | PA      | $1375059.09   | 0.07%             | 2026-05-01      | Fixed         | 1.52%                 | 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        |   3421955 | PA      | $3419617.39   | 0.18%             | 2031-07-20      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 406, Class F36                                                    | CUSIP: 3133Q3JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    589533 | PA      | $597811.00    | 0.03%             | 2053-10-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H23, Class F                                                  | CUSIP: 38376RB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1370488 | PA      | $1373587.58   | 0.07%             | 2066-10-20      | Floating      | 5.18%                 | 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      | $12453758.83  | 0.67%             | 2026-09-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2258768 | PA      | $1857810.52   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWKV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4640619 | PA      | $4595556.31   | 0.25%             | 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      | $988469.86    | 0.05%             | 2029-07-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344833 | PA      | $327859.24    | 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        |    622626 | PA      | $92873.95     | 0.00%             | 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        |   4480475 | PA      | $4461236.87   | 0.24%             | 2053-12-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290986 | PA      | $1230001.29   | 0.07%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWL92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    481192 | PA      | $465983.23    | 0.02%             | 2054-08-01      | Fixed         | 5.00%                 | 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        | 109560122 | PA      | $421762.65    | 0.02%             | 2028-04-25      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Multifamily Structured Pass-Through Certificates, Series K062, Class A2   | CUSIP: 3137BUX60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16700000 | PA      | $16454803.92  | 0.88%             | 2026-12-25      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31419FG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409864 | PA      | $390586.01    | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-84, Class AT                                                  | CUSIP: 38384NWN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8856425 | PA      | $8683927.17   | 0.46%             | 2054-05-20      | Fixed         | 4.50%                 | 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        |   3919000 | PA      | $3915061.01   | 0.21%             | 2027-12-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734654 | PA      | $668027.28    | 0.04%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36291FAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178678 | PA      | $179526.57    | 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      | $1315637.41   | 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      | $6623562.35   | 0.35%             | 2034-08-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    801385 | PA      | $654645.70    | 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        |   6724225 | PA      | $6854823.65   | 0.37%             | 2054-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348216 | PA      | $355662.66    | 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        |   4606627 | PA      | $4612376.96   | 0.25%             | 2038-02-19      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31405PNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65607 | PA      | $66636.31     | 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        |    302480 | PA      | $303405.04    | 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        |     34567 | PA      | $28333.73     | 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        |   1127586 | PA      | $1025343.87   | 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      | $-109503.12   | -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        |   2517310 | PA      | $2521181.62   | 0.13%             | 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        |   1346191 | PA      | $10893.24     | 0.00%             | 2027-12-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140XJJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4335644 | PA      | $4027523.28   | 0.22%             | 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      | $67416897.44  | 3.60%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31402TBS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107412 | PA      | $107284.95    | 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        |    299619 | PA      | $300365.28    | 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        |     21320 | PA      | $21610.09     | 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      | $4607356.39   | 0.25%             | 2029-01-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2024-104, Class CF                                                 | CUSIP: 3136BUEY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4221163 | PA      | $4208127.18   | 0.22%             | 2055-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1142139 | PA      | $1123278.48   | 0.06%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  31225000 | PA      | $24256252.27  | 1.30%             | 2055-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31412LBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29110 | PA      | $30271.63     | 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        |    168450 | PA      | $140635.83    | 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        |   1391616 | PA      | $1166112.06   | 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        |    397883 | PA      | $362466.36    | 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        |    511283 | PA      | $514481.05    | 0.03%             | 2063-11-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128LXDA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143418 | PA      | $146792.21    | 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        |    481516 | PA      | $56614.06     | 0.00%             | 2047-04-20      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279829 | PA      | $263681.02    | 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      | $1365432.72   | 0.07%             | 2033-05-25      | Variable      | 0.27%                 | 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        |  57691720 | PA      | $426497.58    | 0.02%             | 2028-01-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWGJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2381810 | PA      | $2412049.15   | 0.13%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2016-19, Class AD                                                  | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807966 | PA      | $745943.18    | 0.04%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10725000 | PA      | $10827244.54  | 0.58%             | 2055-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 3233, Class PA                                                    | CUSIP: 31397BYP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1622726 | PA      | $1696430.97   | 0.09%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200572 | PA      | $183090.38    | 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        |   3007087 | PA      | $2803806.89   | 0.15%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53962 | PA      | $54049.52     | 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        |   1117288 | PA      | $826150.54    | 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        |    776494 | PA      | $750074.66    | 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        |   3987184 | PA      | $3684604.92   | 0.20%             | 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      | $-888058.62   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    888880 | PA      | $822748.16    | 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        |    230660 | PA      | $222714.85    | 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        |   1296900 | PA      | $1143563.12   | 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        |     82245 | PA      | $84424.80     | 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        |    242749 | PA      | $246777.25    | 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        |    196414 | PA      | $189398.07    | 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        |   9153015 | PA      | $9222195.03   | 0.49%             | 2068-04-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2510550 | PA      | $2288122.75   | 0.12%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133D16K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    410099 | PA      | $397158.48    | 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        |    993788 | PA      | $904888.15    | 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        |   1711690 | PA      | $1668017.65   | 0.09%             | 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        |  99980789 | PA      | $993509.10    | 0.05%             | 2027-07-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    814263 | PA      | $754599.28    | 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        |    790551 | PA      | $703632.02    | 0.04%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140Q8AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522374 | PA      | $474511.16    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2114905 | PA      | $2113466.38   | 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      | $9930860.00   | 0.53%             | 2038-11-15      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2022-H01, Class FB                                                 | CUSIP: 38382YKP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3039960 | PA      | $3025085.39   | 0.16%             | 2071-12-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2011-62, Class KF                                                  | CUSIP: 31397U6E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278543 | PA      | $275444.28    | 0.01%             | 2041-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Multifamily Structured Pass-Through Certificates, Series K733, Class A2   | CUSIP: 3137FJXQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1716522 | PA      | $1710131.08   | 0.09%             | 2025-08-25      | Fixed         | 3.75%                 | 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        |  39461071 | PA      | $553875.59    | 0.03%             | 2028-10-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-81, Class PI                                                  | CUSIP: 38378TKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208921 | PA      | $3328.59      | 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        |   7765480 | PA      | $7761145.77   | 0.41%             | 2055-02-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140NDT72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33980 | PA      | $32955.86     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M9DT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    603135 | PA      | $594508.51    | 0.03%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128PRY29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       644 | PA      | $642.61       | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36297GLY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    698736 | PA      | $690303.09    | 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        |    544181 | PA      | $554475.88    | 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        |    713680 | PA      | $681435.05    | 0.04%             | 2033-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7743145 | PA      | $6506711.42   | 0.35%             | 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      | $1129954.20   | 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        |    485895 | PA      | $478167.74    | 0.03%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1608193 | PA      | $1323694.98   | 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        |   7753895 | PA      | $7747715.52   | 0.41%             | 2054-06-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2013-56, Class PK                                                  | CUSIP: 3136AEZE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012944 | PA      | $940277.22    | 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        |    582610 | PA      | $554305.62    | 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        |   5060250 | PA      | $4929070.40   | 0.26%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 31425VG80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2729750 | PA      | $2643470.22   | 0.14%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                 | BANK, Series 2021-BN35, Class XA                                                | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13174386 | PA      | $593517.93    | 0.03%             | 2064-06-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    711346 | PA      | $677968.06    | 0.04%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351419 | PA      | $333249.13    | 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        |    112992 | PA      | $113698.02    | 0.01%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2024-1A, Class A2B                | CUSIP: 96043RAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910795 | PA      | $910965.39    | 0.05%             | 2027-03-15      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31408GSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22370 | PA      | $22729.87     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 4283, Class TZ                                                    | CUSIP: 3137B6HC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3259309 | PA      | $3180268.69   | 0.17%             | 2033-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31409WVY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89052 | PA      | $92770.63     | 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        |   2843840 | PA      | $2776503.68   | 0.15%             | 2046-07-20      | Floating      | 4.89%                 | 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        |   3656000 | PA      | $3654581.47   | 0.20%             | 2027-09-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    979430 | PA      | $964211.71    | 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      | $750425.44    | 0.04%             | 2031-01-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9594 | PA      | $9263.81      | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | 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        |  16624648 | PA      | $831766.05    | 0.04%             | 2054-05-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    813213 | PA      | $653438.53    | 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        |   1196624 | PA      | $1057283.77   | 0.06%             | 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        |   5726619 | PA      | $5802594.38   | 0.31%             | 2067-07-20      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2021-10, Class AC                                                  | CUSIP: 3136BFMA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1481177 | PA      | $1291152.73   | 0.07%             | 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        |   7751237 | PA      | $7540836.27   | 0.40%             | 2041-09-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Howard University                                    | Howard University, Series 2020                                                  | CUSIP: 442851AG6<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    688000 | PA      | $680857.45    | 0.04%             | 2025-10-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1374501 | PA      | $1282991.86   | 0.07%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Multifamily Structured Pass-Through Certificates, Series K098, Class X1   | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  33175464 | PA      | $1342773.57   | 0.07%             | 2029-08-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64235 | PA      | $65416.75     | 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        |    417294 | PA      | $425652.52    | 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        |    724519 | PA      | $737367.92    | 0.04%             | 2034-08-20      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3129456R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    961098 | PA      | $962750.45    | 0.05%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317967 | PA      | $324308.40    | 0.02%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2023-54, Class FD                                                  | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4591261 | PA      | $4619493.05   | 0.25%             | 2053-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 4471, Class PI                                                    | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42979 | PA      | $3980.03      | 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        |    313600 | PA      | $314138.52    | 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      | $52599986.25  | 2.81%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006105 | PA      | $1006512.77   | 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        |     30741 | PA      | $31076.90     | 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        |   1165227 | PA      | $1165699.09   | 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        |    162557 | PA      | $165126.64    | 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        |    171376 | PA      | $168659.71    | 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        |   1003562 | PA      | $1014512.98   | 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        |  10603182 | PA      | $10500219.99  | 0.56%             | 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      | $123506.01    | 0.01%             | 2027-03-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14039171 | PA      | $11951577.26  | 0.64%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101181 | PA      | $99013.08     | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3132HL3J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    353987 | PA      | $315655.60    | 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        |   4705530 | PA      | $4663200.34   | 0.25%             | 2055-03-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140AHVX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2816918 | PA      | $2789563.03   | 0.15%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Navistar Financial Dealer Note Master Owner Trust II | Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A    | CUSIP: 63938PBU2<br>LEI: 549300S28N49H5RT4J50 | Long             | ABS-O            | CORP              | US        |   1299000 | PA      | $1303148.23   | 0.07%             | 2028-08-25      | Fixed         | 6.18%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-175, Class GI                                                 | CUSIP: 38382LLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    190635 | PA      | $21452.86     | 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        |    856158 | PA      | $698537.11    | 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      | $398082.46    | 0.02%             | 2031-02-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1098085 | PA      | $1014877.76   | 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      | $1260756.98   | 0.07%             | 2036-11-25      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M8RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259444 | PA      | $259663.64    | 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      | $1467028.44   | 0.08%             | 2031-11-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138ERQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1732888 | PA      | $1678274.21   | 0.09%             | 2031-12-01      | Fixed         | 3.00%                 | 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      | $352571.08    | 0.02%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2018-44, Class PZ                                                  | CUSIP: 3136B13S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8148148 | PA      | $7426483.98   | 0.40%             | 2048-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 31296L3U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20664 | PA      | $20835.41     | 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        |   1081337 | PA      | $1089450.73   | 0.06%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140ML3E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476650 | PA      | $389381.05    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2012-112, Class BY                                                 | CUSIP: 3136A84D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5300879 | PA      | $5099733.44   | 0.27%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWNG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6206453 | PA      | $6010759.84   | 0.32%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-H10, Class FB                                                 | CUSIP: 38380QBT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2935902 | PA      | $2931311.85   | 0.16%             | 2070-03-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1289937 | PA      | $1068769.60   | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 31292HVU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113918 | PA      | $116268.81    | 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        |    329235 | PA      | $273813.58    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3953321 | PA      | $3278860.41   | 0.18%             | 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        |    528087 | PA      | $527231.76    | 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        |    512776 | PA      | $465851.69    | 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        |   3491073 | PA      | $2720161.38   | 0.15%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418D2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106113 | PA      | $86977.89     | 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        |   1711448 | PA      | $1503679.94   | 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        |     62075 | PA      | $63794.62     | 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        |   4057205 | PA      | $4029834.17   | 0.22%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4048886 | PA      | $3454062.37   | 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      | $1286105.24   | 0.07%             | 2033-10-25      | Variable      | 0.18%                 | 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      | $10563723.05  | 0.56%             | 2026-10-25      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32398 | PA      | $28558.61     | 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        |     45363 | PA      | $46191.98     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    259223 | PA      | $257301.53    | 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        |    253704 | PA      | $254002.08    | 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        |   6842010 | PA      | $6805693.08   | 0.36%             | 2075-02-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140A1F77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45520 | PA      | $45992.31     | 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        |    490519 | PA      | $506032.06    | 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        |   3919097 | PA      | $3881040.04   | 0.21%             | 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      | $7683653.79   | 0.41%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 3620ALQ49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163256 | PA      | $157167.13    | 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        |   1888953 | PA      | $1873177.07   | 0.10%             | 2026-02-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 312934RV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186574 | PA      | $187028.06    | 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        |   5810796 | PA      | $5804524.23   | 0.31%             | 2053-12-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133C8L60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2209385 | PA      | $2237442.00   | 0.12%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWKW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    871251 | PA      | $880128.09    | 0.05%             | 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      | $647114.71    | 0.03%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3998918 | PA      | $3301687.86   | 0.18%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237928 | PA      | $235639.44    | 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        |    163452 | PA      | $136499.44    | 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        |    357112 | PA      | $360920.13    | 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        |     22003 | PA      | $22370.10     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31417NCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299467 | PA      | $299618.35    | 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      | $10949438.78  | 0.59%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2106290 | PA      | $1943663.59   | 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        |   3658790 | PA      | $555199.84    | 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        |    719966 | PA      | $700788.05    | 0.04%             | 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        |   3375471 | PA      | $3385951.52   | 0.18%             | 2054-07-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26343190 | PA      | $20506685.09  | 1.10%             | 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        |    535911 | PA      | $532314.24    | 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        |     91336 | PA      | $79503.18     | 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        |    616490 | PA      | $605161.29    | 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        |   1988698 | PA      | $1930369.06   | 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        |   1779419 | PA      | $1690845.56   | 0.09%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1042771 | PA      | $992979.62    | 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        |   1365131 | PA      | $1126581.26   | 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        |   4057038 | PA      | $3354743.85   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159964 | PA      | $165493.10    | 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        |     25851 | PA      | $25067.48     | 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        |    850031 | PA      | $724500.26    | 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        |    180436 | PA      | $172319.80    | 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        |   1148260 | PA      | $1137110.32   | 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        |    736412 | PA      | $600082.86    | 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        |  77572389 | PA      | $615808.41    | 0.03%             | 2027-08-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31413ECR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91685 | PA      | $95529.88     | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3730611 | PA      | $3126874.10   | 0.17%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31407QRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78176 | PA      | $79547.27     | 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        |     84012 | PA      | $68935.10     | 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        |     36860 | PA      | $37548.68     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2013-84, Class CY                                                  | CUSIP: 3136AF5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8415990 | PA      | $8081941.22   | 0.43%             | 2033-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730413 | PA      | $694310.41    | 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        |     39331 | PA      | $40256.70     | 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      | $1121413.78   | 0.06%             | 2035-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5132019 | PA      | $5082184.20   | 0.27%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133BUZL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29614 | PA      | $28710.69     | 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        |   3254399 | PA      | $2795113.85   | 0.15%             | 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        |  32736201 | PA      | $1741461.14   | 0.09%             | 2054-07-15      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257272 | PA      | $246082.40    | 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        |   3897502 | PA      | $3223763.65   | 0.17%             | 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        |     87567 | PA      | $3529.92      | 0.00%             | 2031-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 4533, Class GA                                                    | CUSIP: 3137BMFL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35748 | PA      | $35665.61     | 0.00%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140HHFV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121865 | PA      | $117779.86    | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418DVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    253217 | PA      | $186832.59    | 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        |    359504 | PA      | $363241.60    | 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        |     33049 | PA      | $27082.19     | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 4630, Class MA                                                    | CUSIP: 3137BSY98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2631281 | PA      | $2600042.10   | 0.14%             | 2055-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1418490 | PA      | $1391556.50   | 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        |   1085329 | PA      | $991742.91    | 0.05%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417156 | PA      | $371030.72    | 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        |     33076 | PA      | $32099.56     | 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        |   1825703 | PA      | $1679536.30   | 0.09%             | 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        |   2401528 | PA      | $2367621.08   | 0.13%             | 2042-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-H05, Class BF                                                 | CUSIP: 38384LAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4520098 | PA      | $4482287.31   | 0.24%             | 2074-11-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury Ultra Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        16 | NC      | $823.01       | 0.00%             |  |  |  | No            |                  1 | 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        |  39581480 | PA      | $2145391.43   | 0.11%             | 2054-08-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829386 | PA      | $692667.62    | 0.04%             | 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      | $1881953.35   | 0.10%             | 2031-01-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Series 5500, Class KF                                                    | CUSIP: 3137HJBF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9503548 | PA      | $9488650.25   | 0.51%             | 2054-10-25      | Floating      | 5.22%                 | 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        |  13493630 | PA      | $922061.54    | 0.05%             | 2054-02-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2016-82, Class FD                                                  | CUSIP: 3136AUAU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6082242 | PA      | $6002773.64   | 0.32%             | 2046-11-25      | Floating      | 4.89%                 | 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        |       248 | NC      | $112883.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3142GQK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118132 | PA      | $119767.94    | 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        |   2037652 | PA      | $1609609.25   | 0.09%             | 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      | $753559.49    | 0.04%             | 2039-02-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72247 | PA      | $72533.64     | 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      | $2430042.12   | 0.13%             | 2027-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246680 | PA      | $242493.17    | 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      | $9648130.23   | 0.52%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133CUD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    673319 | PA      | $652379.44    | 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        |    180943 | PA      | $177494.82    | 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      | $689963.20    | 0.04%             | 2034-09-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179UGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109840 | PA      | $96854.44     | 0.01%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140QL7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    883005 | PA      | $719959.24    | 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        |   1332561 | PA      | $1354343.54   | 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        |     86283 | PA      | $85964.51     | 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        |    581918 | PA      | $553334.10    | 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        |     22073 | PA      | $22142.56     | 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        |   1737092 | PA      | $1685813.03   | 0.09%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85156 | PA      | $78615.84     | 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        |   1677631 | PA      | $1665624.13   | 0.09%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347626 | PA      | $320496.54    | 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      | $1892666.92   | 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        |    946226 | PA      | $909678.89    | 0.05%             | 2042-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31419HBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83078 | PA      | $83111.74     | 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      | $18424613.99  | 0.98%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    905459 | PA      | $850064.54    | 0.05%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139222 | PA      | $141723.08    | 0.01%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2016-19, Class AH                                                  | CUSIP: 3136ARB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6492338 | PA      | $6205421.37   | 0.33%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140LYSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137251 | PA      | $111906.85    | 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        |   1816841 | PA      | $1654324.45   | 0.09%             | 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        |   2796263 | PA      | $222512.94    | 0.01%             | 2041-05-20      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2016-30, Class PA                                                  | CUSIP: 3136AR2J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742606 | PA      | $700658.31    | 0.04%             | 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        |   4445723 | PA      | $4469754.72   | 0.24%             | 2055-02-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-121, Class MI                                                 | CUSIP: 38375AVL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    475565 | PA      | $75812.36     | 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        |    540442 | PA      | $448080.07    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31406LYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13105 | PA      | $13330.20     | 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      | $2090485.20   | 0.11%             | 2030-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2025-7, Class FE                                                   | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9601128 | PA      | $9569150.95   | 0.51%             | 2055-02-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2015-87, Class BF                                                  | CUSIP: 3136AQWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586720 | PA      | $576664.32    | 0.03%             | 2045-12-25      | Floating      | 4.74%                 | 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        |    262386 | PA      | $253628.99    | 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      | $2179768.44   | 0.12%             | 2031-09-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3411705 | PA      | $3239431.53   | 0.17%             | 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        |  19346318 | PA      | $1175654.47   | 0.06%             | 2030-01-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4973147 | PA      | $4182850.74   | 0.22%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61443 | PA      | $60808.75     | 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        |     52543 | PA      | $52563.71     | 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        |    174149 | PA      | $174219.28    | 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        |    153576 | PA      | $142021.29    | 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        |   1105753 | PA      | $1024150.04   | 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        |   1359343 | PA      | $1363363.66   | 0.07%             | 2064-03-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31406B2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115018 | PA      | $116880.56    | 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        |     71079 | PA      | $73710.77     | 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        |   6451540 | PA      | $6490751.67   | 0.35%             | 2068-05-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DMYS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193290 | PA      | $142762.15    | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | 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        | 137852173 | PA      | $1006665.49   | 0.05%             | 2028-01-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328731 | PA      | $242389.14    | 0.01%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133CXG79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3902405 | PA      | $3782423.70   | 0.20%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36177PCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    374302 | PA      | $343074.87    | 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        |     81036 | PA      | $81594.31     | 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        |   1084169 | PA      | $1090017.30   | 0.06%             | 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      | $6004844.95   | 0.32%             | 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      | $35657680.78  | 1.91%             | 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        |   3181989 | PA      | $3180875.60   | 0.17%             | 2028-02-18      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424730 | PA      | $391585.83    | 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        |     46671 | PA      | $47511.60     | 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        |    897599 | PA      | $916409.63    | 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      | $171491.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133C4BS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120184 | PA      | $121449.64    | 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        |   1071425 | PA      | $1021033.37   | 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        |     45373 | PA      | $45562.04     | 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        |     97707 | PA      | $86206.91     | 0.00%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2024-99, Class FE                                                  | CUSIP: 3136BUMM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8483250 | PA      | $8474519.55   | 0.45%             | 2055-01-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140A1FR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272738 | PA      | $275548.96    | 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        |   1306192 | PA      | $1077986.32   | 0.06%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1688633 | PA      | $1604293.37   | 0.09%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3128M5M56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93723 | PA      | $95928.67     | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA                                                                            | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    329536 | PA      | $315243.72    | 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        |    306698 | PA      | $226200.97    | 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        |   1130556 | PA      | $979888.25    | 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        |   3071935 | PA      | $2617290.60   | 0.14%             | 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        |    216352 | PA      | $206054.57    | 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        |    579560 | PA      | $561686.88    | 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        |  21295260 | PA      | $685189.89    | 0.04%             | 2072-12-15      | Variable      | 0.82%                 | 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      | $8065393.38   | 0.43%             | 2027-12-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31371KN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3725 | PA      | $3862.39      | 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      | $1497087.31   | 0.08%             | 2031-09-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1475540 | PA      | $1402270.63   | 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        |   4796801 | PA      | $4087379.09   | 0.22%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8744 | PA      | $8868.34      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                           | CUSIP: 3132GLGN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179326 | PA      | $166242.87    | 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      | $4817147.67   | 0.26%             | 2036-07-15      | Floating      | 5.89%                 | 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        |   1193239 | PA      | $1195126.98   | 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        |  79655789 | PA      | $3488859.85   | 0.19%             | 2054-10-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| BANK                                                 | BANK, Series 2021-BN31, Class XA                                                | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32664402 | PA      | $1840678.27   | 0.10%             | 2054-02-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140NPQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223086 | PA      | $225647.96    | 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        |    542293 | PA      | $443273.01    | 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        |    394493 | PA      | $375204.20    | 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        |   3793912 | PA      | $3803433.73   | 0.20%             | 2066-10-20      | Floating      | 5.20%                 | 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        |   1192653 | PA      | $1202198.00   | 0.06%             | 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        |    299122 | PA      | $285846.82    | 0.02%             | 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      | $668341.08    | 0.04%             | 2031-01-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 3140KG3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118494 | PA      | $934514.19    | 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        |     24063 | PA      | $19709.37     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS                                                                            | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3869140 | PA      | $3152814.47   | 0.17%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS                                                                            | CUSIP: 31406PDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120640 | PA      | $122889.00    | 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        |    799565 | PA      | $653649.08    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer