# EDGAR Filing Document

**Accession Number:** 0000200489
**File Stem:** 0002071691-26-004585
**Filing Date:** 2026-2
**Character Count:** 493573
**Document Hash:** c3c2ca81549e35a70a9f0c847dc4d444
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-004585.hdr.sgml**: 20260225

**ACCESSION NUMBER**: 0002071691-26-004585

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260225

**DATE AS OF CHANGE**: 20260225

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS SERIES TRUST V
- **CENTRAL INDEX KEY:** 0000200489

**ORGANIZATION NAME:**
- **EIN:** 042468583
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02031
- **FILM NUMBER:** 26679547

**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 TOTAL RETURN FUND
- **DATE OF NAME CHANGE:** 19930408

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASSACHUSETTS MFS TOTAL RETURN FUND
- **DATE OF NAME CHANGE:** 19921023

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MASSACHUSETTS FINANCIAL TOTAL RETURN TRUST
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### MFS Total Return Fund (Series ID: S000002439)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000006546 | A            | MSFRX           |
| C000006547 | R4           | MSFJX           |
| C000006551 | B            | MTRBX           |
| C000006552 | C            | MTRCX           |
| C000006553 | I            | MTRIX           |
| C000006555 | R1           | MSFFX           |
| C000006557 | R2           | MTRRX           |
| C000006558 | R3           | MSFHX           |
| C000116934 | R6           | MSFKX           |

## Nport-Ex

MTR-Q1

![](img272bc12c1.gif)

**Quarterly Report**

December 31, 2025

MFS<sup>®</sup> Total Return Fund

![](imgdaad178e2.gif)

------

**Portfolio of Investments**

12/31/25 (unaudited)

