# EDGAR Filing Document

**Accession Number:** 0000356349
**File Stem:** 0001752724-23-011789
**Filing Date:** 2023-1
**Character Count:** 351044
**Document Hash:** 8643e5179ddaf242da760342d8199c1b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-011789.hdr.sgml**: 20230125

**ACCESSION NUMBER**: 0001752724-23-011789

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230125

**DATE AS OF CHANGE**: 20230125

**PERIOD START**: 20230228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST XIII
- **CENTRAL INDEX KEY:** 0000356349
- **IRS NUMBER:** 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:** 23550822

**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

![](imgb2b933b61.gif)

### Quarterly Report
November 30, 2022

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

![](imgc9b4b8be2.gif)

MFG-Q3

------

### Portfolio of Investments
11/30/22 (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 – 97.9% | Bonds – 97.9% | Bonds – 97.9% |
| Asset-Backed & Securitized – 5.7% | Asset-Backed & Securitized – 5.7% | Asset-Backed & Securitized – 5.7% |
| 3650R Commercial Mortgage Trust, 2021-PF1, "XA", 1.142%, 11/15/2054 (i) | $21982143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1310619 |
| ACREC 2021-FL1 Ltd., "AS", FLR, 5.411% (LIBOR - 1mo. + 1.5%), 10/16/2036 (n) | &nbsp;&nbsp;7778000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7350028 |
| Arbor Realty Trust, Inc., CLO, 2021-FL1, "B", FLR, 5.378% (LIBOR - 1mo. + 1.5%), 12/15/2035 (n) | &nbsp;&nbsp;3901000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3592454 |
| Arbor Realty Trust, Inc., CLO, 2021-FL3, "AS", FLR, 5.275% (LIBOR - 1mo. + 1.4%), 8/15/2034 (n) | &nbsp;&nbsp;6638000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6246139 |
| AREIT 2022-CRE6 Trust, "AS", FLR, 5.042% (SOFR - 30 day + 1.65%), 1/16/2037 (n) | &nbsp;&nbsp;7155500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6721118 |
| BBCMS Mortgage Trust, 2021-C10, "XA", 1.422%, 7/15/2054 (i) | 21231758 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1562067 |
| BBCMS Mortgage Trust, 2021-C9, "XA", 1.751%, 2/15/2054 (i) | 13862748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1274975 |
| BBCMS Mortgage Trust, 2022-C18, "AS", 6.148%, 12/15/2055 (w) | &nbsp;&nbsp;2688397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2826276 |
| BBCMS Mortgage Trust, 2022-C18, "XA", 0.46%, 12/15/2055 (i)(w) | 23103553 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;909192 |
| Benchmark 2021-B23 Mortgage Trust, "XA", 1.379%, 2/15/2054 (i) | 43850423 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3007043 |
| Benchmark 2021-B24 Mortgage Trust, "XA", 1.15%, 3/15/2054 (i) | 26332948 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1631363 |
| Benchmark 2021-B26 Mortgage Trust, "XA", 0.998%, 6/15/2054 (i) | 38162898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1904187 |
| Benchmark 2021-B27 Mortgage Trust, "XA", 1.383%, 7/15/2054 (i) | 33699648 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2413633 |
| Benchmark 2021-B28 Mortgage Trust, "XA", 1.396%, 8/15/2054 (i) | 40270471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2883962 |
| Benchmark 2021-B29 Mortgage Trust, "XA", 1.153%, 9/15/2054 (i) | 45453973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2571463 |
| BSPDF 2021-FL1 Issuer Ltd., "A", FLR, 5.075% (LIBOR - 1mo. + 1.2%), 10/15/2036 (n) | &nbsp;&nbsp;3712000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3547885 |
| BSPDF 2021-FL1 Issuer Ltd., "AS", FLR, 5.355% (LIBOR - 1mo. + 1.48%), 10/15/2036 (n) | &nbsp;&nbsp;4700500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4545379 |
| BXMT 2021-FL4 Ltd., "AS", FLR, 5.175% (LIBOR - 1mo. + 1.3%), 5/15/2038 (n) | &nbsp;&nbsp;7779500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7414004 |
| Capital Automotive, 2020-1A, "A4", REIT, 3.19%, 2/15/2050 (n) | &nbsp;&nbsp;1250378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1168955 |
| Citigroup Commercial Mortgage Trust, 2019-XA, "C7", 0.995%, 12/15/2072 (i)(n) | 23381308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1049868 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN31, "XA", 1.432%, 2/15/2054 (i) | 33627261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2566594 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN32, "XA", 0.78%, 4/15/2054 (i) | 19033201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;839604 |
| Commercial Mortgage Pass-Through Certificates, 2021-BN35, "XA", 1.152%, 6/15/2064 (i) | 13344501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;799289 |
| KREF 2018-FT1 Ltd., "AS", FLR, 5.211% (LIBOR - 1mo. + 1.3%), 2/15/2039 (n) | &nbsp;&nbsp;&nbsp;&nbsp;759000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;704834 |
| LAD Auto Receivables Trust, 2022-1A, "A", 5.21%, 6/15/2027 (n) | &nbsp;&nbsp;1326363 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1301959 |
| LoanCore 2021-CRE5 Ltd., "AS", FLR, 5.625% (LIBOR - 1mo. + 1.75%), 7/15/2036 (n) | &nbsp;&nbsp;6508500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6034746 |
| LoanCore 2021-CRE6 Ltd., "AS", FLR, 5.525% (LIBOR - 1mo. + 1.65%), 11/15/2038 (n) | 10000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9398220 |
| Madison Park Funding Ltd., 2014-13A, "BR2", FLR, 5.727% (LIBOR - 3mo. + 1.5%), 4/19/2030 (n) | &nbsp;&nbsp;5711934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5562950 |
| MF1 2021-FL5 Ltd., "AS", FLR, 5.178% (LIBOR - 1mo. + 1.2%), 7/15/2036 (n) | &nbsp;&nbsp;3875500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3666018 |
| MF1 2021-FL5 Ltd., "B", FLR, 5.428% (LIBOR - 1mo. + 1.45%), 7/15/2036 (n) | &nbsp;&nbsp;4881500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4613597 |
| Morgan Stanley Capital I Trust, 2018-H4, "XA", 1.001%, 12/15/2051 (i) | 24234879 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;898971 |
| Morgan Stanley Capital I Trust, 2021-L5, "XA", 1.419%, 5/15/2054 (i) | 16789753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1178239 |
| Morgan Stanley Capital I Trust, 2021-L6, "XA", 1.345%, 6/15/2054 (i) | 20615958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1328280 |
| Morgan Stanley Capital I Trust, 2021-L7, "XA", 1.215%, 10/15/2054 (i) | 80811926 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4883473 |
| PFP III 2021-7 Ltd., "AS", FLR, 5.025% (LIBOR - 1mo. + 1.15%), 4/14/2038 (n) | &nbsp;&nbsp;5441728 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5085159 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "A", FLR, 5.244% (LIBOR - 1mo. + 1.2%), 11/25/2036 | &nbsp;&nbsp;4033142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3863248 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "AS", FLR, 5.544% (LIBOR - 1mo. + 1.5%), 11/25/2036 | &nbsp;&nbsp;1261500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1185950 |
| Santander Drive Auto Receivables Trust, 2022-5, "A2", 3.98%, 1/15/2025 | &nbsp;&nbsp;1208000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1199117 |
| Santander Drive Auto Receivables Trust, 2022-6, "A2", 4.37%, 5/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;961000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;955239 |
| Wells Fargo Commercial Mortgage Trust, 2018-C48, "XA", 1.118%, 1/15/2052 (i)(n) | 13285710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;569560 |
| Wells Fargo Commercial Mortgage Trust, 2021-C60, "XA", 1.672%, 8/15/2054 (i) | 20842198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1868455 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;$122434112 |
| Automotive – 0.1% | Automotive – 0.1% | Automotive – 0.1% |
| Hyundai Capital America, 2.375%, 2/10/2023 (n) | $&nbsp;&nbsp;1899000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1887437 |
| Consumer Services – 0.1% | Consumer Services – 0.1% | Consumer Services – 0.1% |
| Conservation Fund, 3.474%, 12/15/2029 | $&nbsp;&nbsp;2018000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1755328 |
| Industrial – 0.1% | Industrial – 0.1% | Industrial – 0.1% |
| Howard University, Washington D.C., 2.801%, 10/01/2023 | $&nbsp;&nbsp;&nbsp;&nbsp;505000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$494594 |
| Howard University, Washington D.C., AGM, 2.416%, 10/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;556000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;524930 |
| Howard University, Washington D.C., AGM, 2.516%, 10/01/2025 | &nbsp;&nbsp;&nbsp;&nbsp;688000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;642206 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1661730 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Medical & Health Technology & Services – 0.3% | Medical & Health Technology & Services – 0.3% | Medical & Health Technology & Services – 0.3% |
| ProMedica Toledo Hospital, "B", AGM, 5.325%, 11/15/2028 | $&nbsp;&nbsp;&nbsp;&nbsp;4139000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4125876 |
| ProMedica Toledo Hospital, "B", AGM, 5.75%, 11/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp;1992000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1906678 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$6032554 |
| Mortgage-Backed – 51.2% | Mortgage-Backed – 51.2% |  |
| Fannie Mae, 2.152%, 1/25/2023 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;107312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$106975 |
| Fannie Mae, 2.41%, 5/01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;1319720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1301246 |
| Fannie Mae, 5.5%, 6/01/2023 - 5/01/2044 | &nbsp;&nbsp;&nbsp;&nbsp;8534999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8917157 |
| Fannie Mae, 5%, 3/01/2024 - 3/01/2042 | &nbsp;&nbsp;&nbsp;&nbsp;7647037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7822269 |
| Fannie Mae, 4.5%, 5/01/2025 - 6/01/2044 | &nbsp;&nbsp;18679224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18699099 |
| Fannie Mae, 4%, 3/25/2028 - 7/01/2047 | &nbsp;&nbsp;36837784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35928234 |
| Fannie Mae, 3%, 11/01/2028 - 5/25/2053 | &nbsp;&nbsp;22104537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20932854 |
| Fannie Mae, 2.5%, 11/01/2031 - 2/01/2052 | &nbsp;&nbsp;11427176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9958473 |
| Fannie Mae, 3.5%, 12/25/2031 - 2/25/2036 (i) | &nbsp;&nbsp;&nbsp;&nbsp;1462899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;143768 |
| Fannie Mae, 6.5%, 1/01/2032 - 10/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;680536 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;707744 |
| Fannie Mae, 6%, 1/01/2033 - 12/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;1887307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1956361 |
| Fannie Mae, 3%, 2/25/2033 (i) | &nbsp;&nbsp;&nbsp;&nbsp;1589650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;147708 |
| Fannie Mae, 3.5%, 4/01/2038 - 12/01/2047 | &nbsp;&nbsp;25852833 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;24311097 |
| Fannie Mae, 2%, 10/25/2040 - 4/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp;1591533 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1470427 |
| Fannie Mae, 1.75%, 9/25/2041 - 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;4917928 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4517473 |
| Fannie Mae, 2.75%, 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp;1608926 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1504817 |
| Fannie Mae, UMBS, 2.5%, 5/01/2036 - 10/01/2052 | 177131929 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;152940967 |
| Fannie Mae, UMBS, 2%, 10/01/2036 - 7/01/2052 | 151979252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;127352510 |
| Fannie Mae, UMBS, 1.5%, 2/01/2042 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;533699 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;436291 |
| Fannie Mae, UMBS, 5.5%, 5/01/2044 | &nbsp;&nbsp;&nbsp;&nbsp;1285455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1349609 |
| Fannie Mae, UMBS, 3.5%, 5/01/2049 - 9/01/2052 | &nbsp;&nbsp;10978898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10072269 |
| Fannie Mae, UMBS, 3%, 6/01/2051 - 11/01/2052 | &nbsp;&nbsp;24930802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22186887 |
| Fannie Mae, UMBS, 4%, 5/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;3146788 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2999538 |
| Fannie Mae, UMBS, 4.5%, 9/01/2052 | &nbsp;&nbsp;&nbsp;&nbsp;2390217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2337363 |
| Freddie Mac, 5%, 4/01/2023 - 10/01/2052 | &nbsp;&nbsp;10782676 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10953496 |
| Freddie Mac, 3.25%, 4/25/2023 - 11/25/2061 | &nbsp;&nbsp;21446108 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;20061019 |
| Freddie Mac, 6%, 6/01/2023 - 10/01/2038 | &nbsp;&nbsp;&nbsp;&nbsp;1094093 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1141235 |
| Freddie Mac, 3.06%, 7/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;871000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;860413 |
| Freddie Mac, 3.531%, 7/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;239403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;236833 |
| Freddie Mac, 3.458%, 8/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;4540790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4487265 |
| Freddie Mac, 1.038%, 4/25/2024 (i) | &nbsp;&nbsp;36235124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;363159 |
| Freddie Mac, 0.725%, 7/25/2024 (i) | &nbsp;&nbsp;49286287 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;346379 |
| Freddie Mac, 3.303%, 7/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;4700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4583939 |
| Freddie Mac, 3.064%, 8/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;5952406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5780494 |
| Freddie Mac, 4.5%, 9/01/2024 - 5/01/2042 | &nbsp;&nbsp;&nbsp;&nbsp;3239491 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3248689 |
| Freddie Mac, 2.67%, 12/25/2024 | &nbsp;&nbsp;10948000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10500978 |
| Freddie Mac, 3.062%, 12/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;325000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;314366 |
| Freddie Mac, 2.811%, 1/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;7474645 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7183491 |
| Freddie Mac, 3.329%, 5/25/2025 | &nbsp;&nbsp;16621000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16093918 |
| Freddie Mac, 3.284%, 6/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1125000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1087976 |
| Freddie Mac, 4%, 7/01/2025 - 4/01/2044 | &nbsp;&nbsp;&nbsp;&nbsp;2732312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2672697 |
| Freddie Mac, 3.5%, 11/15/2025 - 10/25/2058 | &nbsp;&nbsp;32522547 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30806364 |
| Freddie Mac, 1.482%, 3/25/2027 (i) | &nbsp;&nbsp;&nbsp;&nbsp;5583000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;279818 |
| Freddie Mac, 0.71%, 7/25/2027 (i) | 104340878 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2301676 |
| Freddie Mac, 0.557%, 8/25/2027 (i) | &nbsp;&nbsp;81882752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1393235 |
| Freddie Mac, 0.429%, 1/25/2028 (i) | 143929401 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2000806 |
| Freddie Mac, 0.436%, 1/25/2028 (i) | &nbsp;&nbsp;61842676 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;885488 |
| Freddie Mac, 0.271%, 2/25/2028 (i) | 175345760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1277657 |
| Freddie Mac, 2.5%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;311805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;308546 |
| Freddie Mac, 0.264%, 4/25/2028 (i) | 113135122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;780678 |
| Freddie Mac, 3%, 6/15/2028 - 2/25/2059 | &nbsp;&nbsp;30660463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28044303 |
| Freddie Mac, 1.22%, 7/25/2029 (i) | &nbsp;&nbsp;19334355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1119821 |
| Freddie Mac, 1.268%, 8/25/2029 (i) | &nbsp;&nbsp;33755653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2044826 |
| Freddie Mac, 1.917%, 4/25/2030 (i) | &nbsp;&nbsp;14430646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1544993 |

---

------

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, 1.985%, 4/25/2030 (i) | $20077463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2174333 |
| Freddie Mac, 1.768%, 5/25/2030 (i) | 12033779 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1205442 |
| Freddie Mac, 1.907%, 5/25/2030 (i) | 26880424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2897414 |
| Freddie Mac, 5.5%, 6/01/2030 - 9/01/2041 | &nbsp;&nbsp;3799343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3974242 |
| Freddie Mac, 1.436%, 6/25/2030 (i) | 11124134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;914397 |
| Freddie Mac, 1.704%, 8/25/2030 (i) | 10235210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1018624 |
| Freddie Mac, 1.263%, 9/25/2030 (i) | &nbsp;&nbsp;6568138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;480699 |
| Freddie Mac, 1.172%, 11/25/2030 (i) | 13158725 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;908813 |
| Freddie Mac, 0.422%, 1/25/2031 (i) | 50169540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1017223 |
| Freddie Mac, 0.873%, 1/25/2031 (i) | 19512958 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;992123 |
| Freddie Mac, 1.026%, 1/25/2031 (i) | 14681587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;891923 |
| Freddie Mac, 0.613%, 3/25/2031 (i) | 40303638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1318098 |
| Freddie Mac, 0.829%, 3/25/2031 (i) | 17260719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;846602 |
| Freddie Mac, 1.334%, 5/25/2031 (i) | &nbsp;&nbsp;7120528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;575437 |
| Freddie Mac, 1.039%, 7/25/2031 (i) | 11674001 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;750808 |
| Freddie Mac, 0.608%, 8/25/2031 (i) | 14901241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;520171 |
| Freddie Mac, 0.632%, 9/25/2031 (i) | 50149699 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1936912 |
| Freddie Mac, 0.955%, 9/25/2031 (i) | 14983637 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;893712 |
| Freddie Mac, 2.154%, 10/25/2031 | &nbsp;&nbsp;1500000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1255431 |
| Freddie Mac, 0.441%, 11/25/2031 (i) | 73361326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1912163 |
| Freddie Mac, 0.597%, 12/25/2031 (i) | 73957916 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2661538 |
| Freddie Mac, 0.664%, 12/25/2031 (i) | 12187459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;487784 |
| Freddie Mac, 2.59%, 1/25/2032 | &nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;865286 |
| Freddie Mac, 2.4%, 3/25/2032 | &nbsp;&nbsp;1000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;852778 |
| Freddie Mac, 3.71%, 9/25/2032 | &nbsp;&nbsp;5900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5580855 |
| Freddie Mac, 5.5%, 2/15/2036 (i) | &nbsp;&nbsp;&nbsp;&nbsp;382497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63064 |
| Freddie Mac, 2%, 8/15/2036 | &nbsp;&nbsp;1151478 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1134836 |
| Freddie Mac, 6.5%, 5/01/2037 | &nbsp;&nbsp;&nbsp;&nbsp;133259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;137993 |
| Freddie Mac, 4.5%, 12/15/2040 (i) | &nbsp;&nbsp;&nbsp;&nbsp;120548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10905 |
| Freddie Mac, 1.75%, 8/15/2041 | &nbsp;&nbsp;1260879 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1152226 |
| Freddie Mac, 2.92%, 6/25/2054 | &nbsp;&nbsp;8400000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7457658 |
| Freddie Mac, 2.58%, 6/25/2055 | &nbsp;&nbsp;1880714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1619574 |
| Freddie Mac, UMBS, 2.5%, 3/01/2037 - 11/01/2052 | 32401727 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28186720 |
| Freddie Mac, UMBS, 2%, 4/01/2037 - 8/01/2052 | 81766151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;69569926 |
| Freddie Mac, UMBS, 3.5%, 12/01/2046 - 11/01/2052 | &nbsp;&nbsp;8087243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7451982 |
| Freddie Mac, UMBS, 3%, 2/01/2050 - 10/01/2052 | 41698610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;36972865 |
| Freddie Mac, UMBS, 4%, 5/01/2052 | &nbsp;&nbsp;4831575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4592023 |
| Ginnie Mae, 5.5%, 3/15/2033 - 1/20/2042 | &nbsp;&nbsp;1826587 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1904434 |
| Ginnie Mae, 4.5%, 7/20/2033 - 10/20/2052 | 39585406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38893839 |
| Ginnie Mae, 5.683%, 8/20/2034 | &nbsp;&nbsp;1276376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1310086 |
| Ginnie Mae, 4%, 5/16/2039 - 10/20/2052 | 18134429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17380175 |
| Ginnie Mae, 3.5%, 10/20/2041 (i) | &nbsp;&nbsp;&nbsp;&nbsp;526260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;28201 |
| Ginnie Mae, 3.5%, 12/15/2041 - 11/20/2052 | 35936242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33551692 |
| Ginnie Mae, 2.5%, 6/20/2042 - 6/20/2052 | 38407799 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33823229 |
| Ginnie Mae, 4%, 8/16/2042 (i) | &nbsp;&nbsp;&nbsp;&nbsp;696310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;103703 |
| Ginnie Mae, 3%, 2/20/2043 - 10/20/2052 | 47122476 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42791142 |
| Ginnie Mae, 2.25%, 9/20/2043 | &nbsp;&nbsp;&nbsp;&nbsp;883501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;841318 |
| Ginnie Mae, 2%, 1/20/2052 | &nbsp;&nbsp;9111805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7770816 |
| Ginnie Mae, 5%, 8/20/2052 - 11/20/2052 | 13308447 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13304697 |
| Ginnie Mae, 0.586%, 2/16/2059 (i) | &nbsp;&nbsp;2604277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;92010 |
| Ginnie Mae, TBA, 2.5%, 12/15/2052 | &nbsp;&nbsp;7900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6942125 |
| Ginnie Mae, TBA, 4.5%, 12/15/2052 | &nbsp;&nbsp;5650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5533689 |
| Ginnie Mae, TBA, 5.5%, 12/15/2052 | &nbsp;&nbsp;9200000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9309112 |
| Ginnie Mae, TBA, 2%, 12/20/2052 | 12675000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10785633 |
| Ginnie Mae, TBA, 6%, 12/20/2052 | 13375000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13649737 |
| UMBS, TBA, 4.5%, 12/13/2052 | &nbsp;&nbsp;6700000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6520984 |
| UMBS, TBA, 1.5%, 12/25/2052 | &nbsp;&nbsp;8425000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6562614 |
| UMBS, TBA, 2.5%, 12/25/2052 | 12650000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10820691 |
| UMBS, TBA, 4%, 12/25/2052 | &nbsp;&nbsp;4550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4302416 |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | &nbsp;&nbsp;&nbsp;**Value ($)** |
| Bonds – continued | Bonds – continued | Bonds – continued |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| UMBS, TBA, 5%, 12/25/2052 | $&nbsp;&nbsp;&nbsp;&nbsp;3950000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$3930250 |
| UMBS, TBA, 5.5%, 12/25/2052 | &nbsp;&nbsp;14075000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14234782 |
| UMBS, TBA, 6%, 12/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp;2300000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2351557 |
|  |  | &nbsp;&nbsp;$1102827206 |
| Municipals – 1.5% | Municipals – 1.5% | Municipals – 1.5% |
| California Earthquake Authority Rev., Taxable, "B", 1.477%, 7/01/2023 | $&nbsp;&nbsp;&nbsp;&nbsp;1355000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1322591 |
| Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, "B", 2.064%, 12/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;985000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;933280 |
| Chicago, IL, Transit Authority Sales Tax Receipts Refunding Rev., Taxable, "B", 2.214%, 12/01/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;738000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;684043 |
| Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Rev., Taxable, "B", 3%, 6/01/2046 | &nbsp;&nbsp;&nbsp;&nbsp;4150000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3837769 |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 2.682%, 7/01/2027 | &nbsp;&nbsp;&nbsp;&nbsp;2165000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1940392 |
| Michigan Finance Authority Tobacco Settlement Asset-Backed Rev., Taxable (2006 Sold Tobacco Receipts), "A-1", 2.326%, 6/01/2030 | &nbsp;&nbsp;&nbsp;&nbsp;1159841 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1053179 |
| New Jersey Economic Development Authority State Pension Funding Rev., Capital Appreciation, Taxable, "B", AGM, 0%, 2/15/2023 | &nbsp;&nbsp;14792000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14648883 |
| New York Transportation Development Corp., Special Facilities Rev., Taxable (Terminal 4 John F. Kennedy International Airport Project), "B", 1.61%, 12/01/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;770000 |
| Philadelphia, PA, School District, Taxable, "A", AGM, 5.995%, 9/01/2030 | &nbsp;&nbsp;&nbsp;&nbsp;3280000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3471350 |
| Port of Oakland, CA, Senior Lien Refunding Rev., Taxable, "R", 1.517%, 5/01/2026 | &nbsp;&nbsp;&nbsp;&nbsp;1680000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1506560 |
| West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, "A-1", 1.497%, 6/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;1900000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1784031 |
| West Virginia Tobacco Settlement Financing Authority Asset-Backed Refunding, Taxable, "A-1", 1.647%, 6/01/2025 | &nbsp;&nbsp;&nbsp;&nbsp;1550000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1408733 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$33360811 |
| U.S. Government Agencies and Equivalents – 0.2% | U.S. Government Agencies and Equivalents – 0.2% | U.S. Government Agencies and Equivalents – 0.2% |
| Small Business Administration, 4.98%, 11/01/2023 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13765 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$13629 |
| Small Business Administration, 4.89%, 12/01/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;43040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42602 |
| Small Business Administration, 4.77%, 4/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;61360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;60350 |
| Small Business Administration, 5.52%, 6/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25274 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25284 |
| Small Business Administration, 4.99%, 9/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;63401 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;62199 |
| Small Business Administration, 4.86%, 10/01/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39009 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;38573 |
| Small Business Administration, 4.86%, 1/01/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;88115 |
| Small Business Administration, 5.11%, 4/01/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;56327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55151 |
| Small Business Administration, 2.21%, 2/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;811174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;739559 |
| Small Business Administration, 2.22%, 3/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;1248302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1136550 |
| Small Business Administration, 3.15%, 7/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;1222969 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1163626 |
| Small Business Administration, 3.16%, 8/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;491531 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;469472 |
| Small Business Administration, 3.62%, 9/01/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;458068 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;443565 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$4338675 |
| U.S. Treasury Obligations – 38.7% | U.S. Treasury Obligations – 38.7% | U.S. Treasury Obligations – 38.7% |
| U.S. Treasury Bonds, 6.25%, 8/15/2023 | $&nbsp;&nbsp;&nbsp;&nbsp;1445000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1461143 |
| U.S. Treasury Bonds, 6%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;5933000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;6270208 |
| U.S. Treasury Bonds, 6.75%, 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;981000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1073084 |
| U.S. Treasury Bonds, 6.375%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;2309000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2550633 |
| U.S. Treasury Bonds, 1.625%, 5/15/2031 | &nbsp;&nbsp;41833000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;35757410 |
| U.S. Treasury Bonds, 4.375%, 2/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp;2078000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2230197 |
| U.S. Treasury Bonds, 4.5%, 8/15/2039 | &nbsp;&nbsp;11926300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12946092 |
| U.S. Treasury Bonds, 3.125%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp;9748800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8511921 |
| U.S. Treasury Bonds, 2.875%, 5/15/2043 | &nbsp;&nbsp;27528200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23017231 |
| U.S. Treasury Bonds, 2.5%, 2/15/2045 | &nbsp;&nbsp;97983000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;75542596 |
| U.S. Treasury Bonds, 2.875%, 11/15/2046 | &nbsp;&nbsp;26245000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21583437 |
| U.S. Treasury Notes, 0.125%, 2/28/2023 | &nbsp;&nbsp;51824200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51281170 |
| U.S. Treasury Notes, 2.5%, 3/31/2023 | 131000000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;130119510 |
| U.S. Treasury Notes, 0.125%, 5/31/2023 | &nbsp;&nbsp;33455000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;32720558 |
| U.S. Treasury Notes, 0.125%, 6/30/2023 | &nbsp;&nbsp;18346500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17859888 |
| U.S. Treasury Notes, 0.125%, 7/15/2023 | &nbsp;&nbsp;11546000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11222622 |
| U.S. Treasury Notes, 2.5%, 8/15/2023 (f) | 136673000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134558840 |
| U.S. Treasury Notes, 0.375%, 10/31/2023 | &nbsp;&nbsp;&nbsp;&nbsp;8133200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7815179 |
| U.S. Treasury Notes, 4.375%, 10/31/2024 | &nbsp;&nbsp;10453000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10450550 |

---

------

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, 2.625%, 12/31/2025 | $20900000 | &nbsp;&nbsp;&nbsp;$20037059 |
| U.S. Treasury Notes, 0.75%, 5/31/2026 | 38599000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34503887 |
| U.S. Treasury Notes, 2%, 11/15/2026 | 51959000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;48258951 |
| U.S. Treasury Notes, 2.75%, 2/15/2028 | 54157000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;51358183 |
| U.S. Treasury Notes, 1%, 7/31/2028 | 32248000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27651400 |
| U.S. Treasury Notes, 2.375%, 5/15/2029 | 19515500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17955022 |
| U.S. Treasury Notes, 1.625%, 8/15/2029 | 29405000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;25822414 |
| U.S. Treasury Notes, 1.75%, 11/15/2029 | &nbsp;&nbsp;8564000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7587503 |
| U.S. Treasury Notes, 1.375%, 11/15/2031 | 11425300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9449527 |
| U.S. Treasury Notes, 3.25%, 5/15/2042 | &nbsp;&nbsp;3075000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2762215 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$832358430 |
| **Total Bonds** |  | &nbsp;&nbsp;**$2106656283** |
| Short-Term Investment – 1.4% | Short-Term Investment – 1.4% | Short-Term Investment – 1.4% |
| Pharmaceuticals – 1.4% | Pharmaceuticals – 1.4% | Pharmaceuticals – 1.4% |
| Sanofi, 3.56%, 12/29/2022 (t)(y) | $31089000 | &nbsp;&nbsp;&nbsp;$30987347 |
| Investment Companies (h) – 4.3% | Investment Companies (h) – 4.3% | Investment Companies (h) – 4.3% |
| Money Market Funds – 4.3% | Money Market Funds – 4.3% |  |
| MFS Institutional Money Market Portfolio, 3.67% (v) | 93247524 | &nbsp;&nbsp;&nbsp;$93247524 |
| Other Assets, Less Liabilities – (3.6)% |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(78071865) |
| **Net Assets – 100.0%** | **Net Assets – 100.0%** | &nbsp;&nbsp;&nbsp;**$2152819289** |

---

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

(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 $93,247,524 and $2,137,643,630, 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 $80,460,310, representing 3.7% of net assets.

(t) Security exempt from registration with the U.S. Securities and Exchange Commission under Section 4(2) of the Securities Act of 1933.

(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.

(w) When-issued security.

(y) The rate shown represents an annualized yield at time of purchase.

---

| | |
|:---|:---|
| 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 |
| 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. |
| LIBOR | London Interbank Offered Rate |
| REIT | Real Estate Investment Trust |
| SOFR | Secured Overnight Financing Rate |
| TBA | To Be Announced |
| UMBS | Uniform Mortgage-Backed Security |

---

------

Portfolio of Investments (unaudited) – continued

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 11/30/22** | **Derivative Contracts at 11/30/22** | **Derivative Contracts at 11/30/22** | **Derivative Contracts at 11/30/22** | **Derivative Contracts at 11/30/22** | **Derivative Contracts at 11/30/22** | **Derivative Contracts at 11/30/22** |
| **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 Bond | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;331 | &nbsp;&nbsp;$42037000 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;$159103 |
| U.S. Treasury Note 10 yr | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;1154 | &nbsp;&nbsp;130979000 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;512541 |
| U.S. Treasury Note 2 yr | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;121 | &nbsp;&nbsp;24848485 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;55840 |
| U.S. Treasury Note 5 yr | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;508 | &nbsp;&nbsp;55153719 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;268072 |
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;Long | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;481 | &nbsp;&nbsp;65551281 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;287608 |
|  |  |  |  |  |  | &nbsp;&nbsp;$1283164 |
| **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** | **Liability Derivatives** |
| ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** | ***Interest Rate Futures*** |  |  |
| U.S. Treasury Ultra Note 10 yr | &nbsp;&nbsp;Short | &nbsp;&nbsp;USD | &nbsp;&nbsp;&nbsp;&nbsp;165 | &nbsp;&nbsp;$19743281 | &nbsp;&nbsp;March – 2023 | &nbsp;&nbsp;&nbsp;$(33335) |

---

At November 30, 2022, the fund had liquid securities with an aggregate value of $7,912,668 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
11/30/22 (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. Effective September 8, 2022, and 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. 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. 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. 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). 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. The following is a summary of the levels used as of November 30, 2022 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;$836697105 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;$836697105 |
| 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;33360811 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;33360811 |
| 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;11337049 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11337049 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1102827206 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;1102827206 |
| 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;80280388 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;80280388 |
| 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;42153724 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;42153724 |
| Short-Term 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;30987347 | &nbsp;&nbsp;&nbsp;&nbsp;— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;30987347 |
| Mutual Funds | &nbsp;&nbsp;&nbsp;&nbsp;93247524 | &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;93247524 |
| Total | &nbsp;&nbsp;&nbsp;$93247524 | &nbsp;&nbsp;&nbsp;$2137643630 | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$2230891154 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Assets | &nbsp;&nbsp;&nbsp;&nbsp;$1283164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;$— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$1283164 |
| Futures Contracts – Liabilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(33335) | &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;&nbsp;&nbsp;&nbsp;&nbsp;(33335) |

---

------

Supplemental Information (unaudited) – continued

(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:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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;$677447936 | &nbsp;&nbsp;$1033038731 | &nbsp;&nbsp;$1617227526 | &nbsp;&nbsp;$(13469) | &nbsp;&nbsp;$1852 | &nbsp;&nbsp;$93247524 |

---

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | &nbsp;&nbsp;**Dividend<br> Income** | &nbsp;&nbsp;**Capital Gain<br> Distributions** |
| MFS Institutional Money Market Portfolio | &nbsp;&nbsp;$2749900 | &nbsp;&nbsp;$— |

---

(3) Russia and Ukraine Conflict

The market disruptions, which began in late February 2022, associated with geopolitical events related to the conflict between Russia and Ukraine may adversely affect the value of the fund's assets and thus the fund's performance. Management continues to monitor these events and to evaluate the related impacts, if any, to the fund.