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

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

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – 59.1%  | Common Stocks – 59.1%  | Common Stocks – 59.1%  |
| Aerospace & Defense – 1.9% | Aerospace & Defense – 1.9% |  |
| Boeing Co. (a) | 83397 | &nbsp;&nbsp;&nbsp; $18107157 |
| General Dynamics Corp. | 138200 | &nbsp;&nbsp;&nbsp; 46526412 |
| L3Harris Technologies, Inc. | 208434 | &nbsp;&nbsp;&nbsp; 61189969 |
| Leidos Holdings, Inc. | 82247 | &nbsp;&nbsp;&nbsp; 14837359 |
|  |  | &nbsp;&nbsp;&nbsp; $140660897 |
| Airlines – 0.3% | Airlines – 0.3% |  |
| Delta Air Lines, Inc.  | 297633 | &nbsp;&nbsp;&nbsp; $20655730 |
| Alcoholic Beverages – 0.8% | Alcoholic Beverages – 0.8% |  |
| Constellation Brands, Inc., "A" | 265363 | &nbsp;&nbsp;&nbsp; $36609479 |
| Diageo PLC | 1185782 | &nbsp;&nbsp;&nbsp; 25542569 |
|  |  | &nbsp;&nbsp;&nbsp; $62152048 |
| Automotive – 2.2% | Automotive – 2.2% |  |
| Aptiv PLC (a) | 905359 | &nbsp;&nbsp;&nbsp; $68888766 |
| Lear Corp. | 530078 | &nbsp;&nbsp;&nbsp; 60746939 |
| LKQ Corp. | 1329394 | &nbsp;&nbsp;&nbsp; 40147699 |
|  |  | &nbsp;&nbsp;&nbsp; $169783404 |
| Broadcasting – 2.1% | Broadcasting – 2.1% |  |
| Omnicom Group, Inc. | 1489374 | &nbsp;&nbsp;&nbsp; $120266950 |
| Warner Bros. Discovery, Inc. (a) | 1269168 | &nbsp;&nbsp;&nbsp; 36577422 |
|  |  | &nbsp;&nbsp;&nbsp; $156844372 |
| Brokerage & Asset Managers – 3.3% | Brokerage & Asset Managers – 3.3% |  |
| Charles Schwab Corp. | 2021917 | &nbsp;&nbsp;&nbsp; $202009727 |
| CME Group, Inc. | 189699 | &nbsp;&nbsp;&nbsp; 51803003 |
|  |  | &nbsp;&nbsp;&nbsp; $253812730 |
| Business Services – 1.8% | Business Services – 1.8% |  |
| Accenture PLC, "A" | 112921 | &nbsp;&nbsp;&nbsp; $30296704 |
| Amdocs Ltd. | 283250 | &nbsp;&nbsp;&nbsp; 22804458 |
| Cognizant Technology Solutions Corp., "A" | 424149 | &nbsp;&nbsp;&nbsp; 35204367 |
| Fidelity National Information Services, Inc. | 448940 | &nbsp;&nbsp;&nbsp; 29836552 |
| Fiserv, Inc. (a) | 287802 | &nbsp;&nbsp;&nbsp; 19331660 |
|  |  | &nbsp;&nbsp;&nbsp; $137473741 |
| Chemicals – 0.8% | Chemicals – 0.8% |  |
| PPG Industries, Inc. | 474534 | &nbsp;&nbsp;&nbsp; $48620754 |
| Qnity Electronics, Inc. | 189865 | &nbsp;&nbsp;&nbsp; 15502477 |
|  |  | &nbsp;&nbsp;&nbsp; $64123231 |
| Computer Software – 1.6% | Computer Software – 1.6% |  |
| Microsoft Corp.  | 246869 | &nbsp;&nbsp;&nbsp; $119390786 |
| Conglomerates – 0.5% | Conglomerates – 0.5% |  |
| Honeywell International, Inc.  | 200343 | &nbsp;&nbsp;&nbsp; $39084916 |
| Construction – 1.3% | Construction – 1.3% |  |
| Masco Corp. | 1022563 | &nbsp;&nbsp;&nbsp; $64891848 |
| Mohawk Industries, Inc. (a) | 170518 | &nbsp;&nbsp;&nbsp; 18637618 |
| Techtronic Industries Co. Ltd. | 1110000 | &nbsp;&nbsp;&nbsp; 12752546 |
|  |  | &nbsp;&nbsp;&nbsp; $96282012 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Consumer Products – 1.5% | Consumer Products – 1.5% |  |
| Kenvue, Inc.  | 6798794 | &nbsp;&nbsp;&nbsp; $117279196 |
| Consumer Services – 0.3% | Consumer Services – 0.3% |  |
| Airbnb, Inc., "A" (a)  | 155010 | &nbsp;&nbsp;&nbsp; $21037957 |
| Containers – 0.5% | Containers – 0.5% |  |
| Avery Dennison Corp. | 86765 | &nbsp;&nbsp;&nbsp; $15780818 |
| Smurfit Westrock PLC | 659789 | &nbsp;&nbsp;&nbsp; 25514041 |
|  |  | &nbsp;&nbsp;&nbsp; $41294859 |
| Electrical Equipment – 0.9% | Electrical Equipment – 0.9% |  |
| Eaton Corp. PLC | 72281 | &nbsp;&nbsp;&nbsp; $23022221 |
| Johnson Controls International PLC | 395587 | &nbsp;&nbsp;&nbsp; 47371543 |
|  |  | &nbsp;&nbsp;&nbsp; $70393764 |
| Electronics – 1.5% | Electronics – 1.5% |  |
| Intel Corp. (a) | 1493367 | &nbsp;&nbsp;&nbsp; $55105242 |
| NXP Semiconductors N.V. | 272176 | &nbsp;&nbsp;&nbsp; 59078523 |
|  |  | &nbsp;&nbsp;&nbsp; $114183765 |
| Energy - Independent – 1.6% | Energy - Independent – 1.6% |  |
| ConocoPhillips | 1032221 | &nbsp;&nbsp;&nbsp; $96626208 |
| Diamondback Energy, Inc. | 173295 | &nbsp;&nbsp;&nbsp; 26051437 |
|  |  | &nbsp;&nbsp;&nbsp; $122677645 |
| Energy - Integrated – 2.3% | Energy - Integrated – 2.3% |  |
| Chevron Corp. | 323445 | &nbsp;&nbsp;&nbsp; $49296252 |
| Exxon Mobil Corp. | 632732 | &nbsp;&nbsp;&nbsp; 76142969 |
| Suncor Energy, Inc. | 1189959 | &nbsp;&nbsp;&nbsp; 52815783 |
|  |  | &nbsp;&nbsp;&nbsp; $178255004 |
| Food & Drug Stores – 0.2% | Food & Drug Stores – 0.2% |  |
| Albertsons Cos., Inc., "A" | 852526 | &nbsp;&nbsp;&nbsp; $14637871 |
| Health Maintenance Organizations – 1.8% | Health Maintenance Organizations – 1.8% |  |
| Cigna Group | 382790 | &nbsp;&nbsp;&nbsp; $105355292 |
| Humana, Inc. | 118307 | &nbsp;&nbsp;&nbsp; 30301972 |
|  |  | &nbsp;&nbsp;&nbsp; $135657264 |
| Insurance – 4.2% | Insurance – 4.2% |  |
| Aon PLC | 282537 | &nbsp;&nbsp;&nbsp; $99701656 |
| Chubb Ltd. | 297708 | &nbsp;&nbsp;&nbsp; 92920621 |
| Principal Financial Group, Inc. | 161938 | &nbsp;&nbsp;&nbsp; 14284551 |
| Travelers Cos., Inc. | 83132 | &nbsp;&nbsp;&nbsp; 24113268 |
| Willis Towers Watson PLC | 256761 | &nbsp;&nbsp;&nbsp; 84371665 |
|  |  | &nbsp;&nbsp;&nbsp; $315391761 |
| Interactive Media Services – 0.1% | Interactive Media Services – 0.1% |  |
| Versant Media Group, Inc. (a)  | 123591 | &nbsp;&nbsp;&nbsp; $5561611 |
| Leisure & Toys – 0.7% | Leisure & Toys – 0.7% |  |
| Electronic Arts, Inc.  | 254949 | &nbsp;&nbsp;&nbsp; $52093729 |
| Machinery & Tools – 1.0% | Machinery & Tools – 1.0% |  |
| AGCO Corp. | 241858 | &nbsp;&nbsp;&nbsp; $25230626 |
| Flowserve Corp. | 240465 | &nbsp;&nbsp;&nbsp; 16683462 |
| Regal Rexnord Corp. | 248309 | &nbsp;&nbsp;&nbsp; 34842719 |
|  |  | &nbsp;&nbsp;&nbsp; $76756807 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Major Banks – 6.2% | Major Banks – 6.2% |  |
| Bank of America Corp. | 2566067 | &nbsp;&nbsp;&nbsp; $141133685 |
| Goldman Sachs Group, Inc. | 74191 | &nbsp;&nbsp;&nbsp; 65213889 |
| JPMorgan Chase & Co. | 300016 | &nbsp;&nbsp;&nbsp; 96671156 |
| Morgan Stanley | 321004 | &nbsp;&nbsp;&nbsp; 56987840 |
| PNC Financial Services Group, Inc. | 338881 | &nbsp;&nbsp;&nbsp; 70734631 |
| Wells Fargo & Co. | 424827 | &nbsp;&nbsp;&nbsp; 39593876 |
|  |  | &nbsp;&nbsp;&nbsp; $470335077 |
| Medical & Health Technology & Services – 0.8% | Medical & Health Technology & Services – 0.8% |  |
| ICON PLC (a) | 248954 | &nbsp;&nbsp;&nbsp; $45364398 |
| McKesson Corp. | 18248 | &nbsp;&nbsp;&nbsp; 14968652 |
|  |  | &nbsp;&nbsp;&nbsp; $60333050 |
| Medical Equipment – 4.9% | Medical Equipment – 4.9% |  |
| Agilent Technologies, Inc. | 277863 | &nbsp;&nbsp;&nbsp; $37808818 |
| Becton, Dickinson and Co. | 848065 | &nbsp;&nbsp;&nbsp; 164583975 |
| Medtronic PLC | 1510459 | &nbsp;&nbsp;&nbsp; 145094692 |
| Waters Corp. (a) | 60423 | &nbsp;&nbsp;&nbsp; 22950468 |
|  |  | &nbsp;&nbsp;&nbsp; $370437953 |
| Metals & Mining – 0.3% | Metals & Mining – 0.3% |  |
| Glencore PLC  | 3702182 | &nbsp;&nbsp;&nbsp; $20138892 |
| Oil Services – 0.1% | Oil Services – 0.1% |  |
| SLB Ltd.  | 301170 | &nbsp;&nbsp;&nbsp; $11558905 |
| Other Banks & Diversified Financials – 1.4% | Other Banks & Diversified Financials – 1.4% |  |
| Northern Trust Corp.  | 752537 | &nbsp;&nbsp;&nbsp; $102789029 |
| Pharmaceuticals – 4.3% | Pharmaceuticals – 4.3% |  |
| Johnson & Johnson | 706550 | &nbsp;&nbsp;&nbsp; $146220523 |
| Organon & Co. | 463245 | &nbsp;&nbsp;&nbsp; 3321467 |
| Pfizer, Inc. | 5064567 | &nbsp;&nbsp;&nbsp; 126107718 |
| Roche Holding AG | 122461 | &nbsp;&nbsp;&nbsp; 50609220 |
|  |  | &nbsp;&nbsp;&nbsp; $326258928 |
| Railroad & Shipping – 0.9% | Railroad & Shipping – 0.9% |  |
| Union Pacific Corp.  | 308650 | &nbsp;&nbsp;&nbsp; $71396918 |
| Restaurants – 0.2% | Restaurants – 0.2% |  |
| U.S. Foods Holding Corp. (a)  | 226490 | &nbsp;&nbsp;&nbsp; $17059227 |
| Specialty Chemicals – 0.8% | Specialty Chemicals – 0.8% |  |
| Air Products & Chemicals, Inc. | 56980 | &nbsp;&nbsp;&nbsp; $14075199 |
| Axalta Coating Systems Ltd. (a) | 1038045 | &nbsp;&nbsp;&nbsp; 33539234 |
| DuPont de Nemours, Inc. | 262305 | &nbsp;&nbsp;&nbsp; 10544661 |
|  |  | &nbsp;&nbsp;&nbsp; $58159094 |
| Specialty Stores – 0.4% | Specialty Stores – 0.4% |  |
| Target Corp.  | 290525 | &nbsp;&nbsp;&nbsp; $28398819 |
| Telecom Services – 1.2% | Telecom Services – 1.2% |  |
| Comcast Corp., "A" (a)  | 3089784 | &nbsp;&nbsp;&nbsp; $88831290 |
| Tobacco – 1.5% | Tobacco – 1.5% |  |
| Altria Group, Inc. | 301303 | &nbsp;&nbsp;&nbsp; $17373131 |
| Philip Morris International, Inc. | 580849 | &nbsp;&nbsp;&nbsp; 93168180 |
|  |  | &nbsp;&nbsp;&nbsp; $110541311 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Utilities - Electric Power – 2.9% | Utilities - Electric Power – 2.9% |  |
| Duke Energy Corp. | 482243 | &nbsp;&nbsp;&nbsp; $56523702 |
| Exelon Corp. | 673571 | &nbsp;&nbsp;&nbsp; 29360960 |
| National Grid PLC | 3514976 | &nbsp;&nbsp;&nbsp; 54169695 |
| PG&E Corp. | 4920103 | &nbsp;&nbsp;&nbsp; 79066055 |
|  |  | &nbsp;&nbsp;&nbsp; $219120412 |
| **Total Common Stocks**  |  | &nbsp;&nbsp; **$4480844005** |
| Bonds – 38.9%  | Bonds – 38.9%  | Bonds – 38.9%  |
| Aerospace & Defense – 0.1% | Aerospace & Defense – 0.1% | Aerospace & Defense – 0.1% |
| BAE Systems PLC, 3.4%, 4/15/2030 (n) | $2846000 | &nbsp;&nbsp;&nbsp; $2751030 |
| Boeing Co., 5.805%, 5/01/2050  | 3164000 | &nbsp;&nbsp;&nbsp; 3112093 |
| Boeing Co., 6.858%, 5/01/2054  | 2772000 | &nbsp;&nbsp;&nbsp; 3113340 |
|  |  | &nbsp;&nbsp;&nbsp; $8976463 |
| Asset-Backed & Securitized – 7.1% | Asset-Backed & Securitized – 7.1% | Asset-Backed & Securitized – 7.1% |
| Affirm, Inc., 2025-X1, "A", 5.08%, 4/15/2030 (n) | $725157 | &nbsp;&nbsp;&nbsp; $726214 |
| AmeriCredit Automobile Receivables Trust, 2025-1, "A2A", 4.22%, 3/19/2029 (n) | 2069000 | &nbsp;&nbsp;&nbsp; 2072175 |
| Angel Oak Mortgage Trust, 2024-10, "A1", 5.348%, 10/25/2069 (n) | 8789107 | &nbsp;&nbsp;&nbsp; 8830865 |
| Angel Oak Mortgage Trust, 2024-12, "A1", 5.653%, 10/25/2069 (n) | 7619302 | &nbsp;&nbsp;&nbsp; 7684291 |
| Angel Oak Mortgage Trust, 2024-9, "A1", 5.138%, 9/25/2069 (n) | 4743958 | &nbsp;&nbsp;&nbsp; 4756887 |
| Angel Oak Mortgage Trust, 2025-10, "A1", 4.96%, 9/25/2070 (n) | 2731847 | &nbsp;&nbsp;&nbsp; 2734881 |
| Arbor Realty Trust, Inc., CLO, 2022-FL1, "B", FLR, 6.083% (SOFR - 30 day + 2.1%), 1/15/2037 (n) | 16706500 | &nbsp;&nbsp;&nbsp; 16727376 |
| ARDN Mortgage Trust, 2025-ARCP, "A", FLR, 5.5% (SOFR - 1mo. + 1.75%), 6/15/2035 (n) | 14611000 | &nbsp;&nbsp;&nbsp; 14633729 |
| AREIT 2022-CRE6 Trust, "B", FLR, 5.786% (SOFR - 30 day + 1.85%), 1/20/2037 (n) | 10151500 | &nbsp;&nbsp;&nbsp; 10099851 |
| ARI Fleet Lease Trust, 2023-B, "A2", 6.05%, 7/15/2032 (n) | 1370769 | &nbsp;&nbsp;&nbsp; 1381240 |
| Bain Capital Credit CLO Ltd., 2020-4A, "A1RR", FLR, 5.036% (SOFR - 3mo. + 1.15%), 10/20/2036 (n) | 11516802 | &nbsp;&nbsp;&nbsp; 11523862 |
| Bain Capital Credit CLO Ltd., 2022-1A, "CR", FLR, 5.734% (SOFR - 3mo. + 1.85%), 10/18/2038 (n) | 15000000 | &nbsp;&nbsp;&nbsp; 15000000 |
| Bain Capital Credit CLO Ltd., 2022-2A, "BR", FLR, 5.507% (SOFR - 3mo. + 1.65%), 4/22/2035 (n) | 8838526 | &nbsp;&nbsp;&nbsp; 8847435 |
| Bank5, 2025-5YR17, "A3", 5.225%, 11/15/2058  | 6889915 | &nbsp;&nbsp;&nbsp; 7103533 |
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 5.441% ((SOFR - 1mo. + 0.11448%) + 1.6%), 12/28/2040 (n) | 460389 | &nbsp;&nbsp;&nbsp; 1060785 |
| BDS 2025-FL16 Ltd., "A", FLR, 5.131% (SOFR - 1mo. + 1.4%), 7/19/2043 (n) | 8636766 | &nbsp;&nbsp;&nbsp; 8639480 |
| Benchmark 2023-V3 Mortgage Trust, "A3", 6.363%, 7/15/2056  | 1190323 | &nbsp;&nbsp;&nbsp; 1244623 |
| Benchmark 2025-V18 Mortgage Trust, "A3", 5.183%, 10/15/2058  | 6657910 | &nbsp;&nbsp;&nbsp; 6856338 |
| Brazos Securitization LLC, 5.243%, 9/01/2040 (n) | 5403000 | &nbsp;&nbsp;&nbsp; 5400030 |
| BSPRT 2022-FL8 Issuer Ltd., "B", FLR, 6.033% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | 5979000 | &nbsp;&nbsp;&nbsp; 5963298 |
| Business Jet Securities LLC, 2024-1A, "A", 6.197%, 5/15/2039 (n) | 2592946 | &nbsp;&nbsp;&nbsp; 2653655 |
| BX Trust, 2025, "A", FLR, 5.13% (SOFR - 1mo. + 1.38%), 8/15/2042 (n) | 8885217 | &nbsp;&nbsp;&nbsp; 8896285 |
| BXMT 2021-FL4 Ltd., "AS", FLR, 5.15% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 16816500 | &nbsp;&nbsp;&nbsp; 16723580 |
| Carlyle Global Market Strategies CLO Ltd., 2023-1A, "A2R", FLR, 5.484% (SOFR - 3mo. + 1.6%), 7/20/2037 (n) | 8500000 | &nbsp;&nbsp;&nbsp; 8530218 |
| Colt Funding LLC, 2024-5, "A1", 5.123%, 8/25/2069 (n) | 5237919 | &nbsp;&nbsp;&nbsp; 5247977 |
| Commercial Mortgage Pass-Through Certificates, 2023-BNK46, "A4", 5.745%, 8/15/2056  | 16647021 | &nbsp;&nbsp;&nbsp; 17552453 |
| Consumers 2023 Securitization Funding LLC, 5.55%, 3/01/2028  | 2074721 | &nbsp;&nbsp;&nbsp; 2097072 |
| Dryden Senior Loan Fund CLO Ltd., 2019-75A, "BR3", FLR, 5.373% (SOFR - 3mo. + 1.5%), 4/14/2034 (n) | 16953585 | &nbsp;&nbsp;&nbsp; 16959943 |
| Dryden Senior Loan Fund CLO Ltd., 2020-86A, "BR2", FLR, 5.481% (SOFR - 3mo. + 1.6%), 7/17/2034 (n) | 18968331 | &nbsp;&nbsp;&nbsp; 18976355 |
| Dryden Senior Loan Fund, 2013-26A, "AR", CLO, FLR, 5.066% ((SOFR - 3mo. + 0.26161%) + 0.9%), 4/15/2029 (n) | 508376 | &nbsp;&nbsp;&nbsp; 508240 |
| Dryden Senior Loan Fund, 2018-55A, "A1", CLO, FLR, 5.186% ((SOFR - 3mo. + 0.26161%) + 1.02%), 4/15/2031 (n) | 2905859 | &nbsp;&nbsp;&nbsp; 2905981 |
| Dwight 2025-FL1 Issuer LLC, "A", FLR, 5.396% (SOFR - 1mo. + 1.662%), 6/18/2042 (n) | 8383500 | &nbsp;&nbsp;&nbsp; 8404456 |
| ELM Trust, 2024-ELM, "B10", 6.195%, 6/10/2039 (n) | 8492449 | &nbsp;&nbsp;&nbsp; 8536987 |
| Empire District Bondco LLC, 4.943%, 1/01/2033  | 3787344 | &nbsp;&nbsp;&nbsp; 3849908 |
| Enterprise Fleet Financing 2024-4 LLC, "A2", 4.69%, 7/20/2027 (n) | 1725161 | &nbsp;&nbsp;&nbsp; 1731168 |
| GLS Auto Select Receivables Trust, 2025-2A, "A2", 4.75%, 3/15/2028 (n) | 1459020 | &nbsp;&nbsp;&nbsp; 1461670 |
| GLS Auto Select Receivables Trust, 2025-2A, "A2", 6.37%, 6/15/2028 (n) | 482210 | &nbsp;&nbsp;&nbsp; 484419 |
| GMAC Mortgage Corp. Loan Trust, FGIC, 5.805%, 10/25/2036  | 109055 | &nbsp;&nbsp;&nbsp; 108562 |
| Greystone Commercial Real Estate Notes, 2025-FL4, "AS", FLR, 5.889% (SOFR - 1mo. + 2.1385%), 1/15/2043 (n) | 2031000 | &nbsp;&nbsp;&nbsp; 2036149 |
| Hyundai Auto Lease Securitization Trust, 2025-B, "A2A", 4.58%, 9/15/2027 (n) | 4439724 | &nbsp;&nbsp;&nbsp; 4456201 |
| LoanCore 2021-CRE5 Ltd., "AS", FLR, 5.614% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | 9616872 | &nbsp;&nbsp;&nbsp; 9606109 |
| Magnetite CLO Ltd., 2017-19A, FLR, 5.331% (SOFR - 3mo. + 1.45%), 4/17/2034 (n) | 3285540 | &nbsp;&nbsp;&nbsp; 3286302 |
| MF1 2022-FL8 Ltd., "B", FLR, 5.681% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 7392231 | &nbsp;&nbsp;&nbsp; 7364865 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued | Asset-Backed & Securitized – continued |
| MF1 2024-FL15 LLC, "AS", FLR, 5.774% (SOFR - 1mo. + 2.04%), 8/18/2041 (n) | $8571000 | &nbsp;&nbsp;&nbsp; $8592416 |
| MF1 2024-FL16 LLC, "A", FLR, 5.275% (SOFR - 1mo. + 1.541%), 11/18/2039 (n) | 17590246 | &nbsp;&nbsp;&nbsp; 17612211 |
| MF1 2025-FL19 LLC, "A", FLR, 5.306% (SOFR - 1mo. + 1.572%), 2/18/2040 (n) | 15153744 | &nbsp;&nbsp;&nbsp; 15158714 |
| MF1 2025-FL19 LLC, "A", FLR, 5.222% (SOFR - 1mo. + 1.4881%), 5/18/2042 (n) | 7619439 | &nbsp;&nbsp;&nbsp; 7636084 |
| MF1 2025-FL20 LLC, "AS", FLR, 5.434% (SOFR - 1mo. + 1.7%), 2/18/2043 (n) | 15453000 | &nbsp;&nbsp;&nbsp; 15472270 |
| Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, "A4", 3.536%, 11/15/2052  | 4195516 | &nbsp;&nbsp;&nbsp; 4141366 |
| Morgan Stanley Residential Mortgage Loan Trust, 2025-NQM10, "A1LC", 5.241%, 11/25/2070 (n) | 5098142 | &nbsp;&nbsp;&nbsp; 5120727 |
| MSWF Commercial Mortgage Trust, 2023-2, "A5", 6.014%, 12/15/2056  | 7477126 | &nbsp;&nbsp;&nbsp; 8067020 |
| Neuberger Berman CLO Ltd., 2015-20A, "A1R3", FLR, 5.055% (SOFR - 3mo. + 1.15%), 4/15/2039 (n) | 5725000 | &nbsp;&nbsp;&nbsp; 5721599 |
| Nissan Master Owner Trust, 2024-A, "A", FLR, 4.654% (SOFR - 1mo. + 0.67%), 2/15/2028 (n) | 5130663 | &nbsp;&nbsp;&nbsp; 5132238 |
| OBX Trust, 2024-NQM15, "A1", 5.316%, 10/25/2064 (n) | 3080529 | &nbsp;&nbsp;&nbsp; 3098412 |
| OBX Trust, 2025-NQM1, "A1", 5.547%, 12/25/2064 (n) | 4209224 | &nbsp;&nbsp;&nbsp; 4243637 |
| OBX Trust, 2025-NQM13, "A1", 5.441%, 5/25/2065 (n) | 2589578 | &nbsp;&nbsp;&nbsp; 2612114 |
| OBX Trust, 2025-NQM20, "A1", 5.021%, 10/25/2065 (n) | 3721626 | &nbsp;&nbsp;&nbsp; 3731873 |
| Palmer Square Loan Funding, 2024-3A Ltd., "A-2", FLR, 5.515% (SOFR - 3mo. + 1.65%), 8/08/2032 (n) | 16148818 | &nbsp;&nbsp;&nbsp; 16160364 |
| Parallel Ltd., 2023-1A, "A2R", FLR, 5.684% (SOFR - 3mo. + 1.8%), 7/20/2036 (n) | 6858996 | &nbsp;&nbsp;&nbsp; 6867378 |
| PFP III 2025-12 Ltd., "AS", FLR, 5.476% (SOFR - 1mo. + 1.7418%), 12/18/2042 (n) | 12850500 | &nbsp;&nbsp;&nbsp; 12826945 |
| PRM Trust, 2025-PRM6, "A", 4.48%, 7/05/2033 (n) | 4808434 | &nbsp;&nbsp;&nbsp; 4802919 |
| Provident Funding Mortgage Trust, 2025-2, "A4", 5.5%, 6/25/2055 (n) | 10368244 | &nbsp;&nbsp;&nbsp; 10430040 |
| Rate Mortgage Trust, 2025-J3, "A27", FLR, 5.424% (SOFR - 1mo. + 1.55%), 11/25/2055 (n) | 10600577 | &nbsp;&nbsp;&nbsp; 10595815 |
| ReadyCap Commercial Mortgage Trust, 2021-FL7, "B", FLR, 5.646% ((SOFR - 1mo. + 0.11448%) + 1.8%), 11/25/2036 (n) | 3695000 | &nbsp;&nbsp;&nbsp; 3684577 |
| Residential Funding Mortgage Securities, Inc., FGIC, 3.402%, 12/25/2035 (d)(q) | 140906 | &nbsp;&nbsp;&nbsp; 2008 |
| Rockford Tower CLO 2020-1A Ltd., "A2R", FLR, 5.184% (SOFR - 3mo. + 1.3%), 1/20/2036 (n) | 18536627 | &nbsp;&nbsp;&nbsp; 18372819 |
| Santander Drive Auto Receivables Trust, 2025-1, "A2", 4.76%, 8/16/2027  | 1360772 | &nbsp;&nbsp;&nbsp; 1361061 |
| Starwood Commercial Mortgage, 2022-FL3, "AS", FLR, 5.784% (SOFR - 30 day + 1.8%), 11/15/2038 (n) | 17154000 | &nbsp;&nbsp;&nbsp; 17082742 |
| Stellantis Finance US, Inc., 4.63%, 7/20/2027 (n) | 4980360 | &nbsp;&nbsp;&nbsp; 4997268 |
| TPG Real Estate Finance, 2025-FL7, "A", FLR, 5.48% (SOFR - 1mo. + 1.45%), 6/18/2043 (n) | 16758371 | &nbsp;&nbsp;&nbsp; 16758287 |
| Verus Securitization Trust, 2024-8, "A1", 5.364%, 10/25/2069 (n) | 1923468 | &nbsp;&nbsp;&nbsp; 1933533 |
| Verus Securitization Trust, 2025-9, "A1", 4.935%, 10/27/2070 (n) | 1771256 | &nbsp;&nbsp;&nbsp; 1773329 |
| Virginia Power Fuel Securitization LLC, 5.088%, 5/01/2027  | 2288977 | &nbsp;&nbsp;&nbsp; 2304212 |
| Voya CLO 2012-4A Ltd., "A2R3", FLR, 5.616% ((SOFR - 3mo. + 0.26161%) + 1.45%), 10/15/2030 (n) | 6439259 | &nbsp;&nbsp;&nbsp; 6441519 |
|  |  | &nbsp;&nbsp;&nbsp; $536400945 |
| Automotive – 0.2% | Automotive – 0.2% | Automotive – 0.2% |
| Magna International, Inc., 2.45%, 6/15/2030  | $5772000 | &nbsp;&nbsp;&nbsp; $5361243 |
| Stellantis Finance US, Inc., 2.691%, 9/15/2031 (n) | 9598000 | &nbsp;&nbsp;&nbsp; 8415429 |
|  |  | &nbsp;&nbsp;&nbsp; $13776672 |
| Broadcasting – 0.1% | Broadcasting – 0.1% | Broadcasting – 0.1% |
| Walt Disney Co., 3.5%, 5/13/2040  | $7611000 | &nbsp;&nbsp;&nbsp; $6371893 |
| Brokerage & Asset Managers – 0.5% | Brokerage & Asset Managers – 0.5% | Brokerage & Asset Managers – 0.5% |
| Charles Schwab Corp., 5.853% to 5/19/2033, FLR (SOFR - 1 day + 2.5%) to 5/19/2034  | $15896000 | &nbsp;&nbsp;&nbsp; $17027710 |
| Intercontinental Exchange, Inc., 2.1%, 6/15/2030  | 6569000 | &nbsp;&nbsp;&nbsp; 6045648 |
| LPL Holdings, Inc., 6.75%, 11/17/2028  | 1244000 | &nbsp;&nbsp;&nbsp; 1327700 |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 14189000 | &nbsp;&nbsp;&nbsp; 13796958 |
|  |  | &nbsp;&nbsp;&nbsp; $38198016 |
| Building – 0.2% | Building – 0.2% | Building – 0.2% |
| Martin Marietta Materials, Inc., 2.5%, 3/15/2030  | $586000 | &nbsp;&nbsp;&nbsp; $546517 |
| Masco Corp., 2%, 2/15/2031  | 12460000 | &nbsp;&nbsp;&nbsp; 11017439 |
| Vulcan Materials Co., 3.5%, 6/01/2030  | 1217000 | &nbsp;&nbsp;&nbsp; 1178893 |
|  |  | &nbsp;&nbsp;&nbsp; $12742849 |
| Business Services – 0.4% | Business Services – 0.4% | Business Services – 0.4% |
| Equinix, Inc., 1.8%, 7/15/2027  | $4515000 | &nbsp;&nbsp;&nbsp; $4361781 |
| Equinix, Inc., 2.5%, 5/15/2031  | 6102000 | &nbsp;&nbsp;&nbsp; 5522198 |
| Experian Finance PLC, 4.25%, 2/01/2029 (n) | 3787000 | &nbsp;&nbsp;&nbsp; 3795848 |
| Fiserv, Inc., 2.65%, 6/01/2030  | 2308000 | &nbsp;&nbsp;&nbsp; 2127659 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Business Services – continued | Business Services – continued | Business Services – continued |
| Global Payments, Inc., 1.2%, 3/01/2026  | $6442000 | &nbsp;&nbsp;&nbsp; $6411925 |
| Global Payments, Inc., 2.9%, 11/15/2031  | 3763000 | &nbsp;&nbsp;&nbsp; 3372483 |
| Verisk Analytics, Inc., 4.125%, 3/15/2029  | 2686000 | &nbsp;&nbsp;&nbsp; 2680680 |
| Verisk Analytics, Inc., 5.75%, 4/01/2033  | 4946000 | &nbsp;&nbsp;&nbsp; 5231734 |
|  |  | &nbsp;&nbsp;&nbsp; $33504308 |
| Cable TV – 0.2% | Cable TV – 0.2% | Cable TV – 0.2% |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 6.384%, 10/23/2035  | $3335000 | &nbsp;&nbsp;&nbsp; $3441905 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 3.5%, 6/01/2041  | 6646000 | &nbsp;&nbsp;&nbsp; 4727226 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.375%, 5/01/2047  | 898000 | &nbsp;&nbsp;&nbsp; 739723 |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 5.25%, 4/01/2053  | 1000000 | &nbsp;&nbsp;&nbsp; 790845 |
| Time Warner Entertainment Co. LP, 8.375%, 7/15/2033  | 6403000 | &nbsp;&nbsp;&nbsp; 7388648 |
|  |  | &nbsp;&nbsp;&nbsp; $17088347 |
| Chemicals – 0.1% | Chemicals – 0.1% | Chemicals – 0.1% |
| RPM International, Inc., 2.95%, 1/15/2032  | $4405000 | &nbsp;&nbsp;&nbsp; $3992643 |
| Computer Software – 0.2% | Computer Software – 0.2% | Computer Software – 0.2% |
| Oracle Corp., 4.9%, 2/06/2033  | $2441000 | &nbsp;&nbsp;&nbsp; $2349202 |
| Oracle Corp., 5.2%, 9/26/2035  | 8195000 | &nbsp;&nbsp;&nbsp; 7851472 |
| Roper Technologies, Inc., 2%, 6/30/2030  | 3961000 | &nbsp;&nbsp;&nbsp; 3583337 |
|  |  | &nbsp;&nbsp;&nbsp; $13784011 |
| Conglomerates – 0.1% | Conglomerates – 0.1% | Conglomerates – 0.1% |
| Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028  | $6570000 | &nbsp;&nbsp;&nbsp; $6650488 |
| Consumer Products – 0.1% | Consumer Products – 0.1% | Consumer Products – 0.1% |
| Kenvue, Inc., 4.9%, 3/22/2033  | $3446000 | &nbsp;&nbsp;&nbsp; $3516328 |
| Electrical Equipment – 0.1% | Electrical Equipment – 0.1% | Electrical Equipment – 0.1% |
| Arrow Electronics, Inc., 2.95%, 2/15/2032  | $9356000 | &nbsp;&nbsp;&nbsp; $8364940 |
| Electronics – 0.1% | Electronics – 0.1% | Electronics – 0.1% |
| Broadcom, Inc., 4.3%, 11/15/2032  | $4190000 | &nbsp;&nbsp;&nbsp; $4133096 |
| Broadcom, Inc., 4.926%, 5/15/2037 (n) | 2171000 | &nbsp;&nbsp;&nbsp; 2142795 |
|  |  | &nbsp;&nbsp;&nbsp; $6275891 |
| Energy - Independent – 0.2% | Energy - Independent – 0.2% | Energy - Independent – 0.2% |
| Diamondback Energy, Inc., 5.4%, 4/18/2034  | $4479000 | &nbsp;&nbsp;&nbsp; $4586157 |
| EQT Corp., 5.75%, 2/01/2034  | 10301000 | &nbsp;&nbsp;&nbsp; 10760889 |
| Santos Finance Ltd., 5.75%, 11/13/2035 (n) | 2933000 | &nbsp;&nbsp;&nbsp; 2916706 |
|  |  | &nbsp;&nbsp;&nbsp; $18263752 |
| Energy - Integrated – 0.3% | Energy - Integrated – 0.3% | Energy - Integrated – 0.3% |
| BP Capital Markets America, Inc., 2.721%, 1/12/2032  | $13375000 | &nbsp;&nbsp;&nbsp; $12181583 |
| Eni S.p.A., 4.75%, 9/12/2028 (n) | 11994000 | &nbsp;&nbsp;&nbsp; 12186075 |
|  |  | &nbsp;&nbsp;&nbsp; $24367658 |
| Financial Institutions – 0.4% | Financial Institutions – 0.4% | Financial Institutions – 0.4% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026  | $12829000 | &nbsp;&nbsp;&nbsp; $12654628 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027  | 7298000 | &nbsp;&nbsp;&nbsp; 7251091 |
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 2248000 | &nbsp;&nbsp;&nbsp; 2248686 |
| Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 6935000 | &nbsp;&nbsp;&nbsp; 6857919 |
| Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 2516000 | &nbsp;&nbsp;&nbsp; 2439187 |
|  |  | &nbsp;&nbsp;&nbsp; $31451511 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Food & Beverages – 0.4% | Food & Beverages – 0.4% | Food & Beverages – 0.4% |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038  | $2343000 | &nbsp;&nbsp;&nbsp; $2228547 |
| Anheuser-Busch InBev Worldwide, Inc., 8%, 11/15/2039  | 9340000 | &nbsp;&nbsp;&nbsp; 11857481 |
| Diageo Capital PLC, 2.375%, 10/24/2029  | 7901000 | &nbsp;&nbsp;&nbsp; 7426498 |
| Keurig Dr Pepper, Inc., 3.2%, 5/01/2030  | 930000 | &nbsp;&nbsp;&nbsp; 883428 |
| Mars, Inc., 5.2%, 3/01/2035 (n) | 7684000 | &nbsp;&nbsp;&nbsp; 7897843 |
|  |  | &nbsp;&nbsp;&nbsp; $30293797 |
| Gaming & Lodging – 0.2% | Gaming & Lodging – 0.2% | Gaming & Lodging – 0.2% |
| GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029  | $4735000 | &nbsp;&nbsp;&nbsp; $4817415 |
| Las Vegas Sands Corp., 3.9%, 8/08/2029  | 2562000 | &nbsp;&nbsp;&nbsp; 2497114 |
| Marriott International, Inc., 4.625%, 6/15/2030  | 6563000 | &nbsp;&nbsp;&nbsp; 6660955 |
| Marriott International, Inc., 2.85%, 4/15/2031  | 23000 | &nbsp;&nbsp;&nbsp; 21323 |
| Marriott International, Inc., 2.75%, 10/15/2033  | 5130000 | &nbsp;&nbsp;&nbsp; 4478573 |
|  |  | &nbsp;&nbsp;&nbsp; $18475380 |
| Insurance – 0.7% | Insurance – 0.7% | Insurance – 0.7% |
| AIA Group Ltd., 3.375%, 4/07/2030 (n) | $7948000 | &nbsp;&nbsp;&nbsp; $7733935 |
| Corebridge Financial, Inc., 3.9%, 4/05/2032  | 10864000 | &nbsp;&nbsp;&nbsp; 10311555 |
| Corebridge Financial, Inc., 5.75%, 1/15/2034  | 4345000 | &nbsp;&nbsp;&nbsp; 4542660 |
| Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 14375000 | &nbsp;&nbsp;&nbsp; 14001992 |
| Sammons Financial Group, Inc., 4.75%, 4/08/2032 (n) | 2233000 | &nbsp;&nbsp;&nbsp; 2172429 |
| Sammons Financial Group, Inc., 6.875%, 4/15/2034 (n) | 11339000 | &nbsp;&nbsp;&nbsp; 12415823 |
|  |  | &nbsp;&nbsp;&nbsp; $51178394 |
| Insurance - Health – 0.2% | Insurance - Health – 0.2% | Insurance - Health – 0.2% |
| Humana, Inc., 5.875%, 3/01/2033  | $4292000 | &nbsp;&nbsp;&nbsp; $4508387 |
| UnitedHealth Group, Inc., 5%, 4/15/2034  | 7433000 | &nbsp;&nbsp;&nbsp; 7552931 |
|  |  | &nbsp;&nbsp;&nbsp; $12061318 |
| Insurance - Property & Casualty – 0.4% | Insurance - Property & Casualty – 0.4% | Insurance - Property & Casualty – 0.4% |
| Aon Corp., 4.5%, 12/15/2028  | $6796000 | &nbsp;&nbsp;&nbsp; $6876994 |
| Brown & Brown, Inc., 4.2%, 3/17/2032  | 6851000 | &nbsp;&nbsp;&nbsp; 6629277 |
| Brown & Brown, Inc., 5.55%, 6/23/2035  | 1849000 | &nbsp;&nbsp;&nbsp; 1895882 |
| Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032  | 14068000 | &nbsp;&nbsp;&nbsp; 14675861 |
| Fairfax Financial Holdings Ltd., 6%, 12/07/2033  | 348000 | &nbsp;&nbsp;&nbsp; 369015 |
| Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | 2990000 | &nbsp;&nbsp;&nbsp; 2211045 |
|  |  | &nbsp;&nbsp;&nbsp; $32658074 |
| International Market Quasi-Sovereign – 0.0% | International Market Quasi-Sovereign – 0.0% | International Market Quasi-Sovereign – 0.0% |
| Electricite de France S.A., 6.9%, 5/23/2053 (n)  | $2221000 | &nbsp;&nbsp;&nbsp; $2446670 |
| Machinery & Tools – 0.2% | Machinery & Tools – 0.2% | Machinery & Tools – 0.2% |
| Ashtead Capital, Inc., 5.5%, 8/11/2032 (n) | $13806000 | &nbsp;&nbsp;&nbsp; $14255302 |
| CNH Industrial Capital LLC, 1.875%, 1/15/2026  | 1459000 | &nbsp;&nbsp;&nbsp; 1457805 |
|  |  | &nbsp;&nbsp;&nbsp; $15713107 |
| Major Banks – 2.5% | Major Banks – 2.5% | Major Banks – 2.5% |
| Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR - 1 day + 1.21%) to 10/20/2032  | $11068000 | &nbsp;&nbsp;&nbsp; $9982264 |
| Barclays PLC, 2.894% to 11/24/2031, FLR (CMT - 1yr. + 1.3%) to 11/24/2032  | 3413000 | &nbsp;&nbsp;&nbsp; 3109916 |
| Barclays PLC, 7.437% to 11/02/2032, FLR (CMT - 1yr. + 3.5%) to 11/02/2033  | 8955000 | &nbsp;&nbsp;&nbsp; 10239641 |
| Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030  | 15546000 | &nbsp;&nbsp;&nbsp; 15085113 |
| Deutsche Bank AG, 7.146% to 7/13/2026, FLR (SOFR - 1 day + 2.52%) to 7/13/2027  | 2814000 | &nbsp;&nbsp;&nbsp; 2856944 |
| Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027  | 2866000 | &nbsp;&nbsp;&nbsp; 2819535 |
| Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029  | 7852000 | &nbsp;&nbsp;&nbsp; 8220569 |
| Goldman Sachs Group, Inc., 2.6%, 2/07/2030  | 10264000 | &nbsp;&nbsp;&nbsp; 9644775 |
| Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032  | 8505000 | &nbsp;&nbsp;&nbsp; 7617176 |
| HSBC Holdings PLC, 4.7% to 9/09/2031, FLR (CMT - 1yr. + 3.25%) to 9/09/2169  | 2870000 | &nbsp;&nbsp;&nbsp; 2726127 |
| HSBC Holdings PLC, 4% to 9/09/2026, FLR (CMT - 1yr. + 3.222%) to 9/09/2170  | 1215000 | &nbsp;&nbsp;&nbsp; 1212257 |
| JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031  | 1509000 | &nbsp;&nbsp;&nbsp; 1423536 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Major Banks – continued | Major Banks – continued | Major Banks – continued |
| JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032  | $14703000 | &nbsp;&nbsp;&nbsp; $13267941 |
| JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033  | 5702000 | &nbsp;&nbsp;&nbsp; 5232613 |
| JPMorgan Chase & Co., 5.766%, 4/22/2035  | 4550000 | &nbsp;&nbsp;&nbsp; 4848444 |
| JPMorgan Chase & Co., 3.109% to 4/22/2040, FLR (SOFR - 1 day + 2.46%) to 4/22/2041  | 7691000 | &nbsp;&nbsp;&nbsp; 6038479 |
| JPMorgan Chase & Co., 3.897% to 1/23/2048, FLR ((SOFR - 3mo. + 0.26161%) + 1.22%) to 1/23/2049  | 2781000 | &nbsp;&nbsp;&nbsp; 2214300 |
| Mitsubishi UFJ Financial Group, Inc., 2.852% to 1/19/2032, FLR (CMT - 1yr. + 1.1%) to 1/19/2033  | 8693000 | &nbsp;&nbsp;&nbsp; 7884172 |
| Mitsubishi UFJ Financial Group, Inc., 5.615%, 4/24/2036  | 11148000 | &nbsp;&nbsp;&nbsp; 11668440 |
| Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031  | 18899000 | &nbsp;&nbsp;&nbsp; 17727198 |
| Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033  | 10038000 | &nbsp;&nbsp;&nbsp; 9161612 |
| Sumitomo Mitsui Financial Group, Inc., 2.472%, 1/14/2029  | 16151000 | &nbsp;&nbsp;&nbsp; 15400150 |
| UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 20387000 | &nbsp;&nbsp;&nbsp; 18069705 |
|  |  | &nbsp;&nbsp;&nbsp; $186450907 |
| Medical & Health Technology & Services – 0.3% | Medical & Health Technology & Services – 0.3% | Medical & Health Technology & Services – 0.3% |
| Adventist Health System/West, 5.43%, 3/01/2032  | $8829000 | &nbsp;&nbsp;&nbsp; $9041505 |
| Alcon Finance Corp., 2.6%, 5/27/2030 (n) | 944000 | &nbsp;&nbsp;&nbsp; 877672 |
| Becton, Dickinson and Co., 4.669%, 6/06/2047  | 5265000 | &nbsp;&nbsp;&nbsp; 4584218 |
| Cigna Corp., 3.2%, 3/15/2040  | 1517000 | &nbsp;&nbsp;&nbsp; 1198332 |
| HCA, Inc., 5.125%, 6/15/2039  | 5387000 | &nbsp;&nbsp;&nbsp; 5202280 |
| Northwell Healthcare, Inc., 3.979%, 11/01/2046  | 490000 | &nbsp;&nbsp;&nbsp; 386549 |
| Northwell Healthcare, Inc., 4.26%, 11/01/2047  | 3585000 | &nbsp;&nbsp;&nbsp; 2943576 |
|  |  | &nbsp;&nbsp;&nbsp; $24234132 |
| Medical Equipment – 0.1% | Medical Equipment – 0.1% | Medical Equipment – 0.1% |
| Boston Scientific Corp., 2.65%, 6/01/2030  | $4819000 | &nbsp;&nbsp;&nbsp; $4534516 |
| Metals & Mining – 0.3% | Metals & Mining – 0.3% | Metals & Mining – 0.3% |
| Anglo American Capital PLC, 3.875%, 3/16/2029 (n) | $1639000 | &nbsp;&nbsp;&nbsp; $1617313 |
| Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | 4221000 | &nbsp;&nbsp;&nbsp; 4407738 |
| Anglo American Capital PLC, 2.625%, 9/10/2030 (n) | 14501000 | &nbsp;&nbsp;&nbsp; 13365484 |
| Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 5139000 | &nbsp;&nbsp;&nbsp; 4708787 |
| Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 2163000 | &nbsp;&nbsp;&nbsp; 1995199 |
|  |  | &nbsp;&nbsp;&nbsp; $26094521 |
| Midstream – 0.5% | Midstream – 0.5% | Midstream – 0.5% |
| Enbridge, Inc., 5.625%, 4/05/2034  | $10688000 | &nbsp;&nbsp;&nbsp; $11157460 |
| Plains All American Pipeline LP, 3.8%, 9/15/2030  | 5953000 | &nbsp;&nbsp;&nbsp; 5778449 |
| Plains All American Pipeline LP, 5.7%, 9/15/2034  | 3291000 | &nbsp;&nbsp;&nbsp; 3393767 |
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030  | 1572000 | &nbsp;&nbsp;&nbsp; 1578364 |
| Spectra Energy Partners LP, 3.375%, 10/15/2026  | 2615000 | &nbsp;&nbsp;&nbsp; 2603188 |
| Targa Resources Corp., 4.2%, 2/01/2033  | 2413000 | &nbsp;&nbsp;&nbsp; 2310109 |
| Targa Resources Corp., 6.125%, 3/15/2033  | 7595000 | &nbsp;&nbsp;&nbsp; 8124199 |
|  |  | &nbsp;&nbsp;&nbsp; $34945536 |
| Mortgage-Backed – 9.8% | Mortgage-Backed – 9.8% |  |
| Fannie Mae, 4.54%, 7/01/2026  | $798726 | &nbsp;&nbsp;&nbsp; $799827 |
| Fannie Mae, 3.95%, 1/01/2027  | 772948 | &nbsp;&nbsp;&nbsp; 773689 |
| Fannie Mae, 3%, 11/01/2028 - 9/01/2046  | 1976183 | &nbsp;&nbsp;&nbsp; 1854936 |
| Fannie Mae, 6.5%, 6/01/2031 - 7/01/2037  | 842487 | &nbsp;&nbsp;&nbsp; 880348 |
| Fannie Mae, 2.5%, 11/01/2031 - 12/01/2036  | 282402 | &nbsp;&nbsp;&nbsp; 269547 |
| Fannie Mae, 5.5%, 2/01/2033 - 12/01/2038  | 3528451 | &nbsp;&nbsp;&nbsp; 3613046 |
| Fannie Mae, 3%, 2/25/2033 (i) | 421772 | &nbsp;&nbsp;&nbsp; 27479 |
| Fannie Mae, 4.5%, 8/01/2033 - 6/01/2044  | 7947748 | &nbsp;&nbsp;&nbsp; 7991681 |
| Fannie Mae, 5%, 11/01/2033 - 3/01/2042  | 2391524 | &nbsp;&nbsp;&nbsp; 2450133 |
| Fannie Mae, 6%, 1/01/2034 - 7/01/2037  | 2277268 | &nbsp;&nbsp;&nbsp; 2365685 |
| Fannie Mae, 3.5%, 4/01/2038 - 7/01/2046  | 22364056 | &nbsp;&nbsp;&nbsp; 21290893 |
| Fannie Mae, 3.25%, 5/25/2040  | 151147 | &nbsp;&nbsp;&nbsp; 145067 |
| Fannie Mae, 4%, 9/01/2040 - 6/01/2047  | 18301759 | &nbsp;&nbsp;&nbsp; 17891090 |
| Fannie Mae, 4.874%, 2/25/2045 (n) | 2644656 | &nbsp;&nbsp;&nbsp; 2648711 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Fannie Mae, 2%, 4/25/2046  | $308709 | &nbsp;&nbsp;&nbsp; $289295 |
| Fannie Mae, 4%, 7/25/2046 (i) | 585037 | &nbsp;&nbsp;&nbsp; 106876 |
| Fannie Mae, UMBS, 2.5%, 10/01/2036 - 8/01/2052  | 94763479 | &nbsp;&nbsp;&nbsp; 81284440 |
| Fannie Mae, UMBS, 3%, 2/01/2037 - 7/01/2052  | 35879264 | &nbsp;&nbsp;&nbsp; 32080078 |
| Fannie Mae, UMBS, 5%, 10/01/2037 - 7/01/2053  | 10073908 | &nbsp;&nbsp;&nbsp; 10087512 |
| Fannie Mae, UMBS, 1.5%, 2/01/2042 - 4/01/2052  | 13906116 | &nbsp;&nbsp;&nbsp; 10777940 |
| Fannie Mae, UMBS, 2%, 2/01/2042 - 2/01/2052  | 36070735 | &nbsp;&nbsp;&nbsp; 30304705 |
| Fannie Mae, UMBS, 4.5%, 8/01/2052 - 3/01/2053  | 4097618 | &nbsp;&nbsp;&nbsp; 4024673 |
| Fannie Mae, UMBS, 6%, 11/01/2052 - 9/01/2054  | 9391418 | &nbsp;&nbsp;&nbsp; 9663040 |
| Fannie Mae, UMBS, 5.5%, 3/01/2053 - 12/01/2054  | 8112703 | &nbsp;&nbsp;&nbsp; 8255864 |
| Fannie Mae, UMBS, 4%, 4/01/2054 - 10/01/2055  | 4207788 | &nbsp;&nbsp;&nbsp; 3992539 |
| Freddie Mac, 0.637%, 6/25/2027 (i) | 39273000 | &nbsp;&nbsp;&nbsp; 396791 |
| Freddie Mac, 0.726%, 6/25/2027 (i) | 11644337 | &nbsp;&nbsp;&nbsp; 90603 |
| Freddie Mac, 0.561%, 7/25/2027 (i) | 31761520 | &nbsp;&nbsp;&nbsp; 219542 |
| Freddie Mac, 0.326%, 8/25/2027 (i) | 27934000 | &nbsp;&nbsp;&nbsp; 166054 |
| Freddie Mac, 0.404%, 8/25/2027 (i) | 16458854 | &nbsp;&nbsp;&nbsp; 99449 |
| Freddie Mac, 0.279%, 9/25/2027 (i) | 30183000 | &nbsp;&nbsp;&nbsp; 165542 |
| Freddie Mac, 0.195%, 11/25/2027 (i) | 47333000 | &nbsp;&nbsp;&nbsp; 171833 |
| Freddie Mac, 0.276%, 11/25/2027 (i) | 31819520 | &nbsp;&nbsp;&nbsp; 135895 |
| Freddie Mac, 0.316%, 11/25/2027 (i) | 28284450 | &nbsp;&nbsp;&nbsp; 144997 |
| Freddie Mac, 0.248%, 12/25/2027 (i) | 29308000 | &nbsp;&nbsp;&nbsp; 146672 |
| Freddie Mac, 0.313%, 12/25/2027 (i) | 32765000 | &nbsp;&nbsp;&nbsp; 198287 |
| Freddie Mac, 0.362%, 12/25/2027 (i) | 47584313 | &nbsp;&nbsp;&nbsp; 305996 |
| Freddie Mac, 1.082%, 7/25/2029 (i) | 827982 | &nbsp;&nbsp;&nbsp; 27929 |
| Freddie Mac, 1.135%, 8/25/2029 (i) | 13017151 | &nbsp;&nbsp;&nbsp; 456271 |
| Freddie Mac, 1.797%, 4/25/2030 (i) | 2500000 | &nbsp;&nbsp;&nbsp; 169566 |
| Freddie Mac, 1.838%, 4/25/2030 (i) | 7819828 | &nbsp;&nbsp;&nbsp; 553054 |
| Freddie Mac, 1.666%, 5/25/2030 (i) | 4048749 | &nbsp;&nbsp;&nbsp; 265085 |
| Freddie Mac, 1.798%, 5/25/2030 (i) | 8995049 | &nbsp;&nbsp;&nbsp; 638067 |
| Freddie Mac, 1.341%, 6/25/2030 (i) | 3687431 | &nbsp;&nbsp;&nbsp; 196873 |
| Freddie Mac, 1.597%, 8/25/2030 (i) | 3331192 | &nbsp;&nbsp;&nbsp; 217073 |
| Freddie Mac, 1.168%, 9/25/2030 (i) | 2196896 | &nbsp;&nbsp;&nbsp; 107986 |
| Freddie Mac, 1.079%, 11/25/2030 (i) | 4320889 | &nbsp;&nbsp;&nbsp; 203348 |
| Freddie Mac, 0.32%, 1/25/2031 (i) | 16946205 | &nbsp;&nbsp;&nbsp; 211916 |
| Freddie Mac, 0.779%, 1/25/2031 (i) | 6541106 | &nbsp;&nbsp;&nbsp; 232685 |
| Freddie Mac, 0.935%, 1/25/2031 (i) | 4767487 | &nbsp;&nbsp;&nbsp; 198804 |
| Freddie Mac, 0.509%, 3/25/2031 (i) | 13735697 | &nbsp;&nbsp;&nbsp; 297168 |
| Freddie Mac, 0.731%, 3/25/2031 (i) | 5934811 | &nbsp;&nbsp;&nbsp; 204922 |
| Freddie Mac, 1.214%, 5/25/2031 (i) | 2518959 | &nbsp;&nbsp;&nbsp; 142621 |
| Freddie Mac, 0.937%, 7/25/2031 (i) | 4010843 | &nbsp;&nbsp;&nbsp; 188113 |
| Freddie Mac, 0.506%, 8/25/2031 (i) | 5109009 | &nbsp;&nbsp;&nbsp; 124153 |
| Freddie Mac, 0.536%, 9/25/2031 (i) | 16898337 | &nbsp;&nbsp;&nbsp; 460226 |
| Freddie Mac, 0.855%, 9/25/2031 (i) | 5075984 | &nbsp;&nbsp;&nbsp; 212927 |
| Freddie Mac, 0.349%, 11/25/2031 (i) | 25136487 | &nbsp;&nbsp;&nbsp; 463547 |
| Freddie Mac, 0.496%, 12/25/2031 (i) | 23600379 | &nbsp;&nbsp;&nbsp; 598281 |
| Freddie Mac, 0.567%, 12/25/2031 (i) | 40016231 | &nbsp;&nbsp;&nbsp; 1130519 |
| Freddie Mac, 0.286%, 11/25/2032 (i) | 23430359 | &nbsp;&nbsp;&nbsp; 334023 |
| Freddie Mac, 3%, 2/15/2033 (i) | 363561 | &nbsp;&nbsp;&nbsp; 16741 |
| Freddie Mac, 6%, 3/01/2033 - 6/01/2037  | 840222 | &nbsp;&nbsp;&nbsp; 875666 |
| Freddie Mac, 3.5%, 7/01/2033 - 10/25/2058  | 10613976 | &nbsp;&nbsp;&nbsp; 10144833 |
| Freddie Mac, 5%, 9/01/2033 - 7/01/2041  | 1467440 | &nbsp;&nbsp;&nbsp; 1502881 |
| Freddie Mac, 5.5%, 12/01/2033 - 10/01/2035  | 726249 | &nbsp;&nbsp;&nbsp; 744228 |
| Freddie Mac, 6.5%, 5/01/2034 - 7/01/2037  | 306490 | &nbsp;&nbsp;&nbsp; 321247 |
| Freddie Mac, 4.5%, 4/01/2035 - 5/01/2042  | 1164332 | &nbsp;&nbsp;&nbsp; 1174350 |
| Freddie Mac, 5.5%, 2/15/2036 (i) | 97357 | &nbsp;&nbsp;&nbsp; 14972 |
| Freddie Mac, 4%, 8/01/2037 - 4/01/2044  | 3700216 | &nbsp;&nbsp;&nbsp; 3616229 |
| Freddie Mac, 3%, 1/01/2038 - 2/25/2059  | 16449397 | &nbsp;&nbsp;&nbsp; 15137918 |
| Freddie Mac, 4.5%, 12/15/2040 (i) | 35288 | &nbsp;&nbsp;&nbsp; 3270 |
| Freddie Mac, 4%, 8/15/2044 (i) | 90029 | &nbsp;&nbsp;&nbsp; 7561 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Freddie Mac, UMBS, 6.5%, 5/01/2028 - 2/01/2055  | $21949410 | &nbsp;&nbsp;&nbsp; $22806212 |
| Freddie Mac, UMBS, 5%, 7/01/2035 - 9/01/2053  | 7149291 | &nbsp;&nbsp;&nbsp; 7156003 |
| Freddie Mac, UMBS, 6%, 1/01/2036 - 7/01/2054  | 18120107 | &nbsp;&nbsp;&nbsp; 18612457 |
| Freddie Mac, UMBS, 2.5%, 4/01/2037 - 9/01/2052  | 45694659 | &nbsp;&nbsp;&nbsp; 38922593 |
| Freddie Mac, UMBS, 3%, 10/01/2037 - 7/01/2053  | 22909486 | &nbsp;&nbsp;&nbsp; 20351205 |
| Freddie Mac, UMBS, 2%, 2/01/2042 - 3/01/2052  | 44758628 | &nbsp;&nbsp;&nbsp; 36553651 |
| Freddie Mac, UMBS, 3.5%, 12/01/2046 - 8/01/2053  | 9759767 | &nbsp;&nbsp;&nbsp; 9095007 |
| Freddie Mac, UMBS, 4%, 8/01/2047 - 9/01/2055  | 17286691 | &nbsp;&nbsp;&nbsp; 16506220 |
| Freddie Mac, UMBS, 1.5%, 3/01/2051 - 10/01/2051  | 1457144 | &nbsp;&nbsp;&nbsp; 1129030 |
| Freddie Mac, UMBS, 4.5%, 10/01/2052 - 1/01/2053  | 9641457 | &nbsp;&nbsp;&nbsp; 9450156 |
| Freddie Mac, UMBS, 5.5%, 12/01/2052 - 7/01/2055  | 10409223 | &nbsp;&nbsp;&nbsp; 10602596 |
| Ginnie Mae, 6%, 9/15/2032 - 9/20/2055  | 19454263 | &nbsp;&nbsp;&nbsp; 19860381 |
| Ginnie Mae, 5.5%, 12/15/2032 - 6/20/2055  | 37555971 | &nbsp;&nbsp;&nbsp; 38041328 |
| Ginnie Mae, 4.5%, 7/15/2033 - 12/20/2052  | 30681624 | &nbsp;&nbsp;&nbsp; 30147937 |
| Ginnie Mae, 5%, 7/20/2033 - 5/20/2053  | 20712623 | &nbsp;&nbsp;&nbsp; 20737651 |
| Ginnie Mae, 4%, 1/20/2041 - 10/20/2052  | 12911888 | &nbsp;&nbsp;&nbsp; 12339736 |
| Ginnie Mae, 3.948%, 9/20/2041  | 2233311 | &nbsp;&nbsp;&nbsp; 2191751 |
| Ginnie Mae, 3.5%, 12/15/2041 - 10/20/2055  | 24510226 | &nbsp;&nbsp;&nbsp; 22471098 |
| Ginnie Mae, 3%, 4/20/2045 - 10/20/2052  | 29566037 | &nbsp;&nbsp;&nbsp; 26722824 |
| Ginnie Mae, 2.5%, 8/20/2051 - 4/20/2052  | 39022478 | &nbsp;&nbsp;&nbsp; 33677543 |
| Ginnie Mae, 2%, 1/20/2052 - 9/20/2052  | 27578324 | &nbsp;&nbsp;&nbsp; 22847106 |
| UMBS, TBA, 2.5%, 1/01/2056  | 1350000 | &nbsp;&nbsp;&nbsp; 1141066 |
| UMBS, TBA, 2%, 1/25/2056  | 8025000 | &nbsp;&nbsp;&nbsp; 6485171 |
| UMBS, TBA, 3%, 1/25/2056  | 11000000 | &nbsp;&nbsp;&nbsp; 9727695 |
| UMBS, TBA, 3.5%, 1/25/2056  | 10700000 | &nbsp;&nbsp;&nbsp; 9891230 |
|  |  | &nbsp;&nbsp;&nbsp; $744773455 |
| Municipals – 0.4% | Municipals – 0.4% | Municipals – 0.4% |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 6.352%, 7/01/2049  | $9860000 | &nbsp;&nbsp;&nbsp; $10198588 |
| New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), "F", 7.414%, 1/01/2040  | 5815000 | &nbsp;&nbsp;&nbsp; 6969526 |
| Rhode Island Student Loan Authority Education Loan Rev., Taxable, "1", 6.081%, 12/01/2042  | 7175000 | &nbsp;&nbsp;&nbsp; 7283228 |
| State of Florida, Taxable, "A", 2.154%, 7/01/2030  | 3243000 | &nbsp;&nbsp;&nbsp; 2983911 |
|  |  | &nbsp;&nbsp;&nbsp; $27435253 |
| Natural Gas - Distribution – 0.1% | Natural Gas - Distribution – 0.1% | Natural Gas - Distribution – 0.1% |
| NiSource, Inc., 2.95%, 9/01/2029  | $3757000 | &nbsp;&nbsp;&nbsp; $3605019 |
| NiSource, Inc., 5.65%, 2/01/2045  | 1946000 | &nbsp;&nbsp;&nbsp; 1932507 |
|  |  | &nbsp;&nbsp;&nbsp; $5537526 |
| Network & Telecom – 0.3% | Network & Telecom – 0.3% | Network & Telecom – 0.3% |
| NTT Finance Corp., 5.502%, 7/16/2035 (n) | $14166000 | &nbsp;&nbsp;&nbsp; $14668017 |
| Verizon Communications, Inc., 3.15%, 3/22/2030  | 3222000 | &nbsp;&nbsp;&nbsp; 3085531 |
| Verizon Communications, Inc., 2.55%, 3/21/2031  | 2662000 | &nbsp;&nbsp;&nbsp; 2430921 |
| Verizon Communications, Inc., 4.812%, 3/15/2039  | 5693000 | &nbsp;&nbsp;&nbsp; 5402759 |
|  |  | &nbsp;&nbsp;&nbsp; $25587228 |
| Oils – 0.1% | Oils – 0.1% | Oils – 0.1% |
| Marathon Petroleum Corp., 4.75%, 9/15/2044  | $2779000 | &nbsp;&nbsp;&nbsp; $2375343 |
| Phillips 66 Co., 2.15%, 12/15/2030  | 9419000 | &nbsp;&nbsp;&nbsp; 8446858 |
|  |  | &nbsp;&nbsp;&nbsp; $10822201 |
| Pollution Control – 0.3% | Pollution Control – 0.3% | Pollution Control – 0.3% |
| Waste Management, Inc., 4.875%, 2/15/2034  | $19470000 | &nbsp;&nbsp;&nbsp; $19973345 |
| Real Estate - Office – 0.0% | Real Estate - Office – 0.0% | Real Estate - Office – 0.0% |
| Boston Properties LP, REIT, 2.55%, 4/01/2032  | $3985000 | &nbsp;&nbsp;&nbsp; $3476398 |
| Real Estate - Other – 0.2% | Real Estate - Other – 0.2% | Real Estate - Other – 0.2% |
| Public Storage Operating, REIT, 5.1%, 8/01/2033  | $14650000 | &nbsp;&nbsp;&nbsp; $15162076 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Real Estate - Retail – 0.1% | Real Estate - Retail – 0.1% | Real Estate - Retail – 0.1% |
| Brixmor Operating Partnership LP, REIT, 4.125%, 5/15/2029  | $553000 | &nbsp;&nbsp;&nbsp; $550752 |
| Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030  | 5247000 | &nbsp;&nbsp;&nbsp; 5172865 |
| Realty Income Corp., REIT, 3.25%, 1/15/2031  | 1504000 | &nbsp;&nbsp;&nbsp; 1431850 |
|  |  | &nbsp;&nbsp;&nbsp; $7155467 |
| Retailers – 0.1% | Retailers – 0.1% | Retailers – 0.1% |
| Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n)  | $7066000 | &nbsp;&nbsp;&nbsp; $5524365 |
| Specialty Stores – 0.1% | Specialty Stores – 0.1% | Specialty Stores – 0.1% |
| Genuine Parts Co., 2.75%, 2/01/2032  | $12549000 | &nbsp;&nbsp;&nbsp; $11100513 |
| Telecommunications - Wireless – 0.5% | Telecommunications - Wireless – 0.5% | Telecommunications - Wireless – 0.5% |
| Crown Castle, Inc., REIT, 3.65%, 9/01/2027  | $7499000 | &nbsp;&nbsp;&nbsp; $7439327 |
| Rogers Communications, Inc., 3.8%, 3/15/2032  | 16771000 | &nbsp;&nbsp;&nbsp; 15801079 |
| T-Mobile USA, Inc., 2.05%, 2/15/2028  | 6050000 | &nbsp;&nbsp;&nbsp; 5807700 |
| T-Mobile USA, Inc., 4.5%, 4/15/2050  | 7057000 | &nbsp;&nbsp;&nbsp; 5812558 |
| Vodafone Group PLC, 5.625%, 2/10/2053  | 2556000 | &nbsp;&nbsp;&nbsp; 2447102 |
|  |  | &nbsp;&nbsp;&nbsp; $37307766 |
| Tobacco – 0.4% | Tobacco – 0.4% | Tobacco – 0.4% |
| B.A.T. International Finance PLC, 4.448%, 3/16/2028  | $16618000 | &nbsp;&nbsp;&nbsp; $16747096 |
| Philip Morris International, Inc., 5.125%, 11/17/2027  | 2946000 | &nbsp;&nbsp;&nbsp; 3009697 |
| Philip Morris International, Inc., 5.625%, 11/17/2029  | 1269000 | &nbsp;&nbsp;&nbsp; 1334072 |
| Philip Morris International, Inc., 5.125%, 2/15/2030  | 4791000 | &nbsp;&nbsp;&nbsp; 4952341 |
| Philip Morris International, Inc., 5.75%, 11/17/2032  | 5624000 | &nbsp;&nbsp;&nbsp; 6010558 |
|  |  | &nbsp;&nbsp;&nbsp; $32053764 |
| Transportation - Services – 0.0% | Transportation - Services – 0.0% | Transportation - Services – 0.0% |
| ERAC USA Finance LLC, 7%, 10/15/2037 (n)  | $2559000 | &nbsp;&nbsp;&nbsp; $2963693 |
| U.S. Treasury Obligations – 9.4% | U.S. Treasury Obligations – 9.4% | U.S. Treasury Obligations – 9.4% |
| U.S. Treasury Bonds, 2.875%, 5/15/2043  | $36361000 | &nbsp;&nbsp;&nbsp; $28226646 |
| U.S. Treasury Bonds, 4.5%, 2/15/2044  | 14000000 | &nbsp;&nbsp;&nbsp; 13543906 |
| U.S. Treasury Bonds, 3%, 11/15/2045  | 215000 | &nbsp;&nbsp;&nbsp; 164282 |
| U.S. Treasury Bonds, 2.25%, 8/15/2046 (f) | 161800000 | &nbsp;&nbsp;&nbsp; 106478305 |
| U.S. Treasury Bonds, 2.875%, 11/15/2046  | 14148000 | &nbsp;&nbsp;&nbsp; 10447414 |
| U.S. Treasury Bonds, 1.875%, 11/15/2051  | 9015000 | &nbsp;&nbsp;&nbsp; 4982900 |
| U.S. Treasury Bonds, 2.25%, 2/15/2052  | 44658400 | &nbsp;&nbsp;&nbsp; 27095089 |
| U.S. Treasury Bonds, 4%, 11/15/2052  | 7700000 | &nbsp;&nbsp;&nbsp; 6677043 |
| U.S. Treasury Bonds, 4.75%, 11/15/2053  | 20000000 | &nbsp;&nbsp;&nbsp; 19633594 |
| U.S. Treasury Bonds, 4.25%, 2/15/2054  | 58900000 | &nbsp;&nbsp;&nbsp; 53249281 |
| U.S. Treasury Bonds, 4.5%, 11/15/2054  | 31400000 | &nbsp;&nbsp;&nbsp; 29616578 |
| U.S. Treasury Notes, 2.5%, 3/31/2027  | 21400000 | &nbsp;&nbsp;&nbsp; 21135008 |
| U.S. Treasury Notes, 4.5%, 4/15/2027  | 61600000 | &nbsp;&nbsp;&nbsp; 62357969 |
| U.S. Treasury Notes, 2.75%, 4/30/2027  | 57767600 | &nbsp;&nbsp;&nbsp; 57207976 |
| U.S. Treasury Notes, 4.125%, 7/31/2028  | 44000000 | &nbsp;&nbsp;&nbsp; 44656563 |
| U.S. Treasury Notes, 4.25%, 6/30/2029  | 97400000 | &nbsp;&nbsp;&nbsp; 99458336 |
| U.S. Treasury Notes, 3.875%, 4/30/2030  | 24000000 | &nbsp;&nbsp;&nbsp; 24187500 |
| U.S. Treasury Notes, 4.25%, 11/15/2034  | 100900000 | &nbsp;&nbsp;&nbsp; 101960238 |
|  |  | &nbsp;&nbsp;&nbsp; $711078628 |
| Utilities - Electric Power – 0.9% | Utilities - Electric Power – 0.9% | Utilities - Electric Power – 0.9% |
| American Electric Power Co., Inc., 5.95%, 11/01/2032  | $4167000 | &nbsp;&nbsp;&nbsp; $4472097 |
| American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 1697000 | &nbsp;&nbsp;&nbsp; 1526948 |
| Duke Energy Carolinas LLC, 4.95%, 1/15/2033  | 13535000 | &nbsp;&nbsp;&nbsp; 13940716 |
| Duke Energy Corp., 2.65%, 9/01/2026  | 1167000 | &nbsp;&nbsp;&nbsp; 1157050 |
| Duke Energy Corp., 4.5%, 8/15/2032  | 9846000 | &nbsp;&nbsp;&nbsp; 9813494 |
| Duke Energy Progress LLC, 3.45%, 3/15/2029  | 5272000 | &nbsp;&nbsp;&nbsp; 5189331 |
| Enel Finance International N.V., 4.75%, 5/25/2047 (n) | 1993000 | &nbsp;&nbsp;&nbsp; 1720674 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Utilities - Electric Power – continued | Utilities - Electric Power – continued | Utilities - Electric Power – continued |
| Exelon Corp., 4.05%, 4/15/2030  | $4954000 | &nbsp;&nbsp;&nbsp; $4904951 |
| Georgia Power Co., 3.7%, 1/30/2050  | 454000 | &nbsp;&nbsp;&nbsp; 339377 |
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 2889000 | &nbsp;&nbsp;&nbsp; 2595092 |
| Jersey Central Power & Light Co., 5.1%, 1/15/2035  | 2399000 | &nbsp;&nbsp;&nbsp; 2425945 |
| Oncor Electric Delivery Co. LLC, 5.75%, 3/15/2029  | 3467000 | &nbsp;&nbsp;&nbsp; 3625201 |
| Pacific Gas & Electric Co., 2.1%, 8/01/2027  | 1524000 | &nbsp;&nbsp;&nbsp; 1477443 |
| Pacific Gas & Electric Co., 3%, 6/15/2028  | 4398000 | &nbsp;&nbsp;&nbsp; 4264478 |
| Pacific Gas & Electric Co., 2.5%, 2/01/2031  | 6640000 | &nbsp;&nbsp;&nbsp; 5975739 |
| Pacific Gas & Electric Co., 3.3%, 8/01/2040  | 3109000 | &nbsp;&nbsp;&nbsp; 2353365 |
| Xcel Energy, Inc., 3.4%, 6/01/2030  | 3231000 | &nbsp;&nbsp;&nbsp; 3107121 |
|  |  | &nbsp;&nbsp;&nbsp; $68889022 |
| Utilities - Gas – 0.0% | Utilities - Gas – 0.0% | Utilities - Gas – 0.0% |
| East Ohio Gas Co., 2%, 6/15/2030 (n)  | $3473000 | &nbsp;&nbsp;&nbsp; $3144169 |
| **Total Bonds**  |  | &nbsp;&nbsp; **$2954797936** |
| Preferred Stocks – 1.0%  | Preferred Stocks – 1.0%  | Preferred Stocks – 1.0%  |
| Computer Software - Systems – 0.4% |  |  |
| Samsung Electronics Co. Ltd.  | 491419 | &nbsp;&nbsp;&nbsp; $30157628 |
| Consumer Products – 0.6% |  |  |
| Henkel AG & Co. KGaA  | 525078 | &nbsp;&nbsp;&nbsp; $42935846 |
| **Total Preferred Stocks**  |  | &nbsp;&nbsp; **$73093474** |
| Convertible Preferred Stocks – 0.3%  | Convertible Preferred Stocks – 0.3%  | Convertible Preferred Stocks – 0.3%  |
| Aerospace & Defense – 0.3% | Aerospace & Defense – 0.3% |  |
| Boeing Co., 6%, 10/15/2027  | 338957 | &nbsp;&nbsp;&nbsp; $23408371 |
| Mutual Funds (h) – 0.5%  | Mutual Funds (h) – 0.5%  | Mutual Funds (h) – 0.5%  |
| Money Market Funds – 0.5% | Money Market Funds – 0.5% |  |
| MFS Institutional Money Market Portfolio, 3.82% (v)  | 41753674 | &nbsp;&nbsp;&nbsp; $41762024 |
| Other Assets, Less Liabilities – 0.2% |  | &nbsp;&nbsp;&nbsp; 14001637 |
| **Net Assets – 100.0%** | **Net Assets – 100.0%** | &nbsp;&nbsp; **$7587907447** |