## 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:** 2023-02-28

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2269174108.93

**Total Liabilities:** $116354855.98

**Net Assets:** $2152819252.95

**Delayed Delivery Securities:** $110976402.17

**Cash Not Reported:** $945642.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -737.55906310 | **1-Year:** -7179.19349290 | **5-Year:** -11891.19569350 | **10-Year:** -14177.04283570 | **30-Year:** -3109.51118470

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

- **3-Month:** -85.82770560 | **1-Year:** -1241.85816960 | **5-Year:** -4009.33731080 | **10-Year:** -2284.88639070 | **30-Year:** -145.08428960

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000002008 | -4.03%               | -1.65%               | 3.27%                |
| Class ID C000002007 | -4.05%               | -1.56%               | 3.13%                |
| Class ID C000117927 | -4.02%               | -1.53%               | 3.16%                |
| Class ID C000002015 | -4.12%               | -1.62%               | 3.07%                |
| Class ID C000002006 | -3.93%               | -1.66%               | 3.27%                |
| Class ID C000002017 | -4.07%               | -1.58%               | 3.11%                |
| Class ID C000002012 | -4.12%               | -1.62%               | 3.07%                |
| Class ID C000002018 | -3.94%               | -1.67%               | 3.25%                |
| Class ID C000002013 | -4.00%               | -1.73%               | 3.06%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5236592.64             | $-72974609.84                              |
| Month 2  | $-13167396.61            | $-16785023.33                              |
| Month 3  | $-2153137.91             | $55091613.09                               |