---

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

&nbsp;&nbsp;&nbsp;&nbsp;(a) Non-income producing security.

&nbsp;&nbsp;&nbsp;&nbsp;(d) In default.

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

&nbsp;&nbsp;&nbsp;&nbsp;(h) An affiliated issuer, which may be considered one in which the fund owns 5% or more
 of the outstanding voting securities, or a company which is under common control. At period end, the aggregate values of the fund's investments in affiliated
 issuers and in unaffiliated issuers were $41,762,024 and $7,532,143,786, respectively.

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

&nbsp;&nbsp;&nbsp;&nbsp;(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933.
 These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers.
 At period end, the aggregate value of these securities was $682,232,028, representing 9.0% of net assets.

&nbsp;&nbsp;&nbsp;&nbsp;(q) Interest received was less than stated coupon rate.

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

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

------

*Portfolio of Investments (unaudited) – continued*

---

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

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Derivative Contracts at 12/31/25** | **Derivative Contracts at 12/31/25** | **Derivative Contracts at 12/31/25** | **Derivative Contracts at 12/31/25** | **Derivative Contracts at 12/31/25** | **Derivative Contracts at 12/31/25** | **Derivative Contracts at 12/31/25** |
| **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  | **Futures Contracts**  |
| **Description** | **Long/** <br>**Short**<br>| **Currency** | **Contracts** | &nbsp;&nbsp; **Notional** <br>**Amount**<br>| &nbsp;&nbsp; **Expiration** <br>**Date**<br>| **Value/Unrealized** <br>**Appreciation** <br>**(Depreciation)**<br>|
| **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 Note 2 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 878 | $183316796 | March – 2026 | &nbsp;&nbsp; $(135070)<br>|
| U.S. Treasury Note 5 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 747 | 81650602 | March – 2026 | &nbsp;&nbsp; (323632)<br>|
| U.S. Treasury Ultra Bond 30 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 407 | 48026000 | March – 2026 | &nbsp;&nbsp; (1146250)<br>|
| U.S. Treasury Ultra Note 10 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 198 | 22773094 | March – 2026 | &nbsp;&nbsp; (99734)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(1704686)<br>|

---

At December 31, 2025, the fund had liquid securities collateral with an aggregate value of $5,046,892 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**

12/31/25 (unaudited)

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

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

**(1) Investment Valuations**

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

Under the fund's valuation policy and procedures, equity securities, including restricted equity securities, are generally valued at the last sale or official closing price on their primary market or exchange as provided by a third-party pricing service. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation on their primary market or exchange as provided

by a third-party pricing service. 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. Pricing services generally value debt instruments assuming orderly transactions of institutional round lot sizes, but a fund may hold or transact in such securities in smaller, odd lot sizes. In instances where a fund holds an odd lot size position in a debt instrument, such position will typically be valued using the pricing agent's institutional round lot price for the debt instrument. Odd lots may trade at lower prices than institutional round lots, and the fund may receive different prices when it sells odd lot positions than it would receive for sales of institutional round lot positions. An investment may also be valued at fair value if the adviser determines that the investment's value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the fund's net asset value, or after the halt of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the fund's net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the fund's foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating the fund's net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine the fund's net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the fund could obtain the fair value assigned

to an investment if it were to sell the investment at the same time at which the fund determines its net asset value per share.

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

------

*Supplemental Information (unaudited) – continued*

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial Instruments** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Equity Securities: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; United States | &nbsp;&nbsp;&nbsp; $4288223671 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $4288223671 |
| &nbsp;&nbsp;&nbsp; United Kingdom | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 99851156 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 99851156 |
| &nbsp;&nbsp;&nbsp; Canada | &nbsp;&nbsp;&nbsp; 52815783 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 52815783 |
| &nbsp;&nbsp;&nbsp; Switzerland | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 50609220 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 50609220 |
| &nbsp;&nbsp;&nbsp; Germany | &nbsp;&nbsp;&nbsp; 42935846 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 42935846 |
| &nbsp;&nbsp;&nbsp; South Korea | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 30157628 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 30157628 |
| &nbsp;&nbsp;&nbsp; Hong Kong | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 12752546 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 12752546 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 711078628 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 711078628 |
| Non - U.S. Sovereign Debt | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2446670 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2446670 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 27435253 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 27435253 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 641082011 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 641082011 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 818739191 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 818739191 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 112343261 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 112343261 |
| Asset-Backed Securities (including CDOs) | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 350091948 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 350091948 |
| Foreign Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 291580974 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 291580974 |
| Investment Companies | &nbsp;&nbsp;&nbsp; 41762024 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 41762024 |
| Total | &nbsp;&nbsp;&nbsp; $4425737324 | &nbsp;&nbsp;&nbsp; $3148168486 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $7573905810 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Liabilities | &nbsp;&nbsp;&nbsp; $(1704686)<br>| &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $(1704686)<br>|

---

For further information regarding security characteristics, see the Portfolio of Investments.

**(2) Investments in Affiliated Issuers**

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

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Affiliated Issuers** | **Beginning** <br>**Value**<br>| **Purchases** | **Sales** <br>**Proceeds**<br>| **Realized** <br>**Gain** <br>**(Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation or** <br>**Depreciation**<br>| **Ending** <br>**Value**<br>|
| MFS Institutional Money Market Portfolio  | &nbsp;&nbsp; $114233354 | &nbsp;&nbsp; $243697505 | &nbsp;&nbsp; $316177820 | &nbsp;&nbsp; $12052 | &nbsp;&nbsp; $(3067)<br>| &nbsp;&nbsp; $41762024<br>|

---

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

---

| | | |
|:---|:---|:---|
| **Affiliated Issuers** | **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| MFS Institutional Money Market Portfolio  | &nbsp;&nbsp; $1055784 | &nbsp;&nbsp; $— |

---

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-02031

- **c. CIK number of Registrant:** 0000200489

- **d. LEI of Registrant:** 5493004F6FXFYCOUPT54

- **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 Total Return Fund

- **b. EDGAR series identifier (if any):** S000002439

- **c. LEI of Series:** HPZZAPCUIEU12XV0HS18

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $7617478480.43

**Total Liabilities:** $29582569.33

**Net Assets:** $7587895911.10

**Delayed Delivery Securities:** $27175254.89

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3578.67039740 | **1-Year:** -75037.25986580 | **5-Year:** -296202.27806630 | **10-Year:** -229621.17693180 | **30-Year:** -56264.76406190

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

- **3-Month:** -594.45720160 | **1-Year:** -13275.59834000 | **5-Year:** -14365.70597590 | **10-Year:** -2906.24230760 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000006546 | -1.21%               | 2.04%                | 1.12%                |
| Class ID C000006547 | -1.13%               | 2.01%                | 1.19%                |
| Class ID C000006551 | -1.22%               | 1.97%                | 1.04%                |
| Class ID C000006552 | -1.26%               | 1.96%                | 1.09%                |
| Class ID C000006553 | -1.19%               | 2.06%                | 1.14%                |
| Class ID C000006555 | -1.27%               | 1.99%                | 1.05%                |
| Class ID C000006557 | -1.17%               | 1.96%                | 1.14%                |
| Class ID C000006558 | -1.16%               | 1.99%                | 1.17%                |
| Class ID C000116934 | -1.13%               | 2.07%                | 1.15%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $38580506.86             | $-135066112.23                             |
| Month 2  | $54769275.30             | $77239321.05                               |
| Month 3  | $35466398.46             | $35680350.10                               |