**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        |  14476666 | PA      | $12756794.19  | 0.59%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31292JBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54916 | PA      | $56690.17     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343763 | PA      | $294383.15    | 0.01%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 91282CDD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8133200 | PA      | $7815179.19   | 0.36%             | 2023-10-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K044, Class A2  | CUSIP: 3137BHCY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7474645 | PA      | $7183491.47   | 0.33%             | 2025-01-25      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31403DD97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375548 | PA      | $394276.09    | 0.02%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31385XA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70764 | PA      | $73735.85     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 91282CBN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51824200 | PA      | $51281169.45  | 2.38%             | 2023-02-28      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256803 | PA      | $269718.11    | 0.01%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MKFT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637575 | PA      | $546558.64    | 0.03%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36177UCZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198875 | PA      | $193881.82    | 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        |    800984 | PA      | $782403.28    | 0.04%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31402DP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1486209 | PA      | $1556304.81   | 0.07%             | 2034-11-01      | Fixed         | 5.50%                 | 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      | $2174333.03   | 0.10%             | 2030-04-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration       | United States Small Business Administration, Series 2004-20D, Class 1          | CUSIP: 83162CNR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61360 | PA      | $60350.30     | 0.00%             | 2024-04-01      | Fixed         | 4.77%                 | 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      | $1408733.16   | 0.07%             | 2025-06-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                     | UMBS, 30 Year, Single Family                                                   | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6700000 | PA      | $6520984.38   | 0.30%             | 2052-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XHGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7821070 | PA      | $6695696.31   | 0.31%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4631823 | PA      | $3990268.92   | 0.19%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573222 | PA      | $537507.84    | 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        |   7370688 | PA      | $7389331.00   | 0.34%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126122 | PA      | $126513.42    | 0.01%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2759281 | PA      | $2287781.55   | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M5HJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41071 | PA      | $43189.68     | 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        |   1326363 | PA      | $1301959.50   | 0.06%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2013-19, Class JB                                                 | CUSIP: 3136ACPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3054147 | PA      | $2784387.76   | 0.13%             | 2041-10-25      | Fixed         | 1.75%                 | 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        |  40303638 | PA      | $1318098.23   | 0.06%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XG3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508287 | PA      | $458680.39    | 0.02%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 3845, Class AI                                                   | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    382497 | PA      | $63064.14     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QNWN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430300 | PA      | $368742.62    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    609369 | PA      | $615240.36    | 0.03%             | 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      | $23017231.22  | 1.07%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179TNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1832646 | PA      | $1674443.20   | 0.08%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust               | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MV                   | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2120999 | PA      | $1960252.21   | 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        |    348999 | PA      | $359883.81    | 0.02%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Michigan Finance Authority                        | Michigan Finance Authority                                                     | CUSIP: 59447TH89<br>LEI: 54930022O46HOX5J1D14 | Long             | DBT              | MUN               | US        |   1159841 | PA      | $1053179.10   | 0.05%             | 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        |  43850423 | PA      | $3007042.74   | 0.14%             | 2054-02-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3873979 | PA      | $3192194.83   | 0.15%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133ASJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336642 | PA      | $299008.60    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323246 | PA      | $322558.06    | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419JS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168921 | PA      | $171043.24    | 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        |   9111805 | PA      | $7770815.62   | 0.36%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MAXK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123685 | PA      | $111582.84    | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993563 | PA      | $919254.49    | 0.04%             | 2037-08-01      | Fixed         | 2.50%                 | 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      | $1018624.48   | 0.05%             | 2030-08-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QK5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8931438 | PA      | $7646084.23   | 0.36%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36202F2V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578318 | PA      | $605545.61    | 0.03%             | 2042-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 3620AMD58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234051 | PA      | $232944.21    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| New Jersey Economic Development Authority         | New Jersey Economic Development Authority                                      | CUSIP: 645913BB9<br>LEI: 5493006JS6QWDVU4R678 | Long             | DBT              | MUN               | US        |  14792000 | PA      | $14648882.96  | 0.68%             | 2023-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  51959000 | PA      | $48258950.77  | 2.24%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2016-4, Class LI                                                  | CUSIP: 3136AQ2X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1262220 | PA      | $128681.30    | 0.01%             | 2036-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4363, Class B                                                    | CUSIP: 3137BCM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    526804 | PA      | $510822.21    | 0.02%             | 2040-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4519, Class VA                                                   | CUSIP: 3137BLRJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    822811 | PA      | $818003.08    | 0.04%             | 2027-01-15      | 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        |  92887762 | NS      | $92887762.00  | 4.31%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1342535 | PA      | $1310177.02   | 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        |   7049581 | PA      | $6476219.98   | 0.30%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K039, Class A2  | CUSIP: 3137BDCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4700000 | PA      | $4583939.14   | 0.21%             | 2024-07-25      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31412FS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134517 | PA      | $139413.04    | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179XLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18940336 | PA      | $17583997.33  | 0.82%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3834859 | PA      | $3283253.95   | 0.15%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KNGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    470384 | PA      | $403225.15    | 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        |    102380 | PA      | $94395.80     | 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        |    998021 | PA      | $854414.67    | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XHE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3146788 | PA      | $2999538.04   | 0.14%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M4T37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133259 | PA      | $137993.46    | 0.01%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31412QSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76902 | PA      | $78722.37     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140LXAE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    319247 | PA      | $288084.82    | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8163733 | PA      | $7192347.02   | 0.33%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232974 | PA      | $192091.94    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128PR3E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38094 | PA      | $37976.19     | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4612, Class KV                                                   | CUSIP: 3137BRS71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311805 | PA      | $308545.58    | 0.01%             | 2028-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MFW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336225 | PA      | $302580.52    | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105456 | PA      | $1082638.18   | 0.05%             | 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      | $1544992.58   | 0.07%             | 2030-04-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578537 | PA      | $579999.03    | 0.03%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31385W2S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158929 | PA      | $165600.16    | 0.01%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CARS-DB4 LP                                       | CARS-DB4 LP, Series 2020-1A, Class A4                                          | CUSIP: 12510HAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250378 | PA      | $1168954.73   | 0.05%             | 2050-02-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31416YDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    447000 | PA      | $448131.53    | 0.02%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128PRZ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62030 | PA      | $61837.56     | 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        |    106548 | PA      | $112294.87    | 0.01%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140M8U31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7432054 | PA      | $6362714.55   | 0.30%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B42U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1556425 | PA      | $1284332.38   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2078000 | PA      | $2230197.27   | 0.10%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31407HWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41879 | PA      | $43125.60     | 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      | $6721118.22   | 0.31%             | 2037-01-16      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QNZC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31436 | PA      | $29132.93     | 0.00%             | 2037-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132D6B66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21289320 | PA      | $19211690.65  | 0.89%             | 2037-07-01      | Fixed         | 2.00%                 | 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        |  19334355 | PA      | $1119820.72   | 0.05%             | 2029-07-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 9128284D9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 131000000 | PA      | $130119509.70 | 6.04%             | 2023-03-31      | Fixed         | 2.50%                 | 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        |  50169540 | PA      | $1017222.54   | 0.05%             | 2031-01-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BPGR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2340789 | PA      | $2330853.41   | 0.11%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31390YPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49840 | PA      | $51322.82     | 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        |    491982 | PA      | $517066.59    | 0.02%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    532246 | PA      | $497881.52    | 0.02%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    254453 | PA      | $218440.55    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | 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      | $575436.93    | 0.03%             | 2031-05-25      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133WJPG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98121 | PA      | $90906.79     | 0.00%             | 2037-06-01      | Fixed         | 2.50%                 | 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        | 175345760 | PA      | $1277656.88   | 0.06%             | 2028-02-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289417 | PA      | $298438.45    | 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        |    100654 | PA      | $105659.71    | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11516390 | PA      | $10132758.23  | 0.47%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31292SBD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6186574 | PA      | $5836745.38   | 0.27%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31409CA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106397 | PA      | $109542.66    | 0.01%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31411VFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89507 | PA      | $92204.18     | 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        |     68491 | PA      | $70630.22     | 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        |    990255 | PA      | $908044.72    | 0.04%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M4GZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32258 | PA      | $33792.29     | 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        |   1203986 | PA      | $1128968.31   | 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        |   1247542 | PA      | $1202838.04   | 0.06%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MHH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576326 | PA      | $493877.99    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1396779 | PA      | $1361364.71   | 0.06%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust               | Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MA                   | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3078078 | PA      | $2921942.64   | 0.14%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration       | United States Small Business Administration, Series 2004-20F, Class 1          | CUSIP: 83162CNU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25274 | PA      | $25283.80     | 0.00%             | 2024-06-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496486 | PA      | $465347.51    | 0.02%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  22699671 | PA      | $22245284.27  | 1.03%             | 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      | $2661538.31   | 0.12%             | 2031-12-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418C5U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1057846 | PA      | $998639.30    | 0.05%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5650000 | PA      | $5533689.44   | 0.26%             | 2052-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138E55N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93520 | PA      | $88216.69     | 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        |    321481 | PA      | $332989.07    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    847406 | PA      | $801499.83    | 0.04%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 91282CCK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18346500 | PA      | $17859887.71  | 0.83%             | 2023-06-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1980900 | PA      | $1793007.35   | 0.08%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust               | Seasoned Credit Risk Transfer Trust, Series 2019-2, Class MV                   | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1637848 | PA      | $1508218.21   | 0.07%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XF4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997997 | PA      | $883481.89    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K047, Class A2  | CUSIP: 3137BKRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16621000 | PA      | $16093918.17  | 0.75%             | 2025-05-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BPHE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    499950 | PA      | $442638.19    | 0.02%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA, Series 2012-108, Class KI                                                | CUSIP: 38378HQU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    696310 | PA      | $103702.85    | 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        |   3093888 | PA      | $2899147.37   | 0.13%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MPWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    684205 | PA      | $617429.15    | 0.03%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31411JUS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45016 | PA      | $46763.87     | 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        |    192772 | PA      | $183177.17    | 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        |   4700500 | PA      | $4545378.80   | 0.21%             | 2036-10-15      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338226 | PA      | $344973.75    | 0.02%             | 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        |    673808 | PA      | $659770.97    | 0.03%             | 2025-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128PRZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71308 | PA      | $71082.05     | 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        |   1187188 | PA      | $1113677.23   | 0.05%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QMQA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282034 | PA      | $261406.44    | 0.01%             | 2036-11-01      | Fixed         | 2.50%                 | 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        |  26332948 | PA      | $1631362.98   | 0.08%             | 2054-03-15      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B0G80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1492787 | PA      | $1280800.82   | 0.06%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1771677 | PA      | $1658992.01   | 0.08%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 3620A9PQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228127 | PA      | $220599.72    | 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        |     17813 | PA      | $18625.22     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust               | Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA                   | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2989920 | PA      | $2790270.26   | 0.13%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFP Ltd.                                          | PFP Ltd., Series 2021-7, Class AS                                              | CUSIP: 69290LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   5441728 | PA      | $5085159.18   | 0.24%             | 2038-04-14      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ED98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1417117 | PA      | $1275307.55   | 0.06%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XCUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4810446 | PA      | $4118641.39   | 0.19%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10549303 | PA      | $10546205.94  | 0.49%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13269 | PA      | $13990.71     | 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        |    123027 | PA      | $129163.48    | 0.01%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Golden State Tobacco Securitization Corp.         | Golden State Tobacco Securitization Corp.                                      | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   4150000 | PA      | $3837769.36   | 0.18%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1932033 | PA      | $1789221.35   | 0.08%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                     | UMBS, 30 Year, Single Family                                                   | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  14075000 | PA      | $14234781.79  | 0.66%             | 2052-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QPXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1674575 | PA      | $1434187.30   | 0.07%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4561654 | PA      | $4085245.30   | 0.19%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735083 | PA      | $692971.56    | 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        |   1931387 | PA      | $1882423.18   | 0.09%             | 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      | $1205441.69   | 0.06%             | 2030-05-25      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128LXE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96224 | PA      | $99331.27     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2013-80, Class KV                                                 | CUSIP: 3136AFZS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1128779 | PA      | $1120225.98   | 0.05%             | 2028-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32248000 | PA      | $27651400.39  | 1.28%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11926300 | PA      | $12946091.79  | 0.60%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3758716 | PA      | $3238112.24   | 0.15%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2012-93, Class ME                                                 | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2177130 | PA      | $1990867.39   | 0.09%             | 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        |  13285710 | PA      | $569559.70    | 0.03%             | 2052-01-15      | Variable      | 1.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    638713 | PA      | $598233.78    | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4724609 | PA      | $4335834.84   | 0.20%             | 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          | CORP              | US        |  12187459 | PA      | $487783.55    | 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      | $35757410.18  | 1.66%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust               | Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV                   | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2158680 | PA      | $1907125.52   | 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        |     61819 | PA      | $64058.41     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QNWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399377 | PA      | $342329.53    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1023314 | PA      | $997369.73    | 0.05%             | 2040-09-01      | Fixed         | 4.00%                 | 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        |    811174 | PA      | $739558.63    | 0.03%             | 2033-02-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31297DCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1955 | PA      | $2006.81      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7499614 | PA      | $6607763.49   | 0.31%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.    | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL1, Class B       | CUSIP: 03881CAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3901000 | PA      | $3592454.31   | 0.17%             | 2035-12-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1049628 | PA      | $1023020.30   | 0.05%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31335B7E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1670650 | PA      | $1755518.30   | 0.08%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522974 | PA      | $548837.32    | 0.03%             | 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        |  45453973 | PA      | $2571463.06   | 0.12%             | 2054-09-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338329 | PA      | $339184.32    | 0.02%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4566, Class PG                                                   | CUSIP: 3137BNPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2215771 | PA      | $2052826.08   | 0.10%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31401L6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223262 | PA      | $232637.74    | 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        |   3762456 | PA      | $3667106.79   | 0.17%             | 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        |    837325 | PA      | $801963.55    | 0.04%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2013-53, Class CB                                                 | CUSIP: 3136AEEP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89664 | PA      | $88256.73     | 0.00%             | 2040-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29405000 | PA      | $25822414.18  | 1.20%             | 2029-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    921645 | PA      | $845465.75    | 0.04%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1823291 | PA      | $1562558.58   | 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        |   3285544 | PA      | $3208160.23   | 0.15%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1641826 | PA      | $1472357.72   | 0.07%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M6K49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46290 | PA      | $47432.96     | 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        |   2410531 | PA      | $2350696.36   | 0.11%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1782774 | PA      | $1666998.76   | 0.08%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132CWWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3132705 | PA      | $2897365.38   | 0.13%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7467334 | PA      | $7131499.49   | 0.33%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust               | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MA                   | CUSIP: 35563PLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1980090 | PA      | $1884845.02   | 0.09%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XFM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6166316 | PA      | $5279212.67   | 0.25%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138AEEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649049 | PA      | $663732.81    | 0.03%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BDPV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177077 | PA      | $156746.77    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132CWVZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83884 | PA      | $77609.47     | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K-150, Class A2 | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5900000 | PA      | $5580855.43   | 0.26%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| BXMT Ltd.                                         | BXMT Ltd., Series 2021-FL4, Class AS                                           | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   7779500 | PA      | $7414004.31   | 0.34%             | 2038-05-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MM5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2153134 | PA      | $1972267.81   | 0.09%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4656691 | PA      | $4151510.75   | 0.19%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K146, Class A2  | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $7457657.76   | 0.35%             | 2054-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M6HH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77532 | PA      | $79446.98     | 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        |  24234879 | PA      | $898971.04    | 0.04%             | 2051-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31297V6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76233 | PA      | $79911.16     | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810EX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    981000 | PA      | $1073083.71   | 0.05%             | 2026-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3941010 | PA      | $3474145.13   | 0.16%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418QPN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268760 | PA      | $274844.69    | 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        |  21231758 | PA      | $1562067.13   | 0.07%             | 2054-07-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4150, Class UK                                                   | CUSIP: 3137AYB75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1260879 | PA      | $1152225.84   | 0.05%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133ANBX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464051 | PA      | $398750.52    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31412LA34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134736 | PA      | $141651.34    | 0.01%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KPTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $595374.03    | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4966042 | PA      | $4375504.88   | 0.20%             | 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      | $267185.31    | 0.01%             | 2042-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B4JE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3230574 | PA      | $2677547.87   | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36202ESB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    121275 | PA      | $126980.31    | 0.01%             | 2038-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    720924 | PA      | $704199.88    | 0.03%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36200NG47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    299621 | PA      | $310031.90    | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6500243 | PA      | $5521847.11   | 0.26%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MG4T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995400 | PA      | $911697.73    | 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        |    976597 | PA      | $896017.58    | 0.04%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8179779 | PA      | $7811904.82   | 0.36%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 312940ZV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39201 | PA      | $39399.19     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                          | Benchmark Mortgage Trust, Series 2021-B26, Class XA                            | CUSIP: 08163EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  38162898 | PA      | $1904187.42   | 0.09%             | 2054-06-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M73V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212420 | PA      | $219280.22    | 0.01%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140M9DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  65433640 | PA      | $54000332.79  | 2.51%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    280128 | PA      | $286460.70    | 0.01%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KNXV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    997963 | PA      | $883596.54    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36295SD45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74151 | PA      | $75935.76     | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                               | U.S. Treasury 10 Year Note                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      1154 | NC      | $512541.02    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20477351 | PA      | $18503362.43  | 0.86%             | 2052-06-20      | Fixed         | 3.00%                 | 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        |  21982143 | PA      | $1310619.34   | 0.06%             | 2054-11-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1987884 | PA      | $1839147.29   | 0.09%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority     | Massachusetts Educational Financing Authority                                  | CUSIP: 57563RRA9<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |   2165000 | PA      | $1940391.43   | 0.09%             | 2027-07-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Toledo Hospital (The)                             | Toledo Hospital (The)                                                          | CUSIP: 889184AF4<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |   4139000 | PA      | $4125876.14   | 0.19%             | 2028-11-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31406XKB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71431 | PA      | $72828.84     | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | 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        |  20615958 | PA      | $1328279.97   | 0.06%             | 2054-06-15      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418DY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232656 | PA      | $215642.98    | 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        |  14901241 | PA      | $520171.02    | 0.02%             | 2031-08-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128KYA33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151970 | PA      | $159318.61    | 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        |    585992 | PA      | $602074.80    | 0.03%             | 2030-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133WJDP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974795 | PA      | $877249.58    | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132D6CS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99821 | PA      | $92352.27     | 0.00%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B6T67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    998140 | PA      | $883651.76    | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533699 | PA      | $436290.92    | 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        |    790001 | PA      | $771535.04    | 0.04%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DNBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1359924 | PA      | $1205935.02   | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31371KHY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58790 | PA      | $61824.15     | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7900000 | PA      | $6942125.08   | 0.32%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140JAGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1413857 | PA      | $1484405.59   | 0.07%             | 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-MBS          | CORP              | US        |   4033142 | PA      | $3863247.69   | 0.18%             | 2036-11-25      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576879 | PA      | $563494.07    | 0.03%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1481006 | PA      | $1364626.31   | 0.06%             | 2052-05-01      | Fixed         | 3.50%                 | 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      | $6034745.63   | 0.28%             | 2036-07-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| BANK                                              | BANK, Series 2021-BN32, Class XA                                               | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19033201 | PA      | $839603.98    | 0.04%             | 2054-04-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ED49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2005013 | PA      | $1654058.36   | 0.08%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2862339 | PA      | $2593887.35   | 0.12%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31376KQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313251 | PA      | $328856.27    | 0.02%             | 2035-07-01      | Fixed         | 5.50%                 | 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        |   1248302 | PA      | $1136550.49   | 0.05%             | 2033-03-01      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140HMPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770603 | PA      | $727241.18    | 0.03%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2827985 | PA      | $2613778.23   | 0.12%             | 2037-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419AT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71889 | PA      | $74129.16     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4664, Class AK                                                   | CUSIP: 3137BWP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2043905 | PA      | $1984879.00   | 0.09%             | 2028-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417YSE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263079 | PA      | $269036.66    | 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        |    278032 | PA      | $278736.53    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration       | United States Small Business Administration, Series 2003-20K, Class 1          | CUSIP: 83162CNH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13765 | PA      | $13628.98     | 0.00%             | 2023-11-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 912828ZY9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11546000 | PA      | $11222621.83  | 0.52%             | 2023-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13500130 | PA      | $11557640.18  | 0.54%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31414QTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26276 | PA      | $26604.84     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    824999 | PA      | $745963.23    | 0.03%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACREC Ltd.                                        | ACREC Ltd., Series 2021-FL1, Class AS                                          | CUSIP: 00500RAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7778000 | PA      | $7350027.99   | 0.34%             | 2036-10-16      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  28473210 | PA      | $24377928.27  | 1.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration       | United States Small Business Administration, Series 2005-20D, Class 1          | CUSIP: 83162CPL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56327 | PA      | $55150.70     | 0.00%             | 2025-04-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5177049 | PA      | $4432181.97   | 0.21%             | 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        |  23103553 | PA      | $909191.81    | 0.04%             | 2055-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10304360 | PA      | $8753514.26   | 0.41%             | 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        |   1983158 | PA      | $1918766.63   | 0.09%             | 2041-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MMVR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1671728 | PA      | $1378540.82   | 0.06%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Transit Authority Sales Tax Receipts Fund | Chicago Transit Authority Sales Tax Receipts Fund                              | CUSIP: 16772PCL8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    738000 | PA      | $684043.05    | 0.03%             | 2025-12-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133GHAQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946369 | PA      | $854128.90    | 0.04%             | 2037-04-01      | Fixed         | 2.00%                 | 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        |  20842198 | PA      | $1868455.13   | 0.09%             | 2054-08-15      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31410KQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40155 | PA      | $42149.29     | 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        |    412596 | PA      | $400445.71    | 0.02%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6374399 | PA      | $5494698.64   | 0.26%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579655 | PA      | $581120.43    | 0.03%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64272 | PA      | $59517.79     | 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        |     16700 | PA      | $17196.75     | 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        |   1589650 | PA      | $147707.78    | 0.01%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140N0AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    941476 | PA      | $862352.43    | 0.04%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49861 | PA      | $51843.60     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128PR3G2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64509 | PA      | $64736.42     | 0.00%             | 2025-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MS7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1641104 | PA      | $1480917.24   | 0.07%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EFE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4867360 | PA      | $4392301.41   | 0.20%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                     | UMBS, 30 Year, Single Family                                                   | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4550000 | PA      | $4302415.98   | 0.20%             | 2052-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2011-4, Class AP                                                  | CUSIP: 31397QLS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128251 | PA      | $126363.63    | 0.01%             | 2040-04-25      | Fixed         | 3.50%                 | 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-MBS          | CORP              | US        |   3875500 | PA      | $3666017.60   | 0.17%             | 2036-07-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918718 | PA      | $859394.69    | 0.04%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133D3L45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    722213 | PA      | $641723.16    | 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        |   5564852 | PA      | $5298524.48   | 0.25%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132D6CC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    965487 | PA      | $871271.62    | 0.04%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MMUU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474664 | PA      | $406739.65    | 0.02%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140X8ZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390134 | PA      | $322821.46    | 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        |    234747 | PA      | $246453.88    | 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        |     59361 | PA      | $61212.56     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K726, Class X1  | CUSIP: 3137BYPS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  36235124 | PA      | $363159.29    | 0.02%             | 2024-04-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231954 | PA      | $226071.47    | 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        |    815442 | PA      | $817507.95    | 0.04%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132D6B74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1039392 | PA      | $961626.01    | 0.04%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140F5DA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5462733 | PA      | $5123007.48   | 0.24%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 3575, Class ZA                                                   | CUSIP: 31398JUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2168230 | PA      | $2192332.65   | 0.10%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    701849 | PA      | $684061.14    | 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        |    329187 | PA      | $346714.88    | 0.02%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 312934M58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141614 | PA      | $145121.61    | 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        |   1692772 | PA      | $1697054.41   | 0.08%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust               | Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MAU                  | CUSIP: 35563P7F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5411299 | PA      | $5048996.60   | 0.23%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36297H6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    118326 | PA      | $117880.93    | 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        |    573270 | PA      | $583741.63    | 0.03%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B3VA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1145306 | PA      | $946134.06    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31297CWY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96410 | PA      | $100027.29    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QNGE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    998052 | PA      | $883496.83    | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 312940BC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106733 | PA      | $107749.88    | 0.01%             | 2040-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QNNM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992676 | PA      | $818054.54    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31416XV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239494 | PA      | $244261.48    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K135, Class A2  | CUSIP: 3137H4R36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1255430.70   | 0.06%             | 2031-10-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418MUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129825 | PA      | $131800.93    | 0.01%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133A2EK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1371528 | PA      | $1237514.65   | 0.06%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1157428 | PA      | $1112415.94   | 0.05%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36200EAQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99974 | PA      | $104834.65    | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration       | United States Small Business Administration, Series 2003-20L, Class 1          | CUSIP: 83162CNK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43040 | PA      | $42602.49     | 0.00%             | 2023-12-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367174 | PA      | $337315.77    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3132GRL58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    969507 | PA      | $915539.59    | 0.04%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MHSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1631077 | PA      | $1356152.55   | 0.06%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140K8RB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1193689 | PA      | $1032063.67   | 0.05%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2776452 | PA      | $2295540.34   | 0.11%             | 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      | $750807.54    | 0.03%             | 2031-07-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MSM69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231536 | PA      | $213993.91    | 0.01%             | 2037-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ENB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1999800 | PA      | $1770566.51   | 0.08%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XD5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988449 | PA      | $848216.73    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    603203 | PA      | $587910.34    | 0.03%             | 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        |    610253 | PA      | $585133.42    | 0.03%             | 2045-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XIII Ltd.                    | Madison Park Funding XIII Ltd., Series 2014-13A, Class BR2                     | CUSIP: 55818MBC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5711934 | PA      | $5562949.63   | 0.26%             | 2030-04-19      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128LXAY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    342221 | PA      | $357034.55    | 0.02%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EH52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3862820 | PA      | $3485766.40   | 0.16%             | 2037-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA, Series 2011-52, Class GT                                                 | CUSIP: 38377VGJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    658631 | PA      | $648675.20    | 0.03%             | 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      | $7587503.26   | 0.35%             | 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      | $914397.14    | 0.04%             | 2030-06-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548505 | PA      | $485651.84    | 0.02%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204812 | PA      | $214086.54    | 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        |   3644439 | PA      | $3306945.92   | 0.15%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M72C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90986 | PA      | $95605.83     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4874820 | PA      | $4194341.25   | 0.19%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1567460 | PA      | $1420724.60   | 0.07%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2017-33, Class LB                                                 | CUSIP: 3136AWFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2692086 | PA      | $2523369.55   | 0.12%             | 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        |   1863781 | PA      | $1733084.74   | 0.08%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 912828VS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 136673000 | PA      | $134558839.53 | 6.25%             | 2023-08-15      | Fixed         | 2.50%                 | 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      | $908812.61    | 0.04%             | 2030-11-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8480382 | PA      | $7505232.35   | 0.35%             | 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        |   1680000 | PA      | $1506560.33   | 0.07%             | 2026-05-01      | Fixed         | 1.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MJE92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509751 | PA      | $436868.20    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MKGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1436269 | PA      | $1295730.66   | 0.06%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2797993 | PA      | $2406274.31   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Toledo Hospital (The)                             | Toledo Hospital (The)                                                          | CUSIP: 889184AD9<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |   1992000 | PA      | $1906678.22   | 0.09%             | 2038-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K147, Class A2  | CUSIP: 3137H8BK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5225000 | PA      | $4669615.94   | 0.22%             | 2032-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420480 | PA      | $410726.41    | 0.02%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1711836 | PA      | $1668429.51   | 0.08%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128PPZS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105898 | PA      | $106140.76    | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | 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        | 113135122 | PA      | $780677.60    | 0.04%             | 2028-04-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419FG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510370 | PA      | $497428.85    | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    916670 | PA      | $858011.78    | 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        |    293677 | PA      | $304650.11    | 0.01%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  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      | $6246138.95   | 0.29%             | 2034-08-15      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293297 | PA      | $251122.15    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518391 | PA      | $543919.72    | 0.03%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133WJZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177470 | PA      | $164049.83    | 0.01%             | 2037-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MXT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104908 | PA      | $94667.66     | 0.00%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140M34Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1578466 | PA      | $1301410.15   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31405PNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101667 | PA      | $106652.88    | 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        |    429034 | PA      | $442435.70    | 0.02%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1497747 | PA      | $1401477.93   | 0.07%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA, Series 2017-94                                                           | CUSIP: 38379RD34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2604277 | PA      | $92009.90     | 0.00%             | 2059-02-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810EQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1445000 | PA      | $1461143.37   | 0.07%             | 2023-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97983000 | PA      | $75542596.28  | 3.51%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31402TBS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144603 | PA      | $146503.99    | 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        |    412456 | PA      | $422463.12    | 0.02%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1580052 | PA      | $1584045.92   | 0.07%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K139, Class A2  | CUSIP: 3137H6LN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $865286.40    | 0.04%             | 2032-01-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31412LBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34204 | PA      | $35221.86     | 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        |    229342 | PA      | $199734.51    | 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        |   1587785 | PA      | $1383217.72   | 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        |    489566 | PA      | $459468.70    | 0.02%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128LXDA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196971 | PA      | $206957.43    | 0.01%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    372613 | PA      | $363279.69    | 0.02%             | 2041-04-20      | Fixed         | 4.00%                 | 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        |  61842676 | PA      | $885488.18    | 0.04%             | 2028-01-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| BSPDF Issuer Ltd.                                 | BSPDF Issuer Ltd., Series 2021-FL1, Class A                                    | CUSIP: 055731AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3712000 | PA      | $3547885.06   | 0.16%             | 2036-10-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2016-19, Class AD                                                 | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1247244 | PA      | $1137652.76   | 0.05%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36177T4M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304375 | PA      | $289220.31    | 0.01%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31368HMH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79883 | PA      | $82377.60     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA, Series 2011-123, Class MA                                                | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1029070 | PA      | $1010333.77   | 0.05%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4831575 | PA      | $4592023.29   | 0.21%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MHQD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302783 | PA      | $272521.18    | 0.01%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QNWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1979556 | PA      | $1695009.65   | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1311043 | PA      | $1236686.37   | 0.06%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 3620AMF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    323397 | PA      | $324847.06    | 0.02%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1679445 | PA      | $1534562.49   | 0.07%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128LDWL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91517 | PA      | $93761.57     | 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        |    343916 | PA      | $355608.64    | 0.02%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 3620AFWD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252539 | PA      | $252976.33    | 0.01%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3277304 | PA      | $3076346.69   | 0.14%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1258080 | PA      | $1179393.52   | 0.05%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133WJRC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253054 | PA      | $234445.37    | 0.01%             | 2037-06-01      | Fixed         | 2.50%                 | 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        | 104340878 | PA      | $2301676.29   | 0.11%             | 2027-07-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1051105 | PA      | $992602.00    | 0.05%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100464 | PA      | $1010954.17   | 0.05%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QNFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5840451 | PA      | $5008652.88   | 0.23%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA ACES, Series 2016-M2, Class AV2                                           | CUSIP: 3136AQ5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107312 | PA      | $106975.43    | 0.00%             | 2023-01-25      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138ERQS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4865810 | PA      | $4677838.07   | 0.22%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140Q8AF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680381 | PA      | $636474.97    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133AQD87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484143 | PA      | $415714.05    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | 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      | $9398220.00   | 0.44%             | 2038-11-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K033, Class A2  | CUSIP: 3137B4WB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    871000 | PA      | $860412.73    | 0.04%             | 2023-07-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Tobacco Settlement Finance Authority              | Tobacco Settlement Finance Authority                                           | CUSIP: 88880LAF0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1900000 | PA      | $1784030.84   | 0.08%             | 2024-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA, Series 2013-81, Class PI                                                 | CUSIP: 38378TKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    526260 | PA      | $28201.07     | 0.00%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QN7M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2435528 | PA      | $2230874.15   | 0.10%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M9DT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    821663 | PA      | $824211.67    | 0.04%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128PRY29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61181 | PA      | $61324.89     | 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        |    890775 | PA      | $893771.50    | 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        |    829540 | PA      | $869184.87    | 0.04%             | 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        |   1222969 | PA      | $1163626.60   | 0.05%             | 2033-07-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                               | U.S. Treasury Ultra Bond                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       481 | NC      | $287607.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9581984 | PA      | $8139718.41   | 0.38%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133ASXD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    794343 | PA      | $728797.76    | 0.03%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XHPZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24480 | PA      | $20960.37     | 0.00%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 21H0526C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9200000 | PA      | $9309111.82   | 0.43%             | 2052-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734871 | PA      | $736732.38    | 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        |   1956005 | PA      | $1681815.80   | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                           | Hyundai Capital America                                                        | CUSIP: 44891ABE6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1899000 | PA      | $1887437.25   | 0.09%             | 2023-02-10      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128MBVM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3438 | PA      | $3483.18      | 0.00%             | 2023-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138EQ7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    807745 | PA      | $787271.05    | 0.04%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                               | U.S. Treasury 2 Year Note                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       121 | NC      | $55840.30     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK                                              | BANK, Series 2021-BN35, Class XA                                               | CUSIP: 06540CBL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13344501 | PA      | $799288.91    | 0.04%             | 2064-06-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973741 | PA      | $950084.70    | 0.04%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31410K6E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17642 | PA      | $17858.75     | 0.00%             | 2024-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424017 | PA      | $414178.72    | 0.02%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B5N24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1685534 | PA      | $1396076.07   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36291FVS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185561 | PA      | $194109.13    | 0.01%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QNYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8774992 | PA      | $7513682.13   | 0.35%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B2SY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8414929 | PA      | $6932728.36   | 0.32%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31408GSK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47019 | PA      | $48116.78     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31409WVY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111211 | PA      | $114520.52    | 0.01%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BDP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60346 | PA      | $51700.70     | 0.00%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1314742 | PA      | $1319497.71   | 0.06%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA, Series 2015-162, Class BE                                                | CUSIP: 38379FNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    883501 | PA      | $841318.52    | 0.04%             | 2043-09-20      | Fixed         | 2.25%                 | 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      | $992122.69    | 0.05%             | 2031-01-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17311 | PA      | $16555.37     | 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        |  16789753 | PA      | $1178239.40   | 0.05%             | 2054-05-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QMFW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    410527 | PA      | $370474.26    | 0.02%             | 2036-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1542601 | PA      | $1415531.42   | 0.07%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K034, Class A2  | CUSIP: 3137B5JM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239403 | PA      | $236832.75    | 0.01%             | 2023-07-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Howard University                                 | Howard University, Series 2020                                                 | CUSIP: 442851AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    688000 | PA      | $642206.52    | 0.03%             | 2025-10-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1756639 | PA      | $1698928.12   | 0.08%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B4RA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1868909 | PA      | $1541736.78   | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | 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        |  33755653 | PA      | $2044826.30   | 0.09%             | 2029-08-25      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31385XF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101118 | PA      | $105580.52    | 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        |    593484 | PA      | $600936.08    | 0.03%             | 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        |   1276376 | PA      | $1310086.20   | 0.06%             | 2034-08-20      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3129456R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1451901 | PA      | $1486337.31   | 0.07%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BGRG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497985 | PA      | $426536.92    | 0.02%             | 2052-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31402C4J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492532 | PA      | $515449.29    | 0.02%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4905, Class A                                                    | CUSIP: 3137FMVC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4002246 | PA      | $3641291.09   | 0.17%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B6Y53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108339 | PA      | $96117.85     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  33455000 | PA      | $32720558.37  | 1.52%             | 2023-05-31      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4471, Class PI                                                   | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120548 | PA      | $10904.90     | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BBTB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1722024 | PA      | $1420430.14   | 0.07%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3132GEV23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403480 | PA      | $411953.47    | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BH4H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    887191 | PA      | $731670.01    | 0.03%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 9128283W8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54157000 | PA      | $51358183.03  | 2.39%             | 2028-02-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1284591 | PA      | $1313649.44   | 0.06%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138A4XB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1587864 | PA      | $1619463.73   | 0.08%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31404BRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274710 | PA      | $282044.83    | 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        |    276587 | PA      | $277588.43    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | 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      | $279817.73    | 0.01%             | 2027-03-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QQSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423782 | PA      | $362815.01    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K035, Class A2  | CUSIP: 3137B5KW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4540790 | PA      | $4487265.03   | 0.21%             | 2023-08-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16017494 | PA      | $14177048.43  | 0.66%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133680 | PA      | $134967.66    | 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        |    427964 | PA      | $393166.17    | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                               | U.S. Treasury Long Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       331 | NC      | $159103.43    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K727, Class X1  | CUSIP: 3137FARG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  49286287 | PA      | $346379.10    | 0.02%             | 2024-07-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31292SA59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1408998 | PA      | $1329618.18   | 0.06%             | 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-MBS          | CORP              | US        |   1261500 | PA      | $1185950.03   | 0.06%             | 2036-11-25      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M8RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    380665 | PA      | $389903.06    | 0.02%             | 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      | $1912162.96   | 0.09%             | 2031-11-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138ERQU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2990238 | PA      | $2874812.73   | 0.13%             | 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      | $480699.03    | 0.02%             | 2030-09-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31296L3U3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34709 | PA      | $36318.54     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132D6B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    874208 | PA      | $788883.75    | 0.04%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWFB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    892806 | PA      | $764532.15    | 0.04%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QPFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2637343 | PA      | $2415715.50   | 0.11%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EJT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1208503 | PA      | $1116929.80   | 0.05%             | 2037-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1604860 | PA      | $1394404.75   | 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        |    181572 | PA      | $189695.92    | 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        |    423443 | PA      | $368766.27    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31414TCF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10617 | PA      | $10581.52     | 0.00%             | 2023-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sanofi                                            | Sanofi                                                                         | CUSIP: 8010M3MV9<br>LEI: 549300E9PC51EN656011 | Long             | STIV             | CORP              | FR        |  31089000 | PA      | $30987346.74  | 1.44%             | 2022-12-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4861436 | PA      | $4235565.19   | 0.20%             | 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        |    680977 | PA      | $667806.26    | 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        |    694772 | PA      | $650806.92    | 0.03%             | 2049-05-01      | Fixed         | 3.50%                 | 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        |      -165 | NC      | $-33334.95    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2320829 | PA      | $2097887.89   | 0.10%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31412V4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98984 | PA      | $101684.00    | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                              | BBCMS Mortgage Trust, Series 2022-C18, Class AS                                | CUSIP: 054975AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2688397 | PA      | $2826275.74   | 0.13%             | 2055-12-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4837870 | PA      | $4295187.47   | 0.20%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179TCW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41747 | PA      | $38274.71     | 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        |     55525 | PA      | $56875.24     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K048, Class A2  | CUSIP: 3137BLAC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1125000 | PA      | $1087975.69   | 0.05%             | 2025-06-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133WJ6N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250477 | PA      | $231496.36    | 0.01%             | 2037-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417NB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281516 | PA      | $288032.75    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| California Earthquake Authority                   | California Earthquake Authority                                                | CUSIP: 13017HAK2<br>LEI: 254900P2MGLOUH3QS859 | Long             | DBT              | MUN               | US        |   1355000 | PA      | $1322590.43   | 0.06%             | 2023-07-01      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QPCB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26661 | PA      | $22825.26     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9748800 | PA      | $8511921.00   | 0.40%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K145, Class A2  | CUSIP: 3137H7QH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1880714 | PA      | $1619574.04   | 0.08%             | 2055-06-25      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 3620ALQ49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260146 | PA      | $260601.06    | 0.01%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K042, Class A2  | CUSIP: 3137BFXT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10948000 | PA      | $10500977.83  | 0.49%             | 2024-12-25      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K043, Class A2  | CUSIP: 3137BGK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325000 | PA      | $314365.81    | 0.01%             | 2024-12-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 312934RV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260677 | PA      | $267267.66    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DNRY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1952737 | PA      | $1609993.07   | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration       | United States Small Business Administration, Series 2005-20A, Class 1          | CUSIP: 83162CPG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88152 | PA      | $88114.62     | 0.00%             | 2025-01-01      | Fixed         | 4.86%                 | 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      | $846602.02    | 0.04%             | 2031-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Howard University                                 | Howard University, Series 2020                                                 | CUSIP: 442851AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $494594.07    | 0.02%             | 2023-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4835314 | PA      | $4160332.56   | 0.19%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371110 | PA      | $370328.77    | 0.02%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221799 | PA      | $193403.29    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31296LFZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48652 | PA      | $49547.31     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 9128285T3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20900000 | PA      | $20037058.65  | 0.93%             | 2025-12-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417NCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339300 | PA      | $347324.82    | 0.02%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179XDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2759144 | PA      | $2758491.06   | 0.13%             | 2052-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2690873 | PA      | $2535874.96   | 0.12%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                               | U.S. Treasury 5 Year Note                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       508 | NC      | $268071.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                              | FNMA, Series 2017-30, Class VH                                                 | CUSIP: 3136AWQJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1042747 | PA      | $992939.78    | 0.05%             | 2030-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26912417 | PA      | $22203661.69  | 1.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133A62T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101825 | PA      | $91518.05     | 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        |    836855 | PA      | $838975.61    | 0.04%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2390217 | PA      | $2337363.46   | 0.11%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1405862 | PA      | $1370217.81   | 0.06%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1659911 | PA      | $1432577.09   | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5008969 | PA      | $4322319.94   | 0.20%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31402DF70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244020 | PA      | $254328.44    | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140N0HM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144648 | PA      | $132536.73    | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133WJVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175779 | PA      | $158578.31    | 0.01%             | 2037-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240805 | PA      | $238233.84    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | 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        |  81882752 | PA      | $1393235.03   | 0.06%             | 2027-08-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31413ECR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141882 | PA      | $148933.61    | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31407QRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110768 | PA      | $112296.34    | 0.01%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31415PNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43043 | PA      | $43689.37     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38599000 | PA      | $34503887.34  | 1.60%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901718 | PA      | $879984.81    | 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        |     55404 | PA      | $58218.34     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B3XW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2222934 | PA      | $1834162.89   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4041914 | PA      | $3598312.82   | 0.17%             | 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        |  33699648 | PA      | $2413632.80   | 0.11%             | 2054-07-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430543 | PA      | $405731.97    | 0.02%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4770591 | PA      | $4116643.07   | 0.19%             | 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        |    200679 | PA      | $15086.77     | 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        |    302125 | PA      | $292817.99    | 0.01%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140HHFV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251332 | PA      | $240375.75    | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XFMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2065749 | PA      | $1703834.22   | 0.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration       | United States Small Business Administration, Series 2004-20J, Class 1          | CUSIP: 83162CPB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39009 | PA      | $38573.30     | 0.00%             | 2024-10-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9006965 | PA      | $8365760.61   | 0.39%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1916629 | PA      | $1921480.82   | 0.09%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1329792 | PA      | $1263590.97   | 0.06%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4271, Class CE                                                   | CUSIP: 3137B5MH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1151478 | PA      | $1134836.07   | 0.05%             | 2036-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    631733 | PA      | $580372.77    | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                          | Benchmark Mortgage Trust, Series 2021-B28, Class XA                            | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40270471 | PA      | $2883961.73   | 0.13%             | 2054-08-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138WH6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    998433 | PA      | $866178.43    | 0.04%             | 2046-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWEM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2021102 | PA      | $1666347.76   | 0.08%             | 2052-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                     | UMBS, 30 Year, Single Family                                                   | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8425000 | PA      | $6562614.24   | 0.30%             | 2052-12-25      | Fixed         | 1.50%                 | 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        |  13862748 | PA      | $1274974.97   | 0.06%             | 2054-02-15      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B3ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1384977 | PA      | $1142754.29   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA                                                                           | CUSIP: 3138L3D28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1319720 | PA      | $1301245.97   | 0.06%             | 2023-05-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2459303 | PA      | $2046010.59   | 0.10%             | 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      | $704833.97    | 0.03%             | 2039-02-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103500 | PA      | $106842.42    | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust               | Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                  | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8365508 | PA      | $7385095.03   | 0.34%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B6DQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2464649 | PA      | $2130105.39   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810FA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2309000 | PA      | $2550633.25   | 0.12%             | 2027-08-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BJNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    798300 | PA      | $658422.05    | 0.03%             | 2052-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331649 | PA      | $322376.39    | 0.01%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Howard University                                 | Howard University, Series 2020                                                 | CUSIP: 442851AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    556000 | PA      | $524929.87    | 0.02%             | 2024-10-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11425300 | PA      | $9449526.41   | 0.44%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210052 | PA      | $210853.95    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179UGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138428 | PA      | $126486.91    | 0.01%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26245000 | PA      | $21583436.85  | 1.00%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QL7F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994829 | PA      | $854120.83    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2015-61, Class PA                                                 | CUSIP: 3136APK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254625 | PA      | $244517.14    | 0.01%             | 2044-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417MLN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113932 | PA      | $115490.65    | 0.01%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    702902 | PA      | $686217.25    | 0.03%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QNR61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116121 | PA      | $107327.04    | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| School District of Philadelphia (The)             | School District of Philadelphia (The)                                          | CUSIP: 717883UB6<br>LEI: 254900HSKDHZKBZCUL90 | Long             | DBT              | MUN               | US        |   3280000 | PA      | $3471350.28   | 0.16%             | 2030-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418TKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33796 | PA      | $33831.56     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430105 | PA      | $405195.33    | 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      | $1755328.38   | 0.08%             | 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        |   1608926 | PA      | $1504816.64   | 0.07%             | 2042-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419HBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135383 | PA      | $136327.14    | 0.01%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33757 | PA      | $28899.65     | 0.00%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19515500 | PA      | $17955022.28  | 0.83%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1190981 | PA      | $1164603.91   | 0.05%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                     | UMBS, 30 Year, Single Family                                                   | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3950000 | PA      | $3930250.00   | 0.18%             | 2052-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204886 | PA      | $214462.78    | 0.01%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                     | UMBS, 30 Year, Single Family                                                   | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2300000 | PA      | $2351557.05   | 0.11%             | 2052-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128MJW55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2310687 | PA      | $2167365.36   | 0.10%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ELE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511236 | PA      | $437725.33    | 0.02%             | 2052-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B22F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1407173 | PA      | $1162458.09   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2016-30, Class PA                                                 | CUSIP: 3136AR2J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108234 | PA      | $1031571.56   | 0.05%             | 2045-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140KGJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631658 | PA      | $549785.47    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31406LYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16273 | PA      | $16854.62     | 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      | $2897414.02   | 0.13%             | 2030-05-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3075000 | PA      | $2762214.84   | 0.13%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140QPNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519888 | PA      | $469154.78    | 0.02%             | 2037-05-01      | Fixed         | 2.00%                 | 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        |    458068 | PA      | $443564.60    | 0.02%             | 2033-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12675000 | PA      | $10785632.81  | 0.50%             | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31294LYK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12350 | PA      | $12327.39     | 0.00%             | 2023-06-01      | Fixed         | 6.00%                 | 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        |  14983637 | PA      | $893712.51    | 0.04%             | 2031-09-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12001938 | PA      | $11761694.23  | 0.55%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MRFA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233434 | PA      | $200486.95    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6130709 | PA      | $5207904.41   | 0.24%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110189 | PA      | $111247.83    | 0.01%             | 2033-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XGFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6383757 | PA      | $5478532.68   | 0.25%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31412QF95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68648 | PA      | $70237.23     | 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        |    276150 | PA      | $282391.97    | 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        |    222089 | PA      | $209486.73    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140MTMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1412728 | PA      | $1211056.67   | 0.06%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31292LLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1441444 | PA      | $1361205.50   | 0.06%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31406B2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257121 | PA      | $264268.61    | 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        |     91628 | PA      | $94354.36     | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133BKWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127276 | PA      | $116619.36    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | 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        | 143929400 | PA      | $2000805.77   | 0.09%             | 2028-01-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36177PCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    597150 | PA      | $567422.30    | 0.03%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31404JT88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118779 | PA      | $122480.57    | 0.01%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 31335B7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1606718 | PA      | $1658619.67   | 0.08%             | 2044-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K030, Class A2  | CUSIP: 3137B3NA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7669301 | PA      | $7626926.98   | 0.35%             | 2023-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Bonds                                                            | CUSIP: 912810EW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5933000 | PA      | $6270207.63   | 0.29%             | 2026-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New York Transportation Development Corp.         | New York Transportation Development Corp.                                      | CUSIP: 650116DZ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    770000 | PA      | $770000.00    | 0.04%             | 2022-12-01      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    892695 | PA      | $765752.12    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31417G5A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    532859 | PA      | $501724.12    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | FNMA, Series 2017-41, Class ME                                                 | CUSIP: 3136AWYJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2379109 | PA      | $2281929.84   | 0.11%             | 2053-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36202EDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67462 | PA      | $70050.77     | 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        |   1285455 | PA      | $1349608.98   | 0.06%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K142, Class A2  | CUSIP: 3137H73P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $852777.90    | 0.04%             | 2032-03-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1426874 | PA      | $1390698.50   | 0.06%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128K8GJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68004 | PA      | $69958.59     | 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        |    116610 | PA      | $106550.92    | 0.00%             | 2048-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration       | United States Small Business Administration, Series 2004-20I, Class 1          | CUSIP: 83162CPA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63401 | PA      | $62199.02     | 0.00%             | 2024-09-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1581654 | PA      | $1367498.75   | 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        |   2155565 | PA      | $2105163.42   | 0.10%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K728, Class A2  | CUSIP: 3137FBTA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5952406 | PA      | $5780493.61   | 0.27%             | 2024-08-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC                                                                          | CUSIP: 3128M5M56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136870 | PA      | $143848.57    | 0.01%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                          | U.S. Treasury Notes                                                            | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10453000 | PA      | $10450550.03  | 0.49%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140L1Y58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1511119 | PA      | $1255756.72   | 0.06%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140XGY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5068994 | PA      | $4339725.19   | 0.20%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456273 | PA      | $452603.15    | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133A67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1467102 | PA      | $1313706.05   | 0.06%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC, Series 4474, Class HJ                                                   | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323863 | PA      | $301788.64    | 0.01%             | 2039-07-15      | Fixed         | 3.00%                 | 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        |  23381308 | PA      | $1049867.50   | 0.05%             | 2072-12-15      | Variable      | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust, Series 2022-6, Class A2                | CUSIP: 802918AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    961000 | PA      | $955239.38    | 0.04%             | 2025-05-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31371KN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6212 | PA      | $6467.78      | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                             | FHLMC Multifamily Structured Pass-Through Certificates, Series K133, Class X3  | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  50149699 | PA      | $1936911.76   | 0.09%             | 2049-09-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1948004 | PA      | $1894303.52   | 0.09%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5484363 | PA      | $4856262.76   | 0.23%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14255 | PA      | $14465.83     | 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        |    204054 | PA      | $192691.42    | 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-MBS          | CORP              | US        |   4881500 | PA      | $4613597.42   | 0.21%             | 2036-07-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                     | UMBS, 30 Year, Single Family                                                   | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12650000 | PA      | $10820691.47  | 0.50%             | 2052-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4236032 | PA      | $3827691.80   | 0.18%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust, Series 2021-L7, Class XA                       | CUSIP: 61772TBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  80811926 | PA      | $4883472.77   | 0.23%             | 2054-10-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| BANK                                              | BANK, Series 2021-BN31, Class XA                                               | CUSIP: 06541ABM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33627261 | PA      | $2566593.94   | 0.12%             | 2054-02-15      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133B2S75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4944374 | PA      | $4384963.06   | 0.20%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Transit Authority Sales Tax Receipts Fund | Chicago Transit Authority Sales Tax Receipts Fund                              | CUSIP: 16772PCK0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    985000 | PA      | $933279.52    | 0.04%             | 2024-12-01      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496429 | PA      | $484024.23    | 0.02%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EKG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513027 | PA      | $474163.13    | 0.02%             | 2037-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Small Business Administration       | United States Small Business Administration, Series 2013-20H, Class 1          | CUSIP: 83162CVS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    491531 | PA      | $469471.61    | 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      | $891922.56    | 0.04%             | 2031-01-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWFD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2261589 | PA      | $2071521.01   | 0.10%             | 2052-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3133KNQU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11024997 | PA      | $9083837.66   | 0.42%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140KG3Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1250267 | PA      | $1093869.76   | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                        | UMBS                                                                           | CUSIP: 3132DWDX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1850604 | PA      | $1525575.26   | 0.07%             | 2052-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31406PDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145047 | PA      | $148981.90    | 0.01%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust, Series 2022-5, Class A2                | CUSIP: 80287HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1208000 | PA      | $1199117.33   | 0.06%             | 2025-01-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                              | GNMA                                                                           | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13375000 | PA      | $13649737.35  | 0.63%             | 2052-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    413458 | PA      | $353972.30    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                              | UMBS                                                                           | CUSIP: 3140LWVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    960335 | PA      | $824695.96    | 0.04%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

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

**Signature:** Kasey Phillips

**Name of Signer:** Kasey Phillips

**Title:** Assistant Treasurer