**Designated Index Information**

- **Index Name:** 60% S&P, 40% BBG Barc US Aggregate Index

- **Index Identifier:** 60% SPX, 40% LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AGCO Corp.                                             | AGCO Corp.                                                                       | CUSIP: 001084102<br>LEI: LYOM0B2GCF1JWXK5ZG04 | Long             | EC               | CORP              | US        |    241858 | NS      | $25230626.56  | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   7298000 | PA      | $7251090.57   | 0.10%             | 2027-07-21      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  12829000 | PA      | $12654628.36  | 0.17%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Adventist Health System                                | Adventist Health System                                                          | CUSIP: 007944AH4<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |   8829000 | PA      | $9041504.85   | 0.12%             | 2032-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                      | Affirm Asset Securitization Trust, Series 2025-X1, Class A                       | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725157 | PA      | $726214.32    | 0.01%             | 2030-04-15      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Agilent Technologies, Inc.                             | Agilent Technologies, Inc.                                                       | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |    277863 | NS      | $37808818.41  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Airbnb, Inc.                                           | Airbnb, Inc., Class A                                                            | CUSIP: 009066101<br>LEI: 549300HMUDNO0RY56D37 | Long             | EC               | CORP              | US        |    155010 | NS      | $21037957.20  | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Air Products and Chemicals, Inc.                       | Air Products and Chemicals, Inc.                                                 | CUSIP: 009158106<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | EC               | CORP              | US        |     56980 | NS      | $14075199.60  | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Albertsons Cos., Inc.                                  | Albertsons Cos., Inc., Class A                                                   | CUSIP: 013091103<br>LEI: 549300YKWOC0AOR16R51 | Long             | EC               | CORP              | US        |    852526 | NS      | $14637871.42  | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Alcon Finance Corp.                                    | Alcon Finance Corp.                                                              | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    944000 | PA      | $877672.07    | 0.01%             | 2030-05-27      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                         | Alimentation Couche-Tard, Inc.                                                   | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   7066000 | PA      | $5524364.92   | 0.07%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8025000 | PA      | $6485171.19   | 0.09%             | 2055-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1350000 | PA      | $1141066.41   | 0.02%             | 2056-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11000000 | PA      | $9727695.34   | 0.13%             | 2056-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                     | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10700000 | PA      | $9891230.44   | 0.13%             | 2056-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                     | Altria Group, Inc.                                                               | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |    301303 | NS      | $17373130.98  | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Diageo plc                                             | Diageo plc                                                                       | CUSIP: N/A<br>LEI: 213800ZVIELEA55JMJ32       | Long             | EC               | CORP              | GB        |   1185782 | NS      | $25542568.71  | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                      | American Electric Power Co., Inc.                                                | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   4167000 | PA      | $4472096.53   | 0.06%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| American Transmission Systems, Inc.                    | American Transmission Systems, Inc.                                              | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1697000 | PA      | $1526948.06   | 0.02%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust, Series 2025-1, Class A2A               | CUSIP: 03067FAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2069000 | PA      | $2072174.67   | 0.03%             | 2029-03-19      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2024-9, Class A1                                | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |   4743958 | PA      | $4756887.22   | 0.06%             | 2069-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   4221000 | PA      | $4407737.63   | 0.06%             | 2030-04-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |  14501000 | PA      | $13365483.97  | 0.18%             | 2030-09-10      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                       | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1639000 | PA      | $1617313.21   | 0.02%             | 2029-03-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2024-12, Class A1                               | CUSIP: 034932AA1<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |   7619302 | PA      | $7684291.09   | 0.10%             | 2069-10-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2024-10, Class A1                               | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |   8789107 | PA      | $8830864.54   | 0.12%             | 2069-10-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust, Series 2025-10, Class A1                               | CUSIP: 034940AA4<br>LEI: 254900CFOEUA52TRVZ51 | Long             | ABS-MBS          | CORP              | US        |   2731847 | PA      | $2734880.91   | 0.04%             | 2070-09-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                   | Anheuser-Busch InBev Worldwide, Inc.                                             | CUSIP: 03523TBJ6<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   9340000 | PA      | $11857481.74  | 0.16%             | 2039-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                   | Anheuser-Busch InBev Worldwide, Inc.                                             | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   2343000 | PA      | $2228547.03   | 0.03%             | 2038-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Aon Corp.                                              | Aon Corp.                                                                        | CUSIP: 037389BB8<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |   6796000 | PA      | $6876993.91   | 0.09%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class B         | CUSIP: 03880XAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16706500 | PA      | $16727376.44  | 0.22%             | 2037-01-15      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| ARDN Mortgage Trust                                    | ARDN Mortgage Trust, Series 2025-ARCP, Class A                                   | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14611000 | PA      | $14633728.87  | 0.19%             | 2035-06-15      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| AREIT Trust                                            | AREIT Trust, Series 2022-CRE6, Class B                                           | CUSIP: 04002VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |  10151500 | PA      | $10099850.59  | 0.13%             | 2037-01-20      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                  | ARI Fleet Lease Trust, Series 2023-B, Class A2                                   | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1370769 | PA      | $1381239.79   | 0.02%             | 2032-07-15      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                | Arrow Electronics, Inc.                                                          | CUSIP: 04273WAC5<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   9356000 | PA      | $8364940.25   | 0.11%             | 2032-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                  | Ashtead Capital, Inc.                                                            | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |  13806000 | PA      | $14255302.05  | 0.19%             | 2032-08-11      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Avery Dennison Corp.                                   | Avery Dennison Corp.                                                             | CUSIP: 053611109<br>LEI: 549300PW7VPFCYKLIV37 | Long             | EC               | CORP              | US        |     86765 | NS      | $15780818.20  | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2248000 | PA      | $2248686.02   | 0.03%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   6935000 | PA      | $6857918.86   | 0.09%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2516000 | PA      | $2439186.75   | 0.03%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| BAE Systems plc                                        | BAE Systems plc                                                                  | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   2846000 | PA      | $2751030.29   | 0.04%             | 2030-04-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| BAT International Finance plc                          | BAT International Finance plc                                                    | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |  16618000 | PA      | $16747096.10  | 0.22%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BDS LLC                                                | BDS LLC, Series 2025-FL16, Class A                                               | CUSIP: 05556XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8636766 | PA      | $8639479.67   | 0.11%             | 2043-07-19      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                      | BSPRT Issuer Ltd., Series 2022-FL8, Class B                                      | CUSIP: 055983AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5979000 | PA      | $5963297.95   | 0.08%             | 2037-02-15      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                              | BXMT Ltd., Series 2021-FL4, Class AS                                             | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16816500 | PA      | $16723580.43  | 0.22%             | 2038-05-15      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2022-2A, Class BR                           | CUSIP: 05682GAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8838526 | PA      | $8847435.23   | 0.12%             | 2035-04-22      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2020-4A, Class A1RR                         | CUSIP: 05684KBG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11516802 | PA      | $11523861.80  | 0.15%             | 2036-10-20      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                           | Bain Capital Credit CLO Ltd., Series 2022-1A, Class CR                           | CUSIP: 05684UAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $15000000.00  | 0.20%             | 2038-10-18      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                            | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |   2566067 | NS      | $141133685.00 | 1.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  11068000 | PA      | $9982264.17   | 0.13%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| BANK5                                                  | BANK5, Series 2025-5YR17, Class A3                                               | CUSIP: 06211GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6889915 | PA      | $7103533.37   | 0.09%             | 2058-11-15      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| BANK                                                   | BANK, Series 2023-BNK46, Class A4                                                | CUSIP: 06541DBH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16647021 | PA      | $17552452.47  | 0.23%             | 2056-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                     | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3413000 | PA      | $3109915.77   | 0.04%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   8955000 | PA      | $10239640.60  | 0.13%             | 2033-11-02      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                | Bayview Financial Revolving Asset Trust, Series 2005-E, Class M1                 | CUSIP: 073250BW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460389 | PA      | $1060785.19   | 0.01%             | 2040-12-28      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Becton Dickinson & Co.                                 | Becton Dickinson & Co.                                                           | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |    848065 | NS      | $164583974.55 | 2.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Becton Dickinson & Co.                                 | Becton Dickinson & Co.                                                           | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   5265000 | PA      | $4584218.34   | 0.06%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2023-V3, Class A3                               | CUSIP: 08163VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190323 | PA      | $1244622.68   | 0.02%             | 2056-07-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2025-V18, Class A3                              | CUSIP: 08164EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6657910 | PA      | $6856338.35   | 0.09%             | 2058-10-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |     83397 | NS      | $18107156.64  | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |    338957 | NS      | $23408370.42  | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3164000 | PA      | $3112092.65   | 0.04%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                 | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2772000 | PA      | $3113340.23   | 0.04%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                   | Boston Properties LP                                                             | CUSIP: 10112RBE3<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   3985000 | PA      | $3476398.08   | 0.05%             | 2032-04-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                                | Boston Scientific Corp.                                                          | CUSIP: 101137BA4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |   4819000 | PA      | $4534515.68   | 0.06%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                       | BP Capital Markets America, Inc.                                                 | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |  13375000 | PA      | $12181583.12  | 0.16%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Brazos Securitization LLC                              | Brazos Securitization LLC                                                        | CUSIP: 106230AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5403000 | PA      | $5400030.19   | 0.07%             | 2040-09-01      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                       | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    553000 | PA      | $550751.66    | 0.01%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                       | Brixmor Operating Partnership LP                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   5247000 | PA      | $5172864.87   | 0.07%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                   | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   4190000 | PA      | $4133095.99   | 0.05%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                   | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2171000 | PA      | $2142795.17   | 0.03%             | 2037-05-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                              | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   6851000 | PA      | $6629277.32   | 0.09%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                              | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1849000 | PA      | $1895881.64   | 0.02%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-1A, Class A                             | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2592946 | PA      | $2653655.00   | 0.03%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2025-BCAT, Class A                          | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8885217 | PA      | $8896285.31   | 0.12%             | 2042-08-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Cigna Group (The)                                      | Cigna Group (The)                                                                | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |    382790 | NS      | $105355291.70 | 1.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Cigna Group (The)                                      | Cigna Group (The)                                                                | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1517000 | PA      | $1198331.83   | 0.02%             | 2040-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CME Group, Inc.                                        | CME Group, Inc.                                                                  | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |    189699 | NS      | $51803002.92  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| CNH Industrial Capital LLC                             | CNH Industrial Capital LLC                                                       | CUSIP: 12592BAL8<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   1459000 | PA      | $1457805.18   | 0.02%             | 2026-01-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                      | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  15546000 | PA      | $15085113.02  | 0.20%             | 2030-03-01      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO Ltd.                                    | CARLYLE US CLO Ltd., Series 2023-1A, Class A2R                                   | CUSIP: 14318RAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8500000 | PA      | $8530217.50   | 0.11%             | 2037-07-20      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                             | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3335000 | PA      | $3441905.56   | 0.05%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                             | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    898000 | PA      | $739722.66    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                             | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6646000 | PA      | $4727225.96   | 0.06%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                             | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $790845.45    | 0.01%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Chevron Corp.                                          | Chevron Corp.                                                                    | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    323445 | NS      | $49296252.45  | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Cognizant Technology Solutions Corp.                   | Cognizant Technology Solutions Corp., Class A                                    | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |    424149 | NS      | $35204367.00  | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2024-5, Class A1                                | CUSIP: 19685AAA7<br>LEI: 213800AWBXHFGYDU9Q16 | Long             | ABS-MBS          | CORP              | US        |   5237919 | PA      | $5247976.96   | 0.07%             | 2069-08-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                    | CUSIP: 20030N119<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |   3089784 | NS      | $88831290.00  | 1.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1A1                  | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2644656 | PA      | $2648711.45   | 0.03%             | 2045-02-25      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| ConocoPhillips                                         | ConocoPhillips                                                                   | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |   1032221 | NS      | $96626207.81  | 1.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Constellation Brands, Inc.                             | Constellation Brands, Inc., Class A                                              | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |    265363 | NS      | $36609479.48  | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Consumers 2023 Securitization Funding LLC              | Consumers 2023 Securitization Funding LLC, Series A1                             | CUSIP: 21071BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2074721 | PA      | $2097071.89   | 0.03%             | 2028-03-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |  10864000 | PA      | $10311554.84  | 0.14%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                             | Corebridge Financial, Inc.                                                       | CUSIP: 21871XAS8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   4345000 | PA      | $4542659.87   | 0.06%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                     | Crown Castle, Inc.                                                               | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   7499000 | PA      | $7439327.46   | 0.10%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Dwight Issuer LLC                                      | Dwight Issuer LLC, Series 2025-FL1, Class A                                      | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8383500 | PA      | $8404456.23   | 0.11%             | 2042-06-18      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                  | Delta Air Lines, Inc.                                                            | CUSIP: 247361702<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | EC               | CORP              | US        |    297633 | NS      | $20655730.20  | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2866000 | PA      | $2819535.15   | 0.04%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   7852000 | PA      | $8220569.19   | 0.11%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                 | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2814000 | PA      | $2856943.78   | 0.04%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Diageo Capital plc                                     | Diageo Capital plc                                                               | CUSIP: 25243YBB4<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   7901000 | PA      | $7426497.94   | 0.10%             | 2029-10-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                               | Diamondback Energy, Inc.                                                         | CUSIP: 25278X109<br>LEI: 549300R22LSX6OHWEN64 | Long             | EC               | CORP              | US        |    173295 | NS      | $26051437.35  | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Diamondback Energy, Inc.                               | Diamondback Energy, Inc.                                                         | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   4479000 | PA      | $4586157.12   | 0.06%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                  | Walt Disney Co. (The)                                                            | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   7611000 | PA      | $6371893.50   | 0.08%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Dryden 55 CLO Ltd.                                     | Dryden 55 CLO Ltd., Series 2018-55A, Class A1                                    | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2905859 | PA      | $2905981.32   | 0.04%             | 2031-04-15      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Dryden 86 CLO Ltd.                                     | Dryden 86 CLO Ltd., Series 2020-86A, Class BR2                                   | CUSIP: 26245XBC0<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |  18968331 | PA      | $18976354.60  | 0.25%             | 2034-07-17      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Dryden XXVI Senior Loan Fund                           | Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR                          | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |    508376 | PA      | $508240.47    | 0.01%             | 2029-04-15      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Dryden 75 CLO Ltd.                                     | Dryden 75 CLO Ltd., Series 2019-75A, Class BR3                                   | CUSIP: 26252JBE7<br>LEI: 254900JFO9XUH2EREJ70 | Long             | ABS-CBDO         | CORP              | KY        |  16953585 | PA      | $16959942.59  | 0.22%             | 2034-04-14      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                      | Duke Energy Corp.                                                                | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |    482243 | NS      | $56523702.03  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Duke Energy Corp.                                      | Duke Energy Corp.                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1167000 | PA      | $1157049.96   | 0.02%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                      | Duke Energy Corp.                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   9846000 | PA      | $9813494.22   | 0.13%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                              | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |  13535000 | PA      | $13940715.69  | 0.18%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                               | Duke Energy Progress LLC                                                         | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   5272000 | PA      | $5189331.14   | 0.07%             | 2029-03-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                | DuPont de Nemours, Inc.                                                          | CUSIP: 26614N102<br>LEI: 5493004JF0SDFLM8GD76 | Long             | EC               | CORP              | US        |    262305 | NS      | $10544661.00  | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| ELM Trust                                              | ELM Trust, Series 2024-ELM, Class B10                                            | CUSIP: 26860XBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8492449 | PA      | $8536986.80   | 0.11%             | 2039-06-10      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Eni SpA                                                | Eni SpA, Series X-R                                                              | CUSIP: 26874RAE8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |  11994000 | PA      | $12186075.15  | 0.16%             | 2028-09-12      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                   | ERAC USA Finance LLC                                                             | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |   2559000 | PA      | $2963692.62   | 0.04%             | 2037-10-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| EQT Corp.                                              | EQT Corp.                                                                        | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |  10301000 | PA      | $10760888.97  | 0.14%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| East Ohio Gas Co. (The)                                | East Ohio Gas Co. (The)                                                          | CUSIP: 27409LAC7<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |   3473000 | PA      | $3144169.45   | 0.04%             | 2030-06-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Electricite de France SA                               | Electricite de France SA                                                         | CUSIP: 28504DAD5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   2221000 | PA      | $2446669.79   | 0.03%             | 2053-05-23      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Electronic Arts, Inc.                                  | Electronic Arts, Inc.                                                            | CUSIP: 285512109<br>LEI: 549300O7A67PUEYKDL45 | Long             | EC               | CORP              | US        |    254949 | NS      | $52093729.17  | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Empire District Bondco LLC                             | Empire District Bondco LLC, Series A-1                                           | CUSIP: 291918AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3787344 | PA      | $3849908.20   | 0.05%             | 2033-01-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                   | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |  10688000 | PA      | $11157460.35  | 0.15%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                          | Enel Finance International NV                                                    | CUSIP: 29278GAC2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1993000 | PA      | $1720674.33   | 0.02%             | 2047-05-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2024-4, Class A2                          | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1725161 | PA      | $1731168.24   | 0.02%             | 2027-07-20      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                          | Equinix, Inc.                                                                    | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   4515000 | PA      | $4361781.40   | 0.06%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                          | Equinix, Inc.                                                                    | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   6102000 | PA      | $5522198.33   | 0.07%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                           | Exelon Corp.                                                                     | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |    673571 | NS      | $29360959.89  | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Exelon Corp.                                           | Exelon Corp.                                                                     | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   4954000 | PA      | $4904950.50   | 0.06%             | 2030-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Experian Finance plc                                   | Experian Finance plc                                                             | CUSIP: 30217AAB9<br>LEI: 635400RKRK5EGXSPC782 | Long             | DBT              | CORP              | GB        |   3787000 | PA      | $3795848.29   | 0.05%             | 2029-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                      | Exxon Mobil Corp.                                                                | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |    632732 | NS      | $76142968.88  | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                        | Fairfax Financial Holdings Ltd.                                                  | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |  14068000 | PA      | $14675861.26  | 0.19%             | 2032-08-16      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                        | Fairfax Financial Holdings Ltd.                                                  | CUSIP: 303901BN1<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    348000 | PA      | $369014.71    | 0.00%             | 2033-12-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128KQ3H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121761 | PA      | $128951.86    | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128KSXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23150 | PA      | $24201.07     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128KTMG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40165 | PA      | $42368.36     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128LXAE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36884 | PA      | $37249.32     | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128LXE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91930 | PA      | $94505.11     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128LXE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52581 | PA      | $55428.39     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M4ZA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10045 | PA      | $10672.58     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65375 | PA      | $67220.00     | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243890 | PA      | $246285.60    | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M8RP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100084 | PA      | $103021.78    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M9BH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106333 | PA      | $109605.76    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    707211 | PA      | $680771.02    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1012634 | PA      | $991837.72    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJAD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41977 | PA      | $43757.20     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47008 | PA      | $49768.85     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50432 | PA      | $53372.43     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188074 | PA      | $189806.16    | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138757 | PA      | $140120.69    | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79857 | PA      | $80628.86     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2237950 | PA      | $2070090.42   | 0.03%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336813 | PA      | $321440.61    | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1788658 | PA      | $1697342.77   | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247158 | PA      | $243945.43    | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1247378 | PA      | $1180965.81   | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292H5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211386 | PA      | $217223.12    | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292HVC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117993 | PA      | $122389.78    | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284356 | PA      | $289150.60    | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292JAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43123 | PA      | $43849.69     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31292KER4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70145 | PA      | $73992.47     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312934M58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289987 | PA      | $298548.15    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312941LZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74113 | PA      | $74302.07     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    681854 | PA      | $668871.15    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3129456V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61593 | PA      | $62071.82     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1053572 | PA      | $1027390.27   | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296R3K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177485 | PA      | $180130.99    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296RC55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156979 | PA      | $161259.04    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296UUQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76398 | PA      | $76730.99     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296XVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25349 | PA      | $25829.21     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31296YLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18978 | PA      | $19710.09     | 0.00%             | 2034-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297B7K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39816 | PA      | $40889.41     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297BAX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101224 | PA      | $105127.26    | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297C5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18163 | PA      | $18652.91     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297C6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31819 | PA      | $33074.68     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297DDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197470 | PA      | $203280.95    | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297DH68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47644 | PA      | $50359.89     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297DJF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6856 | PA      | $7120.14      | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297DMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11433 | PA      | $11896.73     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297ECL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40196 | PA      | $41761.35     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297GMT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57856 | PA      | $60137.56     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297GXJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40657 | PA      | $41739.62     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297NBF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19309 | PA      | $20040.62     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297S5K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42687 | PA      | $44210.67     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297SBU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46564 | PA      | $47838.92     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297UKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52397 | PA      | $53793.60     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31297VPS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75865 | PA      | $78100.67     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31307WKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67494 | PA      | $66475.78     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31307WQ64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19637 | PA      | $19333.82     | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131WGQD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29170 | PA      | $30478.32     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131WGVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31216 | PA      | $32259.82     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131WHAE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16713 | PA      | $17157.66     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131WHFH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128379 | PA      | $131877.68    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2520194 | PA      | $2379759.86   | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5H32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    343011 | PA      | $309792.77    | 0.00%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5HG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5139924 | PA      | $4951908.30   | 0.07%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A5HP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327201 | PA      | $296072.03    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132A92F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38319 | PA      | $39005.05     | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132D6BS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239324 | PA      | $226367.20    | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132D6CT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20641 | PA      | $19855.00     | 0.00%             | 2037-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DMYS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26232 | PA      | $20255.65     | 0.00%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DNBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    587104 | PA      | $520551.10    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DNP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1289831 | PA      | $1093752.59   | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    925261 | PA      | $787513.48    | 0.01%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1884987 | PA      | $1938967.78   | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQFD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    535320 | PA      | $474555.91    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1295594 | PA      | $1315930.48   | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DQZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    977519 | PA      | $979502.65    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWBN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141873 | PA      | $109507.71    | 0.00%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWBS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201242 | PA      | $155396.04    | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWBU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31472 | PA      | $26831.22     | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1443117 | PA      | $1170422.15   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWC84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456651 | PA      | $404830.22    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22595 | PA      | $20022.07     | 0.00%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  36172779 | PA      | $29331745.31  | 0.39%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2559408 | PA      | $2175981.99   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27127228 | PA      | $23055171.24  | 0.30%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7248815 | PA      | $6433984.66   | 0.08%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3502395 | PA      | $2977715.85   | 0.04%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4905897 | PA      | $4347230.39   | 0.06%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWE33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155318 | PA      | $137590.37    | 0.00%             | 2052-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6342691 | PA      | $6216534.11   | 0.08%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWEP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    492082 | PA      | $436044.58    | 0.01%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484020 | PA      | $474242.61    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWFC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1254359 | PA      | $1111023.92   | 0.01%             | 2052-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1239382 | PA      | $1214603.21   | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    681274 | PA      | $694409.72    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWG98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163393 | PA      | $166234.05    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWJE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25792 | PA      | $25804.23     | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15284979 | PA      | $15695044.29  | 0.21%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWPP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1089930 | PA      | $1034173.73   | 0.01%             | 2055-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    704952 | PA      | $714966.37    | 0.01%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3132E0QN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1290957 | PA      | $1196416.13   | 0.02%             | 2053-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132GRL58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    835901 | PA      | $801545.97    | 0.01%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132GS6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    515845 | PA      | $495602.44    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132HQDE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    876800 | PA      | $840221.34    | 0.01%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873396 | PA      | $846066.74    | 0.01%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J87H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214181 | PA      | $206069.09    | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297420 | PA      | $275048.78    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J93Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    376012 | PA      | $347182.82    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132J9V88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    724901 | PA      | $670681.20    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330683 | PA      | $306121.93    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    805194 | PA      | $744798.68    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132JNDC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1083848 | PA      | $1033476.83   | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2239675 | PA      | $2072624.93   | 0.03%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    704998 | PA      | $684184.60    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132QSWK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    574853 | PA      | $546577.69    | 0.01%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WDYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1348502 | PA      | $1232404.51   | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WH5Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1933867 | PA      | $1767600.21   | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WHJY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3517421 | PA      | $3214973.38   | 0.04%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    780196 | PA      | $737408.98    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 3132XVEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396930 | PA      | $358691.80    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31334YPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590524 | PA      | $513975.63    | 0.01%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC                                                                            | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341164 | PA      | $343885.45    | 0.00%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133A62T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173611 | PA      | $157252.05    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133AYUA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1453020 | PA      | $1236276.62   | 0.02%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1883075 | PA      | $1543936.81   | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BAFE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3575394 | PA      | $3192259.67   | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BAX89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21056 | PA      | $18637.49     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    840317 | PA      | $784627.32    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    260505 | PA      | $221236.57    | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BCWD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5108299 | PA      | $4734203.72   | 0.06%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BHQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351973 | PA      | $352913.43    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BNAD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32770 | PA      | $32816.93     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BNU84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1084559 | PA      | $1063658.46   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BRZA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    490805 | PA      | $481118.23    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BSYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443048 | PA      | $442928.75    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BW3Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306273 | PA      | $306709.36    | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658540 | PA      | $669722.08    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BX4N8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    528923 | PA      | $528250.37    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133BXSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1142229 | PA      | $1141956.56   | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C1CP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273713 | PA      | $273389.00    | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C1QU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93428 | PA      | $93538.45     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C23A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482070 | PA      | $483736.52    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C2SM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    587665 | PA      | $597233.04    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C47J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61501 | PA      | $62609.94     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C52T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    783481 | PA      | $784040.62    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133C6X38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1273955 | PA      | $1272670.83   | 0.02%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CABS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    620656 | PA      | $550008.73    | 0.01%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CAKL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289025 | PA      | $288709.72    | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CDMS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378994 | PA      | $394473.00    | 0.01%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CF4A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37792 | PA      | $38974.66     | 0.00%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133CJYF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245741 | PA      | $252891.59    | 0.00%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KLHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1087797 | PA      | $843870.39    | 0.01%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KLLS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    558539 | PA      | $494376.55    | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMBC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    467857 | PA      | $395752.34    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420819 | PA      | $372477.53    | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMMQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419636 | PA      | $354962.09    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    859700 | PA      | $696853.12    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276559 | PA      | $235517.45    | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2420753 | PA      | $2083617.57   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3219354 | PA      | $2766880.68   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KNF99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    911532 | PA      | $771040.12    | 0.01%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3047406 | PA      | $2920439.84   | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KPFP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473601 | PA      | $419265.73    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KRS54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    716816 | PA      | $635373.88    | 0.01%             | 2053-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KRT61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1854579 | PA      | $1890035.23   | 0.02%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4399957 | PA      | $3810694.00   | 0.05%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3133USK83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20297027 | PA      | $21083823.67  | 0.28%             | 2055-02-01      | 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        |    350069 | PA      | $23577.80     | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2013-64, Class KI                                                   | CUSIP: 3136AEXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71703 | PA      | $3901.51      | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2014-35, Class CA                                                   | CUSIP: 3136AKFL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180584 | PA      | $178171.81    | 0.00%             | 2044-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-19, Class AD                                                   | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308709 | PA      | $289295.16    | 0.00%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2016-40, Class IQ                                                   | CUSIP: 3136ASG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585037 | PA      | $106876.30    | 0.00%             | 2046-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371J5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11983 | PA      | $12435.95     | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LCC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195404 | PA      | $195797.29    | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85572 | PA      | $86914.20     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221101 | PA      | $226944.84    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31371LM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18272 | PA      | $18957.62     | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KCV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24779 | PA      | $25243.11     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34418 | PA      | $35310.79     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40332 | PA      | $42405.26     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62655 | PA      | $64336.18     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31376KTN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231814 | PA      | $242360.67    | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3845, Class AI                                                     | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97357 | PA      | $14972.12     | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4096, Class DZ                                                     | CUSIP: 3137ATAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1220479 | PA      | $1163140.74   | 0.02%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4182, Class QI                                                     | CUSIP: 3137B0ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363561 | PA      | $16741.27     | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4474, Class HJ                                                     | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204375 | PA      | $197248.77    | 0.00%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4471, Class PI                                                     | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35288 | PA      | $3270.38      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4623, Class WI                                                     | CUSIP: 3137BSLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90029 | PA      | $7560.61      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class X1    | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11644337 | PA      | $90603.42     | 0.00%             | 2027-06-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K066, Class XAM   | CUSIP: 3137F2LN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39273000 | PA      | $396790.83    | 0.01%             | 2027-06-25      | Variable      | 0.64%                 | 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        |   2196896 | PA      | $107986.45    | 0.00%             | 2030-09-25      | Variable      | 1.17%                 | 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        |   4320889 | PA      | $203348.38    | 0.00%             | 2030-11-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K124, Class XAM   | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4767487 | PA      | $198804.21    | 0.00%             | 2031-01-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K125, Class XAM   | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6541106 | PA      | $232685.46    | 0.00%             | 2031-01-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K067, Class X1    | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31761520 | PA      | $219541.98    | 0.00%             | 2027-07-25      | Variable      | 0.56%                 | 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        |  16458854 | PA      | $99449.33     | 0.00%             | 2027-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K068, Class XAM   | CUSIP: 3137FBC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27934000 | PA      | $166053.66    | 0.00%             | 2027-08-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K069, Class XAM   | CUSIP: 3137FBUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  30183000 | PA      | $165541.68    | 0.00%             | 2027-09-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K070, Class X1    | CUSIP: 3137FCJM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  28284450 | PA      | $144997.40    | 0.00%             | 2027-11-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K070, Class XAM   | CUSIP: 3137FCJP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  29308000 | PA      | $146671.89    | 0.00%             | 2027-12-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class X1    | CUSIP: 3137FCLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  31819520 | PA      | $135894.81    | 0.00%             | 2027-11-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K071, Class XAM   | CUSIP: 3137FCLH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47333000 | PA      | $171832.99    | 0.00%             | 2027-11-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K154, Class X1    | CUSIP: 3137FDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23430359 | PA      | $334023.20    | 0.00%             | 2032-11-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K072, Class X1    | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  47584313 | PA      | $305995.69    | 0.00%             | 2027-12-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K072, Class XAM   | CUSIP: 3137FEBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  32765000 | PA      | $198287.23    | 0.00%             | 2027-12-25      | Variable      | 0.31%                 | 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        |    827982 | PA      | $27929.48     | 0.00%             | 2029-07-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K098, Class X1    | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13017151 | PA      | $456270.65    | 0.01%             | 2029-08-25      | Variable      | 1.14%                 | 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        |   2500000 | PA      | $169566.25    | 0.00%             | 2030-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K110, Class XAM   | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7819828 | PA      | $553054.21    | 0.01%             | 2030-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K111, Class XAM   | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8995049 | PA      | $638067.40    | 0.01%             | 2030-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K112, Class XAM   | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4048749 | PA      | $265084.55    | 0.00%             | 2030-05-25      | Variable      | 1.67%                 | 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        |   3687431 | PA      | $196873.42    | 0.00%             | 2030-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K116, Class XAM   | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3331192 | PA      | $217072.80    | 0.00%             | 2030-08-25      | Variable      | 1.60%                 | 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        |  16946205 | PA      | $211915.69    | 0.00%             | 2031-01-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class X1    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13735697 | PA      | $297167.69    | 0.00%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K128, Class XAM   | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5934811 | PA      | $204921.90    | 0.00%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K129, Class XAM   | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2518959 | PA      | $142620.69    | 0.00%             | 2031-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K131, Class XAM   | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4010843 | PA      | $188112.95    | 0.00%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class X1    | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5109009 | PA      | $124153.00    | 0.00%             | 2031-08-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K132, Class XAM   | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5075984 | PA      | $212927.38    | 0.00%             | 2031-09-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K133, Class XAM   | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16898337 | PA      | $460226.21    | 0.01%             | 2031-09-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K134, Class XAM   | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25136487 | PA      | $463546.98    | 0.01%             | 2031-11-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K136, Class XAM   | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  40016231 | PA      | $1130518.55   | 0.01%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Multifamily Structured Pass-Through Certificates, Series K137, Class XAM   | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23600379 | PA      | $598281.41    | 0.01%             | 2031-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                             | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    798726 | PA      | $799827.00    | 0.01%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA                                                                             | CUSIP: 31381TQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    772948 | PA      | $773688.89    | 0.01%             | 2027-01-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125816 | PA      | $132238.53    | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385JMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25977 | PA      | $26951.94     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385W2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101177 | PA      | $104973.91    | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149425 | PA      | $153363.54    | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208763 | PA      | $214460.28    | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31388D4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48234 | PA      | $50044.78     | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31388TL68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19301 | PA      | $20025.73     | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31389MRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63802 | PA      | $66196.40     | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414116 | PA      | $401412.03    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584440 | PA      | $572641.28    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198614 | PA      | $200331.00    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378095 | PA      | $380472.48    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528267 | PA      | $531534.63    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138AEEF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167404 | PA      | $171912.65    | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138AM6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64605 | PA      | $61584.46     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729569 | PA      | $701487.23    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138E55N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86510 | PA      | $83137.28     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995783 | PA      | $974807.48    | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438098 | PA      | $428733.10    | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EJQT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344923 | PA      | $346844.23    | 0.00%             | 2042-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918257 | PA      | $897956.75    | 0.01%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201254 | PA      | $206962.16    | 0.00%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383911 | PA      | $386206.16    | 0.01%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ENEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2981593 | PA      | $2999415.78   | 0.04%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173782 | PA      | $174820.96    | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439383 | PA      | $425864.03    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPPA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174814 | PA      | $179813.65    | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243736 | PA      | $238375.33    | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EPUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199308 | PA      | $200479.55    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EQ5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391299 | PA      | $393676.89    | 0.01%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EQ7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    854435 | PA      | $835644.04    | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568934 | PA      | $571555.15    | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822436 | PA      | $804343.07    | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502713 | PA      | $491654.37    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    984400 | PA      | $961684.71    | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138ETEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352456 | PA      | $354959.56    | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    309339 | PA      | $302628.48    | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416194 | PA      | $407165.78    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341923 | PA      | $333869.39    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140025 | PA      | $138370.33    | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2662271 | PA      | $2536299.50   | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    553197 | PA      | $536059.21    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477205 | PA      | $453007.64    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567380 | PA      | $538669.69    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2240884 | PA      | $2127018.98   | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WFUW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794747 | PA      | $754365.85    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677321 | PA      | $642632.77    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2415026 | PA      | $2284600.25   | 0.03%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884029 | PA      | $843072.07    | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3054436 | PA      | $2910371.92   | 0.04%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3138YWJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1286210 | PA      | $1220990.01   | 0.02%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2010-43, Class AH                                                   | CUSIP: 31398RDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151147 | PA      | $145066.63    | 0.00%             | 2040-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2010-113, Class GB                                                  | CUSIP: 31398T7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187040 | PA      | $186485.81    | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 3629, Class CZ                                                     | CUSIP: 31398W3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287425 | PA      | $294308.32    | 0.00%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31400HAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16713 | PA      | $16944.90     | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31400RW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9186 | PA      | $9369.76      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31401KVB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12353 | PA      | $12524.60     | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31401L6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59209 | PA      | $60108.86     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31401XPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234174 | PA      | $237423.72    | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402CP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51479 | PA      | $52756.34     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87253 | PA      | $88578.78     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402DF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40291 | PA      | $40752.34     | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402DJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168949 | PA      | $171565.91    | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137609 | PA      | $139759.68    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31402XTB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6224 | PA      | $6457.84      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403FQY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24533 | PA      | $24942.05     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31403SG42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99995 | PA      | $102588.39    | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404AHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15528 | PA      | $15743.02     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404BKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    310049 | PA      | $314351.32    | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404BNP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61384 | PA      | $62975.96     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404CMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29366 | PA      | $29773.77     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404EPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32162 | PA      | $32996.18     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404FYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27474 | PA      | $27854.99     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404GLP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15430 | PA      | $15829.70     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404LQM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36071 | PA      | $36571.74     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404LSA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56998 | PA      | $57788.62     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404MBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24005 | PA      | $24337.78     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404P6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32308 | PA      | $32813.67     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404QM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58721 | PA      | $59536.23     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404QW70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36098 | PA      | $36598.52     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404QYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73045 | PA      | $74058.73     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404RRD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56849 | PA      | $58323.60     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404S2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55119 | PA      | $57149.63     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404SGA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22020 | PA      | $22848.32     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404SKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33704 | PA      | $35034.94     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404SM28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23645 | PA      | $24257.64     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404T4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35292 | PA      | $35781.83     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404T5C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16970 | PA      | $17409.91     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404U5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245319 | PA      | $252879.50    | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404UV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297215 | PA      | $312961.92    | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404W5H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28864 | PA      | $30012.74     | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404WRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70543 | PA      | $71761.70     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404WXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33046 | PA      | $34693.53     | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404XS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133760 | PA      | $135615.79    | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31404YM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16114 | PA      | $16337.17     | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405AAX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48297 | PA      | $49664.88     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405CJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79043 | PA      | $81621.96     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405CMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94420 | PA      | $98881.90     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405DQU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6814 | PA      | $6908.70      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405DWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15180 | PA      | $15390.18     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405FTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62958 | PA      | $64590.46     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405FXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48368 | PA      | $49871.32     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405FZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84748 | PA      | $88545.80     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405GRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18204 | PA      | $18639.00     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405HBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23876 | PA      | $24618.27     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405HL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23443 | PA      | $24277.96     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405KD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131857 | PA      | $133686.72    | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405KMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105462 | PA      | $109420.50    | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405MJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80168 | PA      | $82246.40     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405MW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60609 | PA      | $62949.11     | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405MWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7348 | PA      | $7449.55      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405MZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83093 | PA      | $84246.24     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405N2Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87279 | PA      | $88490.51     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405N4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48520 | PA      | $49192.97     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405RR65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32976 | PA      | $34171.80     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405RVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29674 | PA      | $30085.63     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405T3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71117 | PA      | $74305.19     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405TBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59038 | PA      | $61246.24     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405VJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45722 | PA      | $46907.90     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31405XDY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283952 | PA      | $295980.23    | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406ANH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33188 | PA      | $34458.10     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406AYE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23301 | PA      | $24146.08     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406B2L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111208 | PA      | $114087.81    | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406B2N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62977 | PA      | $63850.89     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406S3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78738 | PA      | $82073.40     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406TAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119615 | PA      | $124591.62    | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37946 | PA      | $38948.38     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407B3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157543 | PA      | $161802.98    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407BTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22108 | PA      | $22692.26     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407CD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88652 | PA      | $90993.78     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407HWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41225 | PA      | $43436.66     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407HWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26850 | PA      | $28207.44     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407J4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8496 | PA      | $8836.88      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407JUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25134 | PA      | $26105.49     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407PYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40162 | PA      | $42228.40     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407VTF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56811 | PA      | $59470.36     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31407YD63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83738 | PA      | $88300.53     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48184 | PA      | $50664.09     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31408EW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72250 | PA      | $75490.84     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A1F51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1568649 | PA      | $1612288.20   | 0.02%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A1FW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513172 | PA      | $528544.58    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A5WM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    997647 | PA      | $1027136.38   | 0.01%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A6M78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4837405 | PA      | $4978988.10   | 0.07%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140A8VZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46644 | PA      | $47974.45     | 0.00%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140AAEQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54598 | PA      | $56098.87     | 0.00%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140APG57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767850 | PA      | $789118.86    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140AQAR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23204 | PA      | $23533.35     | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985877 | PA      | $965010.96    | 0.01%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140EU7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750123 | PA      | $710542.23    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89552 | PA      | $86673.53     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    673348 | PA      | $614726.73    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140HF7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275820 | PA      | $239323.33    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140K5AX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348222 | PA      | $300301.05    | 0.00%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KDB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159310 | PA      | $137430.18    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191262 | PA      | $165990.07    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202873 | PA      | $176269.76    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KG4A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    575308 | PA      | $500306.60    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KGJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473247 | PA      | $409118.80    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KNN79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12852 | PA      | $10974.70     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140KSJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9966020 | PA      | $7710075.00   | 0.10%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    617428 | PA      | $509457.76    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140M3Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33298 | PA      | $28237.82     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140M5KY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192850 | PA      | $182872.88    | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MGEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830143 | PA      | $705410.25    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4149253 | PA      | $3561202.46   | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1902640 | PA      | $1631841.54   | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MKFU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3542081 | PA      | $3139660.22   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MMBG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21824 | PA      | $19318.93     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MMU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390076 | PA      | $345709.31    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140MNM37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3869360 | PA      | $3451641.96   | 0.05%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N17J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579699 | PA      | $568048.50    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1713876 | PA      | $1689570.22   | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NAK51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133603 | PA      | $133642.73    | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NCLT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125671 | PA      | $125760.54    | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NCW21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    675991 | PA      | $661426.48    | 0.01%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NDJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138174 | PA      | $138140.35    | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NEEH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499996 | PA      | $499424.84    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NEPE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3649494 | PA      | $3655853.53   | 0.05%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NFAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470271 | PA      | $471444.85    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NGGN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129149 | PA      | $132216.06    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NHFH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1447228 | PA      | $1445090.15   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140NJXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1438335 | PA      | $1441172.65   | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1963134 | PA      | $1693870.31   | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1081755 | PA      | $933813.59    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    894860 | PA      | $774193.19    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3303773 | PA      | $2857886.87   | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18168018 | PA      | $15368113.05  | 0.20%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1405855 | PA      | $1200302.17   | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44915 | PA      | $39760.76     | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1098690 | PA      | $995491.47    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    668219 | PA      | $546031.92    | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMCQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109134 | PA      | $97962.11     | 0.00%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMF74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94265 | PA      | $89212.56     | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3881440 | PA      | $3336226.21   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QMZG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41554 | PA      | $35789.02     | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QN6T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2505115 | PA      | $2219543.65   | 0.03%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QNFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13373029 | PA      | $11378095.99  | 0.15%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QPKC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22723 | PA      | $20135.99     | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QQ6V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162665 | PA      | $164837.21    | 0.00%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QQQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1064590 | PA      | $1043415.58   | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QRQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1367323 | PA      | $1369990.59   | 0.02%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QSEC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597110 | PA      | $608427.87    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140QTNV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18534 | PA      | $19045.05     | 0.00%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2723535 | PA      | $2344281.72   | 0.03%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1148946 | PA      | $989992.49    | 0.01%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140X7LA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415071 | PA      | $351716.67    | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XCAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171057 | PA      | $151530.16    | 0.00%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1140189 | PA      | $983206.34    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3277291 | PA      | $2816686.91   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3097021 | PA      | $2670993.98   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XEAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1141580 | PA      | $1010848.51   | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3136171 | PA      | $2807800.66   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3423088 | PA      | $2945615.66   | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2983294 | PA      | $2691755.33   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGQ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6858945 | PA      | $6071024.25   | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150626 | PA      | $2814462.26   | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XGR35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    793033 | PA      | $702727.32    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26241 | PA      | $23240.07     | 0.00%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4410766 | PA      | $3578007.70   | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2681655 | PA      | $2069069.64   | 0.03%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHY92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2097004 | PA      | $1783513.88   | 0.02%             | 2052-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XHZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393365 | PA      | $348522.94    | 0.00%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJ5L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    809799 | PA      | $685994.11    | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201266 | PA      | $190912.14    | 0.00%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XJTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35122 | PA      | $36191.72     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XKJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357239 | PA      | $357770.42    | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XLJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191714 | PA      | $182205.26    | 0.00%             | 2037-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XLVH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1531778 | PA      | $1557395.12   | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 3140XMWM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5445964 | PA      | $5541923.10   | 0.07%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410F5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265292 | PA      | $272190.45    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127362 | PA      | $128286.86    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373687 | PA      | $365579.87    | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31411GNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115679 | PA      | $122104.66    | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31411GSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26343 | PA      | $27573.94     | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31412V4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50566 | PA      | $53326.87     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31413F7J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29473 | PA      | $30264.80     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31413GAG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73096 | PA      | $76627.62     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31415PNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30341 | PA      | $31513.26     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474808 | PA      | $474064.66    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416QUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127604 | PA      | $131022.21    | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31416XV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95809 | PA      | $98304.70     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203203 | PA      | $194501.25    | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1897769 | PA      | $1856021.72   | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197143 | PA      | $192805.87    | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422859 | PA      | $413555.84    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912710 | PA      | $892630.88    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417EN98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    556849 | PA      | $530989.78    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1314967 | PA      | $1253768.68   | 0.02%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417G2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1643330 | PA      | $1565827.09   | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417GQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150885 | PA      | $1097560.99   | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417NB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134203 | PA      | $138174.59    | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417SBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71003 | PA      | $73015.61     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417SBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90666 | PA      | $93236.79     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382235 | PA      | $384588.12    | 0.01%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31417YRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50312 | PA      | $51738.31     | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1182010 | PA      | $1147164.61   | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379376 | PA      | $359861.78    | 0.00%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    675379 | PA      | $636570.73    | 0.01%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623922 | PA      | $602294.06    | 0.01%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418CZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108055 | PA      | $105405.95    | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985122 | PA      | $800053.67    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1562247 | PA      | $1268271.30   | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811155 | PA      | $658261.57    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5116671 | PA      | $4378501.40   | 0.06%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2144714 | PA      | $1747164.38   | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418E5B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    388451 | PA      | $368582.71    | 0.00%             | 2054-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EAM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98077 | PA      | $79560.03     | 0.00%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2104572 | PA      | $1794952.61   | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EAP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25657 | PA      | $22718.71     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    867748 | PA      | $669506.54    | 0.01%             | 2052-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983523 | PA      | $833737.72    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167817 | PA      | $161427.64    | 0.00%             | 2037-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390694 | PA      | $329287.76    | 0.00%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6514548 | PA      | $5658218.62   | 0.07%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6790630 | PA      | $5506399.67   | 0.07%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2525747 | PA      | $2148947.17   | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4207800 | PA      | $3652067.06   | 0.05%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3275250 | PA      | $2924430.09   | 0.04%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2634853 | PA      | $2240123.46   | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1731872 | PA      | $1665931.60   | 0.02%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7260029 | PA      | $6301209.69   | 0.08%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5140356 | PA      | $4553145.66   | 0.06%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136036 | PA      | $115700.03    | 0.00%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    959636 | PA      | $815873.17    | 0.01%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3695688 | PA      | $3278865.52   | 0.04%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63462 | PA      | $62212.90     | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EP38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385498 | PA      | $392369.32    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175391 | PA      | $175760.97    | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418ET59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108518 | PA      | $108623.19    | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418EVA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551798 | PA      | $567653.77    | 0.01%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FHV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    348661 | PA      | $330825.61    | 0.00%             | 2055-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2208920 | PA      | $2095921.64   | 0.03%             | 2055-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63824 | PA      | $60558.84     | 0.00%             | 2055-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31418FQC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1197932 | PA      | $1136649.15   | 0.01%             | 2055-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1552981 | PA      | $1523388.46   | 0.02%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703294 | PA      | $689495.15    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419BBY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219220 | PA      | $220744.85    | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419CSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47537 | PA      | $47901.73     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419EJE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143998 | PA      | $148081.94    | 0.00%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419HBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45631 | PA      | $46855.32     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419JS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77462 | PA      | $79479.57     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    472221 | PA      | $462420.89    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS                                                                             | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595718 | PA      | $583692.45    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31426XCA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    569300 | PA      | $540175.56    | 0.01%             | 2055-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31427BAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1414063 | PA      | $1341722.36   | 0.02%             | 2055-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31427N6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2516738 | PA      | $2552487.73   | 0.03%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 31427NMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1235070 | PA      | $1288909.66   | 0.02%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142GRQ29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37906 | PA      | $38987.01     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142GSCR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2453303 | PA      | $2523821.28   | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142J6AF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2138164 | PA      | $2028787.14   | 0.03%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS                                                                             | CUSIP: 3142J6BF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3887904 | PA      | $3689012.68   | 0.05%             | 2055-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.           | Fidelity National Information Services, Inc.                                     | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |    448940 | NS      | $29836552.40  | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                     | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |    287802 | NS      | $19331660.34  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                     | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   2308000 | PA      | $2127658.81   | 0.03%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp.            | State Board of Administration Finance Corp.                                      | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |   3243000 | PA      | $2983910.89   | 0.04%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Flowserve Corp.                                        | Flowserve Corp.                                                                  | CUSIP: 34354P105<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | EC               | CORP              | US        |    240465 | NS      | $16683461.70  | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MV               | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    718664 | PA      | $689358.28    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV               | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    789089 | PA      | $699484.99    | 0.01%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36177MPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134085 | PA      | $125174.84    | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1388967 | PA      | $1308907.26   | 0.02%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1299443 | PA      | $1225313.56   | 0.02%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    278046 | PA      | $253052.21    | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    545190 | PA      | $498379.26    | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265016 | PA      | $241191.21    | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    716320 | PA      | $653398.71    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3209756 | PA      | $2922647.74   | 0.04%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2013535 | PA      | $1874934.76   | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6531387 | PA      | $5931996.93   | 0.08%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12419 | PA      | $11522.05     | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155122 | PA      | $141032.24    | 0.00%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103141 | PA      | $95689.43     | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503939 | PA      | $501114.79    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131332 | PA      | $129726.37    | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464899 | PA      | $459372.23    | 0.01%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13068295 | PA      | $11278294.91  | 0.15%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7300347 | PA      | $6568113.56   | 0.09%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    871530 | PA      | $784114.42    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2469826 | PA      | $2131549.24   | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8742634 | PA      | $7545180.27   | 0.10%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1174634 | PA      | $1056816.65   | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7981828 | PA      | $6612482.28   | 0.09%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15107266 | PA      | $12515495.87  | 0.16%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2122294 | PA      | $1909425.09   | 0.03%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4459002 | PA      | $3694025.47   | 0.05%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14741723 | PA      | $12722518.63  | 0.17%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179X2K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10483141 | PA      | $10487298.07  | 0.14%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2384554 | PA      | $2273259.70   | 0.03%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66086 | PA      | $67286.36     | 0.00%             | 2052-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30228 | PA      | $25102.58     | 0.00%             | 2052-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1797521 | PA      | $1712326.01   | 0.02%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13710223 | PA      | $13455658.41  | 0.18%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6396395 | PA      | $5762655.95   | 0.08%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6580925 | PA      | $6260199.89   | 0.08%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6327120 | PA      | $6208665.66   | 0.08%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7840126 | PA      | $7689505.95   | 0.10%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6616121 | PA      | $6628599.02   | 0.09%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                 | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    468423 | PA      | $469064.05    | 0.01%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9158072 | PA      | $9315417.52   | 0.12%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19333 | PA      | $19344.24     | 0.00%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36179XX50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2919745 | PA      | $2924267.17   | 0.04%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                         | GLP Capital LP                                                                   | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4735000 | PA      | $4817415.47   | 0.06%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57905 | PA      | $59114.38     | 0.00%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5EV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8734773 | PA      | $8829857.34   | 0.12%             | 2055-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5JD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13914267 | PA      | $14074724.19  | 0.19%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5JE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16560144 | PA      | $16887482.85  | 0.22%             | 2055-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5MQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122860 | PA      | $124144.19    | 0.00%             | 2055-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5PE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12399011 | PA      | $11289259.52  | 0.15%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5PJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4930334 | PA      | $4981579.65   | 0.07%             | 2055-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5VS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1981447 | PA      | $2022991.81   | 0.03%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3618N5XL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6251081 | PA      | $5691564.00   | 0.08%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200AJD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322300 | PA      | $331396.87    | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200MJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280284 | PA      | $288958.22    | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4110 | PA      | $4092.17      | 0.00%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35453 | PA      | $36372.48     | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61330 | PA      | $62231.83     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NGH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200318 | PA      | $206833.49    | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36200NTS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74858 | PA      | $75968.73     | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36201DBT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9594 | PA      | $10001.52     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14229 | PA      | $14202.79     | 0.00%             | 2033-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202DYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45082 | PA      | $45660.92     | 0.00%             | 2033-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64942 | PA      | $64800.59     | 0.00%             | 2033-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202EBF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195190 | PA      | $206181.60    | 0.00%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202EBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22928 | PA      | $23138.73     | 0.00%             | 2034-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202EDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26995 | PA      | $27964.74     | 0.00%             | 2035-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202EDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101938 | PA      | $106974.28    | 0.00%             | 2035-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413386 | PA      | $401827.54    | 0.01%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258659 | PA      | $251588.74    | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    983581 | PA      | $956772.18    | 0.01%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    279050 | PA      | $281008.55    | 0.00%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204118 | PA      | $198506.77    | 0.00%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130375 | PA      | $130536.03    | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620A9WQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206633 | PA      | $207170.76    | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620AFWD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305518 | PA      | $304872.22    | 0.00%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 3620AMD58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114838 | PA      | $114085.97    | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36241KAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24590 | PA      | $25217.47     | 0.00%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    359372 | PA      | $356130.42    | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2                      | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    482210 | PA      | $484418.91    | 0.01%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36290RRX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2295 | PA      | $2285.69      | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36290RYF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125677 | PA      | $128852.91    | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36290SKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5447 | PA      | $5442.74      | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36290SR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4492 | PA      | $4433.86      | 0.00%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36291F4X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11085 | PA      | $11461.46     | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36295PM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175512 | PA      | $184116.34    | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                             | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    908544 | PA      | $848732.56    | 0.01%             | 2041-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corp.                                 | General Dynamics Corp.                                                           | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |    138200 | NS      | $46526412.00  | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Genuine Parts Co.                                      | Genuine Parts Co.                                                                | CUSIP: 372460AC9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |  12549000 | PA      | $11100512.85  | 0.15%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                      | Georgia Power Co., Series B                                                      | CUSIP: 373334KN0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    454000 | PA      | $339376.34    | 0.00%             | 2050-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                   | Glencore Funding LLC                                                             | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   5139000 | PA      | $4708786.97   | 0.06%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                                   | Glencore Funding LLC                                                             | CUSIP: 378272BE7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   2163000 | PA      | $1995198.74   | 0.03%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                            | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   6442000 | PA      | $6411924.81   | 0.08%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                  | Global Payments, Inc.                                                            | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   3763000 | PA      | $3372482.67   | 0.04%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class A2                      | CUSIP: 37989BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1459020 | PA      | $1461670.12   | 0.02%             | 2028-03-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GMACM Home Equity Loan Trust                           | GMACM Home Equity Loan Trust, Series 2006-HE3, Class A3                          | CUSIP: 38012TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109056 | PA      | $108563.57    | 0.00%             | 2036-10-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     74191 | NS      | $65213889.00  | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10264000 | PA      | $9644774.93   | 0.13%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   8505000 | PA      | $7617176.32   | 0.10%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-123, Class MA                                                  | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289145 | PA      | $285254.14    | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-12, Class KN                                                   | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    189756 | PA      | $191691.57    | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-40, Class FX                                                   | CUSIP: 38383WQB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2233311 | PA      | $2191750.85   | 0.03%             | 2041-09-20      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Greystone CRE Notes LLC                                | Greystone CRE Notes LLC, Series 2025-FL4, Class AS                               | CUSIP: 39810MAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2031000 | PA      | $2036148.59   | 0.03%             | 2043-01-15      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                        | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   5387000 | PA      | $5202279.72   | 0.07%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                | CUSIP: 404280CP2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1215000 | PA      | $1212257.38   | 0.02%             | 2026-03-09      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                | CUSIP: 404280CQ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2870000 | PA      | $2726127.19   | 0.04%             | 2031-03-09      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                          | Honeywell International, Inc.                                                    | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |    200343 | NS      | $39084915.87  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Humana, Inc.                                           | Humana, Inc.                                                                     | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |    118307 | NS      | $30301971.91  | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Humana, Inc.                                           | Humana, Inc.                                                                     | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   4292000 | PA      | $4508387.19   | 0.06%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                | Hyundai Auto Lease Securitization Trust, Series 2025-B, Class A2A                | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4439724 | PA      | $4456200.96   | 0.06%             | 2027-09-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Intel Corp.                                            | Intel Corp.                                                                      | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |   1493367 | NS      | $55105242.30  | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc.                        | Intercontinental Exchange, Inc.                                                  | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   6569000 | PA      | $6045647.77   | 0.08%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |    300016 | NS      | $96671155.52  | 1.27%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PAN6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2781000 | PA      | $2214300.06   | 0.03%             | 2049-01-23      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   7691000 | PA      | $6038478.67   | 0.08%             | 2041-04-22      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1509000 | PA      | $1423536.37   | 0.02%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  14703000 | PA      | $13267941.18  | 0.17%             | 2032-11-08      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5702000 | PA      | $5232612.90   | 0.07%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                             | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4550000 | PA      | $4848444.15   | 0.06%             | 2035-04-22      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                       | Jersey Central Power & Light Co.                                                 | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   2889000 | PA      | $2595092.27   | 0.03%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                       | Jersey Central Power & Light Co., Series WI*                                     | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   2399000 | PA      | $2425945.23   | 0.03%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                      | Johnson & Johnson                                                                | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |    706550 | NS      | $146220522.50 | 1.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Kenvue, Inc.                                           | Kenvue, Inc.                                                                     | CUSIP: 49177J102<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | EC               | CORP              | US        |   6798794 | NS      | $117279196.50 | 1.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Kenvue, Inc.                                           | Kenvue, Inc.                                                                     | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |   3446000 | PA      | $3516327.83   | 0.05%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                 | Keurig Dr Pepper, Inc.                                                           | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    930000 | PA      | $883427.83    | 0.01%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LKQ Corp.                                              | LKQ Corp.                                                                        | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |   1329394 | NS      | $40147698.80  | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAF1<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |  14189000 | PA      | $13796958.50  | 0.18%             | 2031-05-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                     | LPL Holdings, Inc.                                                               | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   1244000 | PA      | $1327700.03   | 0.02%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                            | L3Harris Technologies, Inc.                                                      | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |    208434 | NS      | $61189969.38  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| Henkel AG & Co. KGaA                                   | Henkel AG & Co. KGaA (Preference)                                                | CUSIP: N/A<br>LEI: 549300VZCL1HTH4O4Y49       | Long             | EC               | CORP              | DE        |    525078 | NS      | $42935846.47  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Las Vegas Sands Corp.                                  | Las Vegas Sands Corp.                                                            | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   2562000 | PA      | $2497113.76   | 0.03%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Lear Corp.                                             | Lear Corp.                                                                       | CUSIP: 521865204<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | EC               | CORP              | US        |    530078 | NS      | $60746938.80  | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Leidos Holdings, Inc.                                  | Leidos Holdings, Inc.                                                            | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |     82247 | NS      | $14837358.80  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Liberty Mutual Group, Inc.                             | Liberty Mutual Group, Inc.                                                       | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   2990000 | PA      | $2211044.75   | 0.03%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                   | LoanCore Issuer Ltd., Series 2021-CRE5, Class AS                                 | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9616872 | PA      | $9606109.24   | 0.13%             | 2036-07-15      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                               | MF1 Ltd., Series 2022-FL8, Class B                                               | CUSIP: 55284JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7392231 | PA      | $7364864.96   | 0.10%             | 2037-02-19      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL16, Class A                                                   | CUSIP: 55287EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17590246 | PA      | $17612210.94  | 0.23%             | 2039-11-18      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL17, Class AS                                                  | CUSIP: 55287HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15153744 | PA      | $15158714.43  | 0.20%             | 2040-02-18      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| LLC                                                    | LLC, Series 2025-FL19, Class A                                                   | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7619439 | PA      | $7636083.66   | 0.10%             | 2042-05-18      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio               | MFS Institutional Money Market Portfolio, Class A                                | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | STIV             | RF                | US        |  41513677 | NS      | $41521980.03  | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| MSWF Commercial Mortgage Trust                         | MSWF Commercial Mortgage Trust, Series 2023-2, Class A5                          | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7477126 | PA      | $8067019.65   | 0.11%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Magna International, Inc.                              | Magna International, Inc.                                                        | CUSIP: 559222AV6<br>LEI: 95RWVLFZX6VGDZNNTN43 | Long             | DBT              | CORP              | CA        |   5772000 | PA      | $5361242.89   | 0.07%             | 2030-06-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Magnetite XIX Ltd.                                     | Magnetite XIX Ltd., Series 2017-19A, Class B1RR                                  | CUSIP: 55954KAY1<br>LEI: 5493000OP4ZUZOOM1U45 | Long             | ABS-CBDO         | CORP              | KY        |   3285540 | PA      | $3286302.25   | 0.04%             | 2034-04-17      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                               | Marathon Petroleum Corp.                                                         | CUSIP: 56585AAH5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |   2779000 | PA      | $2375342.91   | 0.03%             | 2044-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                             | Mars, Inc.                                                                       | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   7684000 | PA      | $7897842.88   | 0.10%             | 2035-03-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series FF                                          | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   6563000 | PA      | $6660954.55   | 0.09%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series HH                                          | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     23000 | PA      | $21322.94     | 0.00%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                           | Marriott International, Inc., Series II                                          | CUSIP: 571903BH5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   5130000 | PA      | $4478573.31   | 0.06%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                        | Martin Marietta Materials, Inc., Series CB                                       | CUSIP: 573284AV8<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    586000 | PA      | $546516.91    | 0.01%             | 2030-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                            | Masco Corp.                                                                      | CUSIP: 574599106<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | EC               | CORP              | US        |   1022563 | NS      | $64891847.98  | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| Masco Corp.                                            | Masco Corp.                                                                      | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |  12460000 | PA      | $11017438.77  | 0.15%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority          | Massachusetts Educational Financing Authority, Series 2024A                      | CUSIP: 57563RTX7<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |   9860000 | PA      | $10198588.46  | 0.13%             | 2049-07-01      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL15, Class AS                                                  | CUSIP: 58003MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8571000 | PA      | $8592416.36   | 0.11%             | 2041-08-18      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| McKesson Corp.                                         | McKesson Corp.                                                                   | CUSIP: 58155Q103<br>LEI: 549300WZWOM80UCFSF54 | Long             | EC               | CORP              | US        |     18248 | NS      | $14968651.92  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Metropolitan Life Global Funding I                     | Metropolitan Life Global Funding I                                               | CUSIP: 59217GEZ8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |  14375000 | PA      | $14001991.75  | 0.18%             | 2029-03-21      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| MF1 LLC                                                | MF1 LLC, Series 2025-FL20, Class AS                                              | CUSIP: 59319CAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  15453000 | PA      | $15472269.89  | 0.20%             | 2043-02-18      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Microsoft Corp.                                        | Microsoft Corp.                                                                  | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    246869 | NS      | $119390785.78 | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                   | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822CD4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   8693000 | PA      | $7884172.51   | 0.10%             | 2033-01-19      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                   | Mitsubishi UFJ Financial Group, Inc.                                             | CUSIP: 606822DL5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |  11148000 | PA      | $11668439.70  | 0.15%             | 2036-04-24      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Mohawk Industries, Inc.                                | Mohawk Industries, Inc.                                                          | CUSIP: 608190104<br>LEI: 549300JI1115MG3Q6322 | Long             | EC               | CORP              | US        |    170518 | NS      | $18637617.40  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    321004 | NS      | $56987840.12  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  18899000 | PA      | $17727197.55  | 0.23%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                   | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10038000 | PA      | $9161612.43   | 0.12%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class A4    | CUSIP: 61767EAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4195516 | PA      | $4141365.73   | 0.05%             | 2052-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM10, Class A1LC    | CUSIP: 617955AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5098142 | PA      | $5120727.28   | 0.07%             | 2070-11-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| NTT Finance Corp.                                      | NTT Finance Corp.                                                                | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |  14166000 | PA      | $14668016.69  | 0.19%             | 2035-07-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO XX Ltd.                           | Neuberger Berman CLO XX Ltd., Series 2015-20A, Class A1R3                        | CUSIP: 64130TBJ3<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   5725000 | PA      | $5721599.35   | 0.08%             | 2039-04-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                          | New Jersey Turnpike Authority                                                    | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   5815000 | PA      | $6969525.80   | 0.09%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                         | NiSource, Inc.                                                                   | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   3757000 | PA      | $3605018.76   | 0.05%             | 2029-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                         | NiSource, Inc.                                                                   | CUSIP: 65473QBD4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1946000 | PA      | $1932507.43   | 0.03%             | 2045-02-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Nissan Master Owner Trust Receivables                  | Nissan Master Owner Trust Receivables, Series 2024-A, Class A                    | CUSIP: 65479VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5130663 | PA      | $5132237.60   | 0.07%             | 2028-02-15      | Floating      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Northern Trust Corp.                                   | Northern Trust Corp.                                                             | CUSIP: 665859104<br>LEI: 549300GLF98S992BC502 | Long             | EC               | CORP              | US        |    752537 | NS      | $102789028.83 | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Northwell Healthcare, Inc.                             | Northwell Healthcare, Inc.                                                       | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |    490000 | PA      | $386548.79    | 0.01%             | 2046-11-01      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Northwell Healthcare, Inc.                             | Northwell Healthcare, Inc.                                                       | CUSIP: 667274AC8<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |   3585000 | PA      | $2943576.50   | 0.04%             | 2047-11-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2025-NQM13, Class A1                                           | CUSIP: 67121UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2589578 | PA      | $2612113.82   | 0.03%             | 2065-05-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2025-NQM20, Class A1                                           | CUSIP: 67126GAC6<br>LEI: 254900Y8CC35WOVR8295 | Long             | ABS-MBS          | CORP              | US        |   3721626 | PA      | $3731872.47   | 0.05%             | 2065-10-25      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2025-NQM1, Class A1                                            | CUSIP: 673914AC1<br>LEI: 2549007E8KF1RJ2ZV866 | Long             | ABS-MBS          | CORP              | US        |   4209224 | PA      | $4243636.56   | 0.06%             | 2064-12-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                              | OBX Trust, Series 2024-NQM15, Class A1                                           | CUSIP: 67449DAA7<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |   3080529 | PA      | $3098412.02   | 0.04%             | 2064-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Samsung Electronics Co. Ltd.                           | Samsung Electronics Co. Ltd. (Preference)                                        | CUSIP: N/A<br>LEI: 9884007ER46L6N7EI764       | Long             | EC               | CORP              | KR        |    491419 | NS      | $30157627.57  | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Omnicom Group, Inc.                                    | Omnicom Group, Inc.                                                              | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |   1489374 | NS      | $120266950.50 | 1.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                        | Oncor Electric Delivery Co. LLC                                                  | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   3467000 | PA      | $3625200.56   | 0.05%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2441000 | PA      | $2349202.14   | 0.03%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   8195000 | PA      | $7851471.66   | 0.10%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Organon & Co.                                          | Organon & Co.                                                                    | CUSIP: 68622V106<br>LEI: 549300AMCKY57OK2CO56 | Long             | EC               | CORP              | US        |    463245 | NS      | $3321466.65   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PG&E Corp.                                             | PG&E Corp.                                                                       | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |   4920103 | NS      | $79066055.21  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                         | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |    338881 | NS      | $70734631.13  | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| PPG Industries, Inc.                                   | PPG Industries, Inc.                                                             | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |    474534 | NS      | $48620753.64  | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| PFP Ltd.                                               | PFP Ltd., Series 2025-12, Class AS                                               | CUSIP: 69382JAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  12850500 | PA      | $12826945.03  | 0.17%             | 2042-12-18      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1524000 | PA      | $1477443.25   | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   6640000 | PA      | $5975739.05   | 0.08%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3109000 | PA      | $2353365.29   | 0.03%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   4398000 | PA      | $4264477.91   | 0.06%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                        | Palmer Square Loan Funding Ltd., Series 2024-3A, Class A2                        | CUSIP: 69690EAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16148818 | PA      | $16160364.40  | 0.21%             | 2032-08-08      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Parallel Ltd.                                          | Parallel Ltd., Series 2023-1A, Class A2R                                         | CUSIP: 69915NAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6858996 | PA      | $6867377.69   | 0.09%             | 2036-07-20      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Roche Holding AG                                       | Roche Holding AG                                                                 | CUSIP: N/A<br>LEI: 549300U41AUUVOAAOB37       | Long             | EC               | CORP              | CH        |    122461 | NS      | $50609220.46  | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                           | Pfizer, Inc.                                                                     | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |   5064567 | NS      | $126107718.30 | 1.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |    580849 | NS      | $93168179.60  | 1.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2946000 | PA      | $3009697.50   | 0.04%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1269000 | PA      | $1334072.20   | 0.02%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   5624000 | PA      | $6010558.10   | 0.08%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   4791000 | PA      | $4952340.61   | 0.07%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                            | Phillips 66                                                                      | CUSIP: 718546AW4<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   9419000 | PA      | $8446858.32   | 0.11%             | 2030-12-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                        | Plains All American Pipeline LP                                                  | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5953000 | PA      | $5778449.29   | 0.08%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                        | Plains All American Pipeline LP                                                  | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3291000 | PA      | $3393766.94   | 0.04%             | 2034-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Principal Financial Group, Inc.                        | Principal Financial Group, Inc.                                                  | CUSIP: 74251V102<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | EC               | CORP              | US        |    161938 | NS      | $14284550.98  | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| PRM Trust                                              | PRM Trust, Series 2025-PRM6, Class A                                             | CUSIP: 74277DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4808434 | PA      | $4802919.21   | 0.06%             | 2033-07-05      | Variable      | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                       | Provident Funding Mortgage Trust, Series 2025-2, Class A4                        | CUSIP: 74389DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10368244 | PA      | $10430039.73  | 0.14%             | 2055-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Public Storage Operating Co.                           | Public Storage Operating Co.                                                     | CUSIP: 74460WAG2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |  14650000 | PA      | $15162075.51  | 0.20%             | 2033-08-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Qnity Electronics, Inc.                                | Qnity Electronics, Inc.                                                          | CUSIP: 74743L100<br>LEI: 254900RSUG4J9TFFZX53 | Long             | EC               | CORP              | US        |    189865 | NS      | $15502477.25  | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| RPM International, Inc.                                | RPM International, Inc.                                                          | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |   4405000 | PA      | $3992643.28   | 0.05%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                    | Rate Mortgage Trust, Series 2025-J3, Class A27                                   | CUSIP: 75410EBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10600577 | PA      | $10595815.02  | 0.14%             | 2055-11-25      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                   | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class B                   | CUSIP: 75575WAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3695000 | PA      | $3684576.77   | 0.05%             | 2036-11-25      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Realty Income Corp.                                    | Realty Income Corp.                                                              | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |   1504000 | PA      | $1431849.98   | 0.02%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Regal Rexnord Corp.                                    | Regal Rexnord Corp.                                                              | CUSIP: 758750103<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | EC               | CORP              | US        |    248309 | NS      | $34842718.88  | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Equity Loan Trust                                 | Home Equity Loan Trust, Series 2005-HS2, Class AI3                               | CUSIP: 76110VSS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140906 | PA      | $2008.01      | 0.00%             | 2035-12-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Rhode Island Student Loan Authority                    | Rhode Island Student Loan Authority                                              | CUSIP: 762323CU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   7175000 | PA      | $7283227.70   | 0.10%             | 2042-12-01      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd.                                | Rockford Tower CLO Ltd., Series 2020-1A, Class A2RR                              | CUSIP: 77341EBC8<br>LEI: 5493009YDNBJVFWX7747 | Long             | ABS-CBDO         | CORP              | KY        |  18536627 | PA      | $18372818.83  | 0.24%             | 2036-01-20      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Rogers Communications, Inc.                            | Rogers Communications, Inc.                                                      | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |  16771000 | PA      | $15801079.40  | 0.21%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                               | Roper Technologies, Inc.                                                         | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   3961000 | PA      | $3583337.43   | 0.05%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STWD Ltd.                                              | STWD Ltd., Series 2022-FL3, Class AS                                             | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  17154000 | PA      | $17082742.28  | 0.23%             | 2038-11-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                           | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   1572000 | PA      | $1578364.15   | 0.02%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sammons Financial Group, Inc.                          | Sammons Financial Group, Inc.                                                    | CUSIP: 79588TAE0<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |   2233000 | PA      | $2172428.51   | 0.03%             | 2032-04-08      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Sammons Financial Group, Inc.                          | Sammons Financial Group, Inc.                                                    | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |  11339000 | PA      | $12415823.44  | 0.16%             | 2034-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2025-1, Class A2                  | CUSIP: 80288DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1360772 | PA      | $1361061.35   | 0.02%             | 2027-08-16      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Santos Finance Ltd.                                    | Santos Finance Ltd.                                                              | CUSIP: 803014AC3<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |   2933000 | PA      | $2916705.69   | 0.04%             | 2035-11-13      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| SLB Ltd.                                               | SLB Ltd.                                                                         | CUSIP: 806857108<br>LEI: 213800ZUA17OK3QLGM62 | Long             | EC               | CORP              | CW        |    301170 | NS      | $11558904.60  | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Charles Schwab Corp. (The)                             | Charles Schwab Corp. (The)                                                       | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |   2021917 | NS      | $202009727.47 | 2.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Charles Schwab Corp. (The)                             | Charles Schwab Corp. (The)                                                       | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  15896000 | PA      | $17027709.68  | 0.22%             | 2034-05-19      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Spectra Energy Partners LP                             | Spectra Energy Partners LP                                                       | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |   2615000 | PA      | $2603188.02   | 0.03%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                            | Stellantis Finance US, Inc.                                                      | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   9598000 | PA      | $8415429.27   | 0.11%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Stellantis Financial Underwritten Enhanced Lease Trust | Stellantis Financial Underwritten Enhanced Lease Trust, Series 2025-AA, Class A2 | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4980360 | PA      | $4997267.57   | 0.07%             | 2027-07-20      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                  | Sumitomo Mitsui Financial Group, Inc.                                            | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |  16151000 | PA      | $15400149.54  | 0.20%             | 2029-01-14      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                               | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   7057000 | PA      | $5812557.47   | 0.08%             | 2050-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                               | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   6050000 | PA      | $5807699.50   | 0.08%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                       | TRTX Issuer Ltd., Series 2025-FL7, Class A                                       | CUSIP: 87277LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  16758371 | PA      | $16758287.21  | 0.22%             | 2043-06-18      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Target Corp.                                           | Target Corp.                                                                     | CUSIP: 87612E106<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | EC               | CORP              | US        |    290525 | NS      | $28398818.75  | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                            | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2413000 | PA      | $2310108.81   | 0.03%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                            | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   7595000 | PA      | $8124198.49   | 0.11%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                      | Time Warner Cable Enterprises LLC                                                | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6403000 | PA      | $7388647.85   | 0.10%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Travelers Cos., Inc. (The)                             | Travelers Cos., Inc. (The)                                                       | CUSIP: 89417E109<br>LEI: 549300Y650407RU8B149 | Long             | EC               | CORP              | US        |     83132 | NS      | $24113267.92  | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                     | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  20387000 | PA      | $18069704.71  | 0.24%             | 2032-02-11      | Variable      | 2.10%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corp.                                    | Union Pacific Corp.                                                              | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |    308650 | NS      | $71396918.00  | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| US Foods Holding Corp.                                 | US Foods Holding Corp.                                                           | CUSIP: 912008109<br>LEI: 549300UGOZSO64CFPR97 | Long             | EC               | CORP              | US        |    226490 | NS      | $17059226.80  | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36361000 | PA      | $28226646.51  | 0.37%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    215000 | PA      | $164281.84    | 0.00%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 161800000 | PA      | $106478305.09 | 1.40%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14148000 | PA      | $10447413.75  | 0.14%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9015000 | PA      | $4982900.44   | 0.07%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44658400 | PA      | $27095088.63  | 0.36%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7700000 | PA      | $6677042.99   | 0.09%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19633593.80  | 0.26%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  58900000 | PA      | $53249281.25  | 0.70%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14000000 | PA      | $13543906.32  | 0.18%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31400000 | PA      | $29616577.97  | 0.39%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48400000 | PA      | $47800672.00  | 0.63%             | 2027-03-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  57767600 | PA      | $57207976.38  | 0.75%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  44000000 | PA      | $44656562.72  | 0.59%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  61600000 | PA      | $62357968.90  | 0.82%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97400000 | PA      | $99458335.69  | 1.31%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 100900000 | PA      | $101960238.03 | 1.34%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                              | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24000000 | PA      | $24187500.00  | 0.32%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                               | UnitedHealth Group, Inc.                                                         | CUSIP: 91324PFB3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   7433000 | PA      | $7552931.16   | 0.10%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                     | CUSIP: 92343VDR2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5693000 | PA      | $5402758.85   | 0.07%             | 2039-03-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                     | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3222000 | PA      | $3085531.55   | 0.04%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                     | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2662000 | PA      | $2430920.99   | 0.03%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics, Inc.                                 | Verisk Analytics, Inc.                                                           | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   2686000 | PA      | $2680679.54   | 0.04%             | 2029-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Verisk Analytics, Inc.                                 | Verisk Analytics, Inc.                                                           | CUSIP: 92345YAH9<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   4946000 | PA      | $5231733.98   | 0.07%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2025-9, Class A1                              | CUSIP: 92490EAA1<br>LEI: 2138002AFCEWDDRL8N22 | Long             | ABS-MBS          | CORP              | US        |   1771256 | PA      | $1773329.10   | 0.02%             | 2070-10-27      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Versant Media Group, Inc.                              | Versant Media Group, Inc.                                                        | CUSIP: 925283103<br>LEI: 254900D2Q5F5F229PU30 | Long             | EC               | CORP              | US        |    123591 | NS      | $5561611.20   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2024-8, Class A1                              | CUSIP: 92540PAA6<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |   1923468 | PA      | $1933533.34   | 0.03%             | 2069-10-25      | Variable      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC                 | Virginia Power Fuel Securitization LLC, Series A-1                               | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   2288977 | PA      | $2304211.93   | 0.03%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                     | Vodafone Group plc                                                               | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   2556000 | PA      | $2447101.95   | 0.03%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Vulcan Materials Co.                                   | Vulcan Materials Co.                                                             | CUSIP: 929160AZ2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |   1217000 | PA      | $1178893.39   | 0.02%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Voya Ltd.                                              | Voya Ltd., Series 2012-4A, Class A2R3                                            | CUSIP: 92916GBF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6439259 | PA      | $6441519.18   | 0.08%             | 2030-10-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Warner Bros Discovery, Inc.                            | Warner Bros Discovery, Inc.                                                      | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |   1269168 | NS      | $36577421.76  | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Waste Management, Inc.                                 | Waste Management, Inc.                                                           | CUSIP: 94106LBW8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |  19470000 | PA      | $19973344.87  | 0.26%             | 2034-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Waters Corp.                                           | Waters Corp.                                                                     | CUSIP: 941848103<br>LEI: 5T547R1474YC9HOD8Q74 | Long             | EC               | CORP              | US        |     60423 | NS      | $22950468.09  | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |    424827 | NS      | $39593876.40  | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.              | Westinghouse Air Brake Technologies Corp.                                        | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   6570000 | PA      | $6650487.89   | 0.09%             | 2028-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                      | Xcel Energy, Inc.                                                                | CUSIP: 98389BAY6<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |   3231000 | PA      | $3107121.33   | 0.04%             | 2030-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Techtronic Industries Co. Ltd.                         | Techtronic Industries Co. Ltd.                                                   | CUSIP: N/A<br>LEI: 549300HZW2SBE758OK89       | Long             | EC               | CORP              | HK        |   1110000 | NS      | $12752546.21  | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                    | Suncor Energy, Inc.                                                              | CUSIP: 867224107<br>LEI: 549300W70ZOQDVLCHY06 | Long             | EC               | CORP              | CA        |   1189959 | NS      | $52815782.51  | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| Glencore plc                                           | Glencore plc                                                                     | CUSIP: N/A<br>LEI: 2138002658CPO9NBH955       | Long             | EC               | CORP              | JE        |   3702182 | NS      | $20138891.96  | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| National Grid plc                                      | National Grid plc                                                                | CUSIP: N/A<br>LEI: 8R95QZMKZLJX5Q2XR704       | Long             | EC               | CORP              | GB        |   3514976 | NS      | $54169694.77  | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                         | AIA Group Ltd.                                                                   | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   7948000 | PA      | $7733935.16   | 0.10%             | 2030-04-07      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Canadian Dollar                                        | Canadian Dollar                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CA        |         0 | OU      | $0.01         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO                                                   | EURO                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |        37 | OU      | $43.91        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       747 | NC      | $-323631.77   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Amdocs Ltd.                                            | Amdocs Ltd.                                                                      | CUSIP: N/A<br>LEI: 549300HQV672RJ7RQV66       | Long             | EC               | CORP              | GG        |    283250 | NS      | $22804457.50  | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Aon plc                                                | Aon plc, Class A                                                                 | CUSIP: N/A<br>LEI: 635400FALWQYX5E6QC64       | Long             | EC               | CORP              | IE        |    282537 | NS      | $99701656.56  | 1.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Axalta Coating Systems Ltd.                            | Axalta Coating Systems Ltd.                                                      | CUSIP: N/A<br>LEI: 529900AGLPA40GV6H619       | Long             | EC               | CORP              | BM        |   1038045 | NS      | $33539233.95  | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Accenture plc                                          | Accenture plc, Class A                                                           | CUSIP: N/A<br>LEI: 5493000EWHDSR3MZWH98       | Long             | EC               | CORP              | IE        |    112921 | NS      | $30296704.30  | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Corp. plc                                        | Eaton Corp. plc                                                                  | CUSIP: N/A<br>LEI: 549300VDIGTMXUNT7H71       | Long             | EC               | CORP              | IE        |     72281 | NS      | $23022221.31  | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Aptiv plc                                              | Aptiv plc                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | JE        |    905359 | NS      | $68888766.31  | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| ICON plc                                               | ICON plc                                                                         | CUSIP: N/A<br>LEI: 6354008SRQGEMC4XFI67       | Long             | EC               | CORP              | IE        |    248954 | NS      | $45364397.88  | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| Johnson Controls International plc                     | Johnson Controls International plc                                               | CUSIP: N/A<br>LEI: 549300XQ6S1GYKGBL205       | Long             | EC               | CORP              | IE        |    395587 | NS      | $47371543.25  | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Medtronic plc                                          | Medtronic plc                                                                    | CUSIP: N/A<br>LEI: 549300GX3ZBSQWUXY261       | Long             | EC               | CORP              | IE        |   1510459 | NS      | $145094691.54 | 1.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Smurfit WestRock plc                                   | Smurfit WestRock plc                                                             | CUSIP: N/A<br>LEI: 635400EGSEOPDW2EXS14       | Long             | EC               | CORP              | IE        |    659789 | NS      | $25514040.63  | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Willis Towers Watson plc                               | Willis Towers Watson plc                                                         | CUSIP: N/A<br>LEI: 549300WHC56FF48KL350       | Long             | EC               | CORP              | IE        |    256761 | NS      | $84371664.60  | 1.11%             |  |  |  | No            |                  1 | On Loan: No      |
| British Pound                                          | British Pound                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | GB        |        62 | OU      | $83.44        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chubb Ltd.                                             | Chubb Ltd.                                                                       | CUSIP: N/A<br>LEI: E0JAN6VLUDI1HITHT809       | Long             | EC               | CORP              | CH        |    297708 | NS      | $92920620.96  | 1.22%             |  |  |  | No            |                  1 | On Loan: No      |
| South Korea Won                                        | South Korea Won                                                                  | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             |  | KR        |      -540 | OU      | $-0.37        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NXP Semiconductors NV                                  | NXP Semiconductors NV                                                            | CUSIP: N/A<br>LEI: 724500M9BY5293JDF951       | Long             | EC               | CORP              | NL        |    272176 | NS      | $59078522.56  | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       878 | NC      | $-135069.76   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Note                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       198 | NC      | $-99733.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | U.S. Treasury Ultra Bond                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       407 | NC      | $-1146250.38  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

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

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer