# EDGAR Filing Document

**Accession Number:** 0000918571
**File Stem:** 0001410368-26-050719
**Filing Date:** 2026-5
**Character Count:** 460016
**Document Hash:** 00419d3a56000acb9ea5b6a5ec7e9246
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-050719.hdr.sgml**: 20260526

**ACCESSION NUMBER**: 0001410368-26-050719

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260526

**DATE AS OF CHANGE**: 20260526

**PERIOD START**: 20261231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MFS VARIABLE INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0000918571

**ORGANIZATION NAME:**
- **EIN:** 043226600
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08326
- **FILM NUMBER:** 261016306

**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

## Series and Classes Contracts Data

### MFS Total Return Series (Series ID: S000002670)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000007310 | Initial Class |  |
| C000007311 | Service Class |  |

## Nport-Ex

VTR-Q1

![](img954f3e981.gif)

**Quarterly Report**

March 31, 2026

MFS<sup>®</sup> Total Return Series

![](img367d7cbd2.gif)

MFS<sup>®</sup> Variable Insurance Trust

------

**Portfolio of Investments**

3/31/26 (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 – 57.5%  | Common Stocks – 57.5%  | Common Stocks – 57.5%  |
| Aerospace & Defense – 1.9% | Aerospace & Defense – 1.9% |  |
| Boeing Co. (a) | 21548 | &nbsp;&nbsp;&nbsp; $4288698 |
| General Dynamics Corp. | 35996 | &nbsp;&nbsp;&nbsp; 12354547 |
| L3Harris Technologies, Inc. | 54288 | &nbsp;&nbsp;&nbsp; 18737503 |
| Leidos Holdings, Inc. | 21432 | &nbsp;&nbsp;&nbsp; 3333105 |
|  |  | &nbsp;&nbsp;&nbsp; $38713853 |
| Alcoholic Beverages – 1.0% | Alcoholic Beverages – 1.0% |  |
| Constellation Brands, Inc., "A" | 84806 | &nbsp;&nbsp;&nbsp; $12720900 |
| Diageo PLC | 371777 | &nbsp;&nbsp;&nbsp; 6907731 |
|  |  | &nbsp;&nbsp;&nbsp; $19628631 |
| Auto & Auto Components – 2.0% | Auto & Auto Components – 2.0% |  |
| Aptiv PLC (a) | 235590 | &nbsp;&nbsp;&nbsp; $13782015 |
| Lear Corp. | 137863 | &nbsp;&nbsp;&nbsp; 16692452 |
| LKQ Corp. | 346168 | &nbsp;&nbsp;&nbsp; 10166954 |
|  |  | &nbsp;&nbsp;&nbsp; $40641421 |
| Brokerage & Asset Managers – 3.8% | Brokerage & Asset Managers – 3.8% |  |
| Charles Schwab Corp. | 552493 | &nbsp;&nbsp;&nbsp; $51923292 |
| Northern Trust Corp. | 187582 | &nbsp;&nbsp;&nbsp; 26180820 |
|  |  | &nbsp;&nbsp;&nbsp; $78104112 |
| Business Services – 2.1% | Business Services – 2.1% |  |
| Accenture PLC, "A" | 60280 | &nbsp;&nbsp;&nbsp; $11952921 |
| Amdocs Ltd. | 66330 | &nbsp;&nbsp;&nbsp; 4328696 |
| Cognizant Technology Solutions Corp., "A" | 149826 | &nbsp;&nbsp;&nbsp; 9191825 |
| Equifax, Inc. | 18758 | &nbsp;&nbsp;&nbsp; 3377753 |
| Fidelity National Information Services, Inc. | 221032 | &nbsp;&nbsp;&nbsp; 10368611 |
| Fiserv, Inc. (a) | 74958 | &nbsp;&nbsp;&nbsp; 4182657 |
|  |  | &nbsp;&nbsp;&nbsp; $43402463 |
| Chemicals – 1.2% | Chemicals – 1.2% |  |
| Axalta Coating Systems Ltd. (a) | 568772 | &nbsp;&nbsp;&nbsp; $15754985 |
| PPG Industries, Inc. | 85023 | &nbsp;&nbsp;&nbsp; 9087258 |
|  |  | &nbsp;&nbsp;&nbsp; $24842243 |
| Conglomerates – 0.6% | Conglomerates – 0.6% |  |
| Honeywell International, Inc.  | 52179 | &nbsp;&nbsp;&nbsp; $11794019 |
| Construction – 1.2% | Construction – 1.2% |  |
| Masco Corp. | 266588 | &nbsp;&nbsp;&nbsp; $16093918 |
| Mohawk Industries, Inc. (a) | 44402 | &nbsp;&nbsp;&nbsp; 4371821 |
| Techtronic Industries Co. Ltd. | 288000 | &nbsp;&nbsp;&nbsp; 3833465 |
|  |  | &nbsp;&nbsp;&nbsp; $24299204 |
| Consumer Products – 1.5% | Consumer Products – 1.5% |  |
| Kenvue, Inc.  | 1768940 | &nbsp;&nbsp;&nbsp; $30496526 |
| Consumer Services – 0.2% | Consumer Services – 0.2% |  |
| Airbnb, Inc., "A" (a)  | 40578 | &nbsp;&nbsp;&nbsp; $5124190 |
| Containers – 0.6% | Containers – 0.6% |  |
| Avery Dennison Corp. | 36634 | &nbsp;&nbsp;&nbsp; $6325959 |
| Smurfit Westrock PLC | 171535 | &nbsp;&nbsp;&nbsp; 6835670 |
|  |  | &nbsp;&nbsp;&nbsp; $13161629 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Diversified Financial Services – 0.2% | Diversified Financial Services – 0.2% |  |
| CME Group, Inc.  | 12408 | &nbsp;&nbsp;&nbsp; $3664703 |
| Electrical Equipment – 0.5% | Electrical Equipment – 0.5% |  |
| Eaton Corp. PLC | 18963 | &nbsp;&nbsp;&nbsp; $6782496 |
| Versigent PLC (a) | 78530 | &nbsp;&nbsp;&nbsp; 2501181 |
|  |  | &nbsp;&nbsp;&nbsp; $9283677 |
| Energy - Independent – 4.5% | Energy - Independent – 4.5% |  |
| Chevron Corp. | 72877 | &nbsp;&nbsp;&nbsp; $15078251 |
| ConocoPhillips | 269030 | &nbsp;&nbsp;&nbsp; 35511960 |
| Diamondback Energy, Inc. | 45213 | &nbsp;&nbsp;&nbsp; 8942679 |
| Exxon Mobil Corp. | 148262 | &nbsp;&nbsp;&nbsp; 25154131 |
| Suncor Energy, Inc. | 108325 | &nbsp;&nbsp;&nbsp; 7164822 |
|  |  | &nbsp;&nbsp;&nbsp; $91851843 |
| Food & Beverages – 0.2% | Food & Beverages – 0.2% |  |
| Tyson Foods, Inc., "A" | 74066 | &nbsp;&nbsp;&nbsp; $4745409 |
| Food & Drug Stores – 0.3% | Food & Drug Stores – 0.3% |  |
| Albertsons Cos., Inc., "A" | 365600 | &nbsp;&nbsp;&nbsp; $6229824 |
| Global Systemically Important Banks – 4.4% | Global Systemically Important Banks – 4.4% |  |
| Bank of America Corp. | 668501 | &nbsp;&nbsp;&nbsp; $32589424 |
| Goldman Sachs Group, Inc. | 15433 | &nbsp;&nbsp;&nbsp; 13056164 |
| JPMorgan Chase & Co. | 78404 | &nbsp;&nbsp;&nbsp; 23063320 |
| Morgan Stanley | 70470 | &nbsp;&nbsp;&nbsp; 11597248 |
| Wells Fargo & Co. | 110640 | &nbsp;&nbsp;&nbsp; 8808050 |
|  |  | &nbsp;&nbsp;&nbsp; $89114206 |
| Health Maintenance Organizations – 1.8% | Health Maintenance Organizations – 1.8% |  |
| Cigna Group | 117246 | &nbsp;&nbsp;&nbsp; $31275371 |
| Humana, Inc. | 30813 | &nbsp;&nbsp;&nbsp; 5342666 |
|  |  | &nbsp;&nbsp;&nbsp; $36618037 |
| Insurance – 4.3% | Insurance – 4.3% |  |
| Aon PLC | 90694 | &nbsp;&nbsp;&nbsp; $29274209 |
| Chubb Ltd. | 77543 | &nbsp;&nbsp;&nbsp; 25273590 |
| Principal Financial Group, Inc. | 42118 | &nbsp;&nbsp;&nbsp; 3795253 |
| Travelers Cos., Inc. | 21661 | &nbsp;&nbsp;&nbsp; 6318081 |
| Willis Towers Watson PLC | 78499 | &nbsp;&nbsp;&nbsp; 22819659 |
|  |  | &nbsp;&nbsp;&nbsp; $87480792 |
| Interactive Media Services – 0.1% | Interactive Media Services – 0.1% |  |
| Versant Media Group, Inc.  | 32278 | &nbsp;&nbsp;&nbsp; $1194932 |
| Machinery & Tools – 0.6% | Machinery & Tools – 0.6% |  |
| AGCO Corp. | 63155 | &nbsp;&nbsp;&nbsp; $7317770 |
| Flowserve Corp. | 62756 | &nbsp;&nbsp;&nbsp; 4613193 |
|  |  | &nbsp;&nbsp;&nbsp; $11930963 |
| Media – 2.2% | Media – 2.2% |  |
| Omnicom Group, Inc. | 461642 | &nbsp;&nbsp;&nbsp; $34766259 |
| Warner Bros. Discovery, Inc. (a) | 330997 | &nbsp;&nbsp;&nbsp; 9089178 |
|  |  | &nbsp;&nbsp;&nbsp; $43855437 |
| Medical & Health Technology & Services – 0.5% | Medical & Health Technology & Services – 0.5% |  |
| ICON PLC (a)  | 89503 | &nbsp;&nbsp;&nbsp; $9904402 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Medical Equipment – 4.5% | Medical Equipment – 4.5% |  |
| Agilent Technologies, Inc. | 49499 | &nbsp;&nbsp;&nbsp; $5641896 |
| Becton, Dickinson and Co. | 220642 | &nbsp;&nbsp;&nbsp; 34691542 |
| Medtronic PLC | 433728 | &nbsp;&nbsp;&nbsp; 37582531 |
| Waters Corp. (a) | 45598 | &nbsp;&nbsp;&nbsp; 13579084 |
|  |  | &nbsp;&nbsp;&nbsp; $91495053 |
| Metals & Mining – 0.4% | Metals & Mining – 0.4% |  |
| Glencore PLC  | 964191 | &nbsp;&nbsp;&nbsp; $7347140 |
| Non-Global Systemically Important Banks – 0.9% | Non-Global Systemically Important Banks – 0.9% |  |
| PNC Financial Services Group, Inc.  | 88190 | &nbsp;&nbsp;&nbsp; $18351457 |
| Oil Services – 0.2% | Oil Services – 0.2% |  |
| SLB Ltd.  | 78483 | &nbsp;&nbsp;&nbsp; $4033241 |
| Pharmaceuticals & Biotechnology – 3.9% | Pharmaceuticals & Biotechnology – 3.9% |  |
| Johnson & Johnson | 115025 | &nbsp;&nbsp;&nbsp; $28116711 |
| Organon & Co. | 120657 | &nbsp;&nbsp;&nbsp; 722736 |
| Pfizer, Inc. | 1484426 | &nbsp;&nbsp;&nbsp; 41682682 |
| Roche Holding AG | 20438 | &nbsp;&nbsp;&nbsp; 8070268 |
|  |  | &nbsp;&nbsp;&nbsp; $78592397 |
| Restaurants – 0.4% | Restaurants – 0.4% |  |
| U.S. Foods Holding Corp. (a)  | 83264 | &nbsp;&nbsp;&nbsp; $7677773 |
| Retail & E-commerce – 0.4% | Retail & E-commerce – 0.4% |  |
| Target Corp.  | 75702 | &nbsp;&nbsp;&nbsp; $9175082 |
| Semiconductor & Electronic Components – 1.3% | Semiconductor & Electronic Components – 1.3% |  |
| Intel Corp. (a) | 232416 | &nbsp;&nbsp;&nbsp; $10256518 |
| NXP Semiconductors N.V. | 81685 | &nbsp;&nbsp;&nbsp; 16080509 |
|  |  | &nbsp;&nbsp;&nbsp; $26337027 |
| Software – 2.5% | Software – 2.5% |  |
| Microsoft Corp. | 98222 | &nbsp;&nbsp;&nbsp; $36358838 |
| Salesforce, Inc. | 77389 | &nbsp;&nbsp;&nbsp; 14446204 |
|  |  | &nbsp;&nbsp;&nbsp; $50805042 |
| Telecom Services – 1.1% | Telecom Services – 1.1% |  |
| Comcast Corp., "A" | 806985 | &nbsp;&nbsp;&nbsp; $23168539 |
| Tobacco – 1.5% | Tobacco – 1.5% |  |
| Altria Group, Inc. | 78293 | &nbsp;&nbsp;&nbsp; $5166555 |
| Philip Morris International, Inc. | 151220 | &nbsp;&nbsp;&nbsp; 25002715 |
|  |  | &nbsp;&nbsp;&nbsp; $30169270 |
| Transportation & Logistics – 1.0% | Transportation & Logistics – 1.0% |  |
| Union Pacific Corp.  | 80392 | &nbsp;&nbsp;&nbsp; $19504707 |
| Travel, Gaming, & Lodging – 0.4% | Travel, Gaming, & Lodging – 0.4% |  |
| Delta Air Lines, Inc.  | 117360 | &nbsp;&nbsp;&nbsp; $7802093 |
| Utilities – 3.3% | Utilities – 3.3% |  |
| Duke Energy Corp. | 125602 | &nbsp;&nbsp;&nbsp; $16446326 |
| Exelon Corp. | 175438 | &nbsp;&nbsp;&nbsp; 8599971 |
| National Grid PLC | 992691 | &nbsp;&nbsp;&nbsp; 16735722 |
| PG&E Corp. | 1282063 | &nbsp;&nbsp;&nbsp; 22525847 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Common Stocks – continued  | Common Stocks – continued  | Common Stocks – continued  |
| Utilities – continued | Utilities – continued |  |
| Sempra | 35712 | &nbsp;&nbsp;&nbsp; $3470135 |
|  |  | &nbsp;&nbsp;&nbsp; $67778001 |
| **Total Common Stocks**  |  | &nbsp;&nbsp; **$1168319338** |
| Bonds – 40.6%  | Bonds – 40.6%  | Bonds – 40.6%  |
| Aerospace & Defense – 0.2% | Aerospace & Defense – 0.2% | Aerospace & Defense – 0.2% |
| BAE Systems PLC, 3.4%, 4/15/2030 (n) | $1108000 | &nbsp;&nbsp;&nbsp; $1062445 |
| Boeing Co., 6.528%, 5/01/2034  | 1947000 | &nbsp;&nbsp;&nbsp; 2120950 |
| Boeing Co., 5.805%, 5/01/2050  | 883000 | &nbsp;&nbsp;&nbsp; 853619 |
| Boeing Co., 6.858%, 5/01/2054  | 775000 | &nbsp;&nbsp;&nbsp; 852946 |
|  |  | &nbsp;&nbsp;&nbsp; $4889960 |
| Asset-Backed & Securitized – 7.4% | Asset-Backed & Securitized – 7.4% | Asset-Backed & Securitized – 7.4% |
| ACORE Issuer LLC, 2026-FL1, "AS", FLR, 5.375% (SOFR - 1mo. + 1.7%), 8/20/2043 (n) | $2857500 | &nbsp;&nbsp;&nbsp; $2861132 |
| Acres PLC, 2026-FL4, "A", 5.11%, 8/18/2044 (n) | 4080000 | &nbsp;&nbsp;&nbsp; 4083051 |
| Affirm, Inc., 2025-X1, "A", 5.08%, 4/15/2030 (n) | 58785 | &nbsp;&nbsp;&nbsp; 58820 |
| AmeriCredit Automobile Receivables Trust, 2025-1, "A2A", 4.22%, 3/19/2029 (n) | 561000 | &nbsp;&nbsp;&nbsp; 561345 |
| Angel Oak Mortgage Trust, 2024-10, "A1", 5.348%, 10/25/2069 (n) | 2199410 | &nbsp;&nbsp;&nbsp; 2200929 |
| Angel Oak Mortgage Trust, 2024-12, "A1", 5.653%, 10/25/2069 (n) | 1887882 | &nbsp;&nbsp;&nbsp; 1896273 |
| Angel Oak Mortgage Trust, 2024-9, "A1", 5.138%, 9/25/2069 (n) | 1175620 | &nbsp;&nbsp;&nbsp; 1174239 |
| Angel Oak Mortgage Trust, 2025-10, "A1", 4.96%, 9/25/2070 (n) | 695829 | &nbsp;&nbsp;&nbsp; 692219 |
| Arbor Realty Commercial Real Estate, 2026-FL1, "A", FLR, 5.17% (SOFR - 1mo. + 1.5%), 9/20/2043 (n) | 805882 | &nbsp;&nbsp;&nbsp; 805880 |
| Arbor Realty Commercial Real Estate, 2026-FL1, "AS", FLR, 5.42% (SOFR - 1mo. + 1.75%), 9/20/2043 (n) | 249290 | &nbsp;&nbsp;&nbsp; 249443 |
| Arbor Realty Trust, Inc., CLO, 2022-FL1, "B", FLR, 5.772% (SOFR - 30 day + 2.1%), 1/15/2037 (n) | 5076500 | &nbsp;&nbsp;&nbsp; 5079750 |
| ARDN Mortgage Trust, 2025-ARCP, "A", FLR, 5.422% (SOFR - 1mo. + 1.75%), 6/15/2035 (n) | 3949000 | &nbsp;&nbsp;&nbsp; 3932957 |
| AREIT 2022-CRE6 Trust, "B", FLR, 5.521% (SOFR - 30 day + 1.85%), 1/20/2037 (n) | 3088500 | &nbsp;&nbsp;&nbsp; 3075930 |
| ARI Fleet Lease Trust, 2023-B, "A2", 6.05%, 7/15/2032 (n) | 102204 | &nbsp;&nbsp;&nbsp; 102728 |
| AutoNation Finance Trust, 2026-1A, "A2", 3.95%, 1/11/2029 (n) | 905000 | &nbsp;&nbsp;&nbsp; 904204 |
| Bain Capital Credit CLO Ltd., 2020-3A, "BR3", FLR, 5.112% (SOFR - 3mo. + 1.45%), 10/23/2034 (n) | 2000000 | &nbsp;&nbsp;&nbsp; 1996672 |
| Bain Capital Credit CLO Ltd., 2020-4A, "A1RR", FLR, 4.817% (SOFR - 3mo. + 1.15%), 10/20/2036 (n) | 3189862 | &nbsp;&nbsp;&nbsp; 3181603 |
| Bank5, 2025-5YR17, "A3", 5.225%, 11/15/2058  | 1863539 | &nbsp;&nbsp;&nbsp; 1900524 |
| Bayview Financial Revolving Mortgage Loan Trust, FLR, 5.387% ((SOFR - 1mo. + 0.11448%) + 1.6%), 12/28/2040 (n) | 210855 | &nbsp;&nbsp;&nbsp; 519143 |
| BDS 2025-FL16 Ltd., "A", FLR, 5.077% (SOFR - 1mo. + 1.4%), 6/19/2043 (n) | 4352693 | &nbsp;&nbsp;&nbsp; 4352416 |
| Benchmark 2023-V3 Mortgage Trust, "A3", 6.363%, 7/15/2056  | 134138 | &nbsp;&nbsp;&nbsp; 138741 |
| Benchmark 2025-V18 Mortgage Trust, "A3", 5.183%, 10/15/2058  | 1799941 | &nbsp;&nbsp;&nbsp; 1832861 |
| Brazos Securitization LLC, 5.243%, 9/01/2040 (n) | 1552000 | &nbsp;&nbsp;&nbsp; 1539514 |
| BSPRT 2022-FL8 Issuer Ltd., "B", FLR, 5.722% (SOFR - 30 day + 2.05%), 2/15/2037 (n) | 1817000 | &nbsp;&nbsp;&nbsp; 1812714 |
| Business Jet Securities LLC, 2024-1A, "A", 6.197%, 5/15/2039 (n) | 624101 | &nbsp;&nbsp;&nbsp; 632310 |
| BX Trust, 2025-BCAT, "A", FLR, 5.052% (SOFR - 1mo. + 1.38%), 8/15/2042 (n) | 2411045 | &nbsp;&nbsp;&nbsp; 2411044 |
| BXMT 2021-FL4 Ltd., "AS", FLR, 5.092% ((SOFR - 1mo. + 0.11448%) + 1.3%), 5/15/2038 (n) | 5214000 | &nbsp;&nbsp;&nbsp; 5190234 |
| Chesapeake Funding II LLC, 2023-1A, "A1", 5.65%, 5/15/2035 (n) | 451638 | &nbsp;&nbsp;&nbsp; 452288 |
| Colt Funding LLC, 2024-5, "A1", 5.123%, 8/25/2069 (n) | 1320631 | &nbsp;&nbsp;&nbsp; 1318567 |
| Commercial Mortgage Pass-Through Certificates, 2023-BNK46, "A4", 5.745%, 8/15/2056  | 1872416 | &nbsp;&nbsp;&nbsp; 1947803 |
| Consumers 2023 Securitization Funding LLC, 5.55%, 3/01/2028  | 340126 | &nbsp;&nbsp;&nbsp; 342793 |
| Credit Acceptance Auto Loan Trust, 2023-3A, "A", 6.39%, 8/15/2033 (n) | 161181 | &nbsp;&nbsp;&nbsp; 161535 |
| Dryden Senior Loan Fund CLO Ltd., 2018-55A, "A1", FLR, 4.953% ((SOFR - 3mo. + 0.26161%) + 1.02%), 4/15/2031 (n) | 677697 | &nbsp;&nbsp;&nbsp; 677622 |
| Dryden Senior Loan Fund CLO Ltd., 2020-86A, "BR2", FLR, 5.268% (SOFR - 3mo. + 1.6%), 7/17/2034 (n) | 5134256 | &nbsp;&nbsp;&nbsp; 5134764 |
| Dwight 2025-FL1 Issuer LLC, "A", FLR, 5.342% (SOFR - 1mo. + 1.662%), 6/18/2042 (n) | 2946500 | &nbsp;&nbsp;&nbsp; 2955591 |
| ELM Trust, 2024-ELM, "B10", 6.195%, 6/10/2039 (n) | 2369972 | &nbsp;&nbsp;&nbsp; 2374555 |
| Empire District Bondco LLC, 4.943%, 1/01/2033  | 989246 | &nbsp;&nbsp;&nbsp; 1002362 |
| Enterprise Fleet Financing 2023-3 LLC, "A2", 6.4%, 3/20/2030 (n) | 458365 | &nbsp;&nbsp;&nbsp; 462487 |
| Enterprise Fleet Financing 2024-4 LLC, "A2", 4.69%, 7/20/2027 (n) | 363742 | &nbsp;&nbsp;&nbsp; 364534 |
| Enterprise Fleet Financing 2026-1 LLC, "A2", 4%, 10/20/2028 (n) | 1837000 | &nbsp;&nbsp;&nbsp; 1832293 |
| GLS Auto Select Receivables Trust, 2025-2A, "A2", 6.37%, 6/15/2028 (n) | 20438 | &nbsp;&nbsp;&nbsp; 20472 |
| GMAC Mortgage Corp. Loan Trust, FGIC, 5.805%, 10/25/2036  | 49388 | &nbsp;&nbsp;&nbsp; 49458 |
| Greystone Commercial Real Estate Notes, 2025-FL4, "AS", FLR, 5.81% (SOFR - 1mo. + 2.1385%), 1/15/2043 (n) | 548500 | &nbsp;&nbsp;&nbsp; 548761 |
| Hyundai Auto Lease Securitization Trust, 2025-B, "A2A", 4.58%, 9/15/2027 (n) | 1020793 | &nbsp;&nbsp;&nbsp; 1022851 |
| JP Morgan Trust, 2026-NQM1, "A1", 4.745%, 6/25/2066 (n) | 456138 | &nbsp;&nbsp;&nbsp; 451279 |

---

------

*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 |
| LoanCore 2021-CRE5 Ltd., "AS", FLR, 5.536% ((SOFR - 1mo. + 0.11448%) + 1.75%), 7/15/2036 (n) | $1354062 | &nbsp;&nbsp;&nbsp; $1352507 |
| Magnetite CLO Ltd., 2017-19A, FLR, 5.117% (SOFR - 3mo. + 1.45%), 4/17/2034 (n) | 889810 | &nbsp;&nbsp;&nbsp; 887713 |
| MF1 2022-FL8 Ltd., "B", FLR, 5.626% (SOFR - 30 day + 1.95%), 2/19/2037 (n) | 2251053 | &nbsp;&nbsp;&nbsp; 2250819 |
| MF1 2024-FL15 LLC, "AS", FLR, 5.719% (SOFR - 1mo. + 2.04%), 8/18/2041 (n) | 2376000 | &nbsp;&nbsp;&nbsp; 2385586 |
| MF1 2024-FL16 LLC, "A", FLR, 5.221% (SOFR - 1mo. + 1.541%), 11/18/2039 (n) | 4793900 | &nbsp;&nbsp;&nbsp; 4809825 |
| MF1 2025-FL19 LLC, "A", FLR, 5.251% (SOFR - 1mo. + 1.572%), 2/18/2040 (n) | 2700000 | &nbsp;&nbsp;&nbsp; 2700829 |
| MF1 2025-FL19 LLC, "A", FLR, 5.167% (SOFR - 1mo. + 1.4881%), 5/18/2042 (n) | 2057523 | &nbsp;&nbsp;&nbsp; 2060503 |
| MF1 2025-FL20 LLC, "AS", FLR, 5.379% (SOFR - 1mo. + 1.7%), 2/18/2043 (n) | 4194000 | &nbsp;&nbsp;&nbsp; 4208743 |
| MF1 2026-FL21 LLC, "AS", FLR, 5.23% (SOFR - 1mo. + 1.55%), 2/18/2041 (n) | 2229299 | &nbsp;&nbsp;&nbsp; 2230430 |
| Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34, "A4", 3.536%, 11/15/2052  | 1600004 | &nbsp;&nbsp;&nbsp; 1579370 |
| Morgan Stanley Residential Mortgage Loan Trust, 2026-NQM1, "A1", 4.809%, 12/25/2070 (n) | 732676 | &nbsp;&nbsp;&nbsp; 725788 |
| Morgan Stanley Residential Mortgage Loan Trust, 2025-NQM10, "A1LC", 5.241%, 11/25/2070 (n) | 691588 | &nbsp;&nbsp;&nbsp; 688644 |
| MSWF Commercial Mortgage Trust, 2023-2, "A5", 6.014%, 12/15/2056  | 2080986 | &nbsp;&nbsp;&nbsp; 2207382 |
| Neuberger Berman CLO Ltd., 2015-20A, "A1R3", FLR, 4.822% (SOFR - 3mo. + 1.15%), 4/15/2039 (n) | 1900000 | &nbsp;&nbsp;&nbsp; 1895353 |
| OBX Trust, 2024-NQM15, "A1", 5.316%, 10/25/2064 (n) | 748165 | &nbsp;&nbsp;&nbsp; 750134 |
| OBX Trust, 2025-NQM1, "A1", 5.547%, 12/25/2064 (n) | 1035986 | &nbsp;&nbsp;&nbsp; 1040035 |
| OBX Trust, 2025-NQM13, "A1", 5.441%, 5/25/2065 (n) | 630308 | &nbsp;&nbsp;&nbsp; 632272 |
| OBX Trust, 2025-NQM20, "A1", 5.021%, 10/25/2065 (n) | 948893 | &nbsp;&nbsp;&nbsp; 945330 |
| OneMain Financial Issuance Trust, 2022-3A, "A", 5.94%, 5/15/2034 (n) | 245850 | &nbsp;&nbsp;&nbsp; 246242 |
| Palmer Square Loan Funding 2024-3A Ltd., "A2R", FLR, 4.81% (SOFR - 3mo. + 1.15%), 8/08/2032 (n) | 4413018 | &nbsp;&nbsp;&nbsp; 4408018 |
| Palmer Square Loan Funding, 2020-3A Ltd., "A2", FLR, 5.252% (SOFR - 3mo. + 1.6%), 11/15/2036 (n) | 4516667 | &nbsp;&nbsp;&nbsp; 4516486 |
| Parallel Ltd., 2023-1A, "A2R", FLR, 5.467% (SOFR - 3mo. + 1.8%), 7/20/2036 (n) | 1856072 | &nbsp;&nbsp;&nbsp; 1856013 |
| PFP III 2025-12 Ltd., "AS", FLR, 5.421% (SOFR - 1mo. + 1.7418%), 12/18/2042 (n) | 2892000 | &nbsp;&nbsp;&nbsp; 2892136 |
| PLYM Commercial Mortgage Trust, 2026-IND, "A", FLR, 4.923% (SOFR - 1mo. + 1.25%), 3/15/2043 (n) | 2116000 | &nbsp;&nbsp;&nbsp; 2105420 |
| PMT Loan Trust, 2026-INV2, "A35", FLR, 4.812% (SOFR - 1mo. + 1.15%), 1/25/2057 (n) | 4017991 | &nbsp;&nbsp;&nbsp; 4012543 |
| PMT Loan Trust, 2026-INV4, "A36", FLR, 5.108% (SOFR - 1mo. + 1.45%), 3/25/2057 (n)(w) | 1247639 | &nbsp;&nbsp;&nbsp; 1244795 |
| PRM Loan Trust, 2025-PRM6, "A", 4.63%, 7/05/2033 (n) | 1517909 | &nbsp;&nbsp;&nbsp; 1506037 |
| Provident Funding Mortgage Trust, 2025-2, "A4", 5.5%, 6/25/2055 (n) | 2130269 | &nbsp;&nbsp;&nbsp; 2131134 |
| Rate Mortgage Trust, 2025-J3, "A27", FLR, 5.211% (SOFR - 1mo. + 1.55%), 11/25/2055 (n) | 2748516 | &nbsp;&nbsp;&nbsp; 2762029 |
| Residential Funding Mortgage Securities, Inc., FGIC, 3.413%, 12/25/2035 (d)(q) | 63221 | &nbsp;&nbsp;&nbsp; 809 |
| Santander Drive Auto Receivables Trust, 2026-1, "A2", 4.04%, 3/15/2029  | 1390000 | &nbsp;&nbsp;&nbsp; 1389339 |
| Starwood Commercial Mortgage, 2022-FL3, "AS", FLR, 5.472% (SOFR - 30 day + 1.8%), 11/15/2038 (n) | 5210500 | &nbsp;&nbsp;&nbsp; 5204700 |
| Stellantis Finance US, Inc., 4.63%, 7/20/2027 (n) | 1125097 | &nbsp;&nbsp;&nbsp; 1126920 |
| TPG Real Estate Finance, 2025-FL7, "A", FLR, 5.129% (SOFR - 1mo. + 1.45%), 6/18/2043 (n) | 4562992 | &nbsp;&nbsp;&nbsp; 4564055 |
| Verus Securitization Trust, 2024-8, "A1", 5.364%, 10/25/2069 (n) | 467749 | &nbsp;&nbsp;&nbsp; 468455 |
| Verus Securitization Trust, 2025-9, "A1", 4.935%, 10/27/2070 (n) | 464897 | &nbsp;&nbsp;&nbsp; 462620 |
| Virginia Power Fuel Securitization LLC, 5.088%, 5/01/2027  | 641144 | &nbsp;&nbsp;&nbsp; 644206 |
| Voya CLO 2012-4A Ltd., "A2R3", FLR, 5.383% ((SOFR - 3mo. + 0.26161%) + 1.45%), 10/15/2030 (n) | 1928619 | &nbsp;&nbsp;&nbsp; 1928953 |
|  |  | &nbsp;&nbsp;&nbsp; $151128864 |
| Auto & Auto Components – 0.1% | Auto & Auto Components – 0.1% | Auto & Auto Components – 0.1% |
| Stellantis Finance US, Inc., 2.691%, 9/15/2031 (n)  | $2741000 | &nbsp;&nbsp;&nbsp; $2316568 |
| 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  | $4428000 | &nbsp;&nbsp;&nbsp; $4650578 |
| Intercontinental Exchange, Inc., 2.1%, 6/15/2030  | 2038000 | &nbsp;&nbsp;&nbsp; 1853646 |
| LPL Holdings, Inc., 6.75%, 11/17/2028  | 362000 | &nbsp;&nbsp;&nbsp; 379267 |
| LPL Holdings, Inc., 4.375%, 5/15/2031 (n) | 4012000 | &nbsp;&nbsp;&nbsp; 3837704 |
|  |  | &nbsp;&nbsp;&nbsp; $10721195 |
| Building – 0.2% | Building – 0.2% | Building – 0.2% |
| Martin Marietta Materials, Inc., 2.5%, 3/15/2030  | $179000 | &nbsp;&nbsp;&nbsp; $165568 |
| Masco Corp., 2%, 2/15/2031  | 3622000 | &nbsp;&nbsp;&nbsp; 3191597 |
| Vulcan Materials Co., 3.5%, 6/01/2030  | 386000 | &nbsp;&nbsp;&nbsp; 370011 |
|  |  | &nbsp;&nbsp;&nbsp; $3727176 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Business Services – 0.5% | Business Services – 0.5% | Business Services – 0.5% |
| Equinix, Inc., 1.8%, 7/15/2027  | $1405000 | &nbsp;&nbsp;&nbsp; $1357437 |
| Equinix, Inc., 2.5%, 5/15/2031  | 1931000 | &nbsp;&nbsp;&nbsp; 1723549 |
| Experian Finance PLC, 4.25%, 2/01/2029 (n) | 1450000 | &nbsp;&nbsp;&nbsp; 1439170 |
| Fiserv, Inc., 2.65%, 6/01/2030  | 690000 | &nbsp;&nbsp;&nbsp; 628284 |
| Global Payments, Inc., 2.9%, 11/15/2031  | 778000 | &nbsp;&nbsp;&nbsp; 681714 |
| Verisk Analytics, Inc., 4.125%, 3/15/2029  | 1872000 | &nbsp;&nbsp;&nbsp; 1861683 |
| Verisk Analytics, Inc., 5.75%, 4/01/2033  | 1435000 | &nbsp;&nbsp;&nbsp; 1485102 |
|  |  | &nbsp;&nbsp;&nbsp; $9176939 |
| 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  | $1063000 | &nbsp;&nbsp;&nbsp; $1079459 |
| Time Warner Entertainment Co. LP, 8.375%, 7/15/2033  | 2544000 | &nbsp;&nbsp;&nbsp; 2880513 |
|  |  | &nbsp;&nbsp;&nbsp; $3959972 |
| Chemicals – 0.0% | Chemicals – 0.0% | Chemicals – 0.0% |
| RPM International, Inc., 2.95%, 1/15/2032  | $752000 | &nbsp;&nbsp;&nbsp; $676019 |
| Conglomerates – 0.1% | Conglomerates – 0.1% | Conglomerates – 0.1% |
| Westinghouse Air Brake Technologies Corp., 4.7%, 9/15/2028  | $2129000 | &nbsp;&nbsp;&nbsp; $2135244 |
| Consumer Products – 0.0% | Consumer Products – 0.0% | Consumer Products – 0.0% |
| Kenvue, Inc., 4.9%, 3/22/2033  | $778000 | &nbsp;&nbsp;&nbsp; $784261 |
| Diversified Financial Services – 0.5% | Diversified Financial Services – 0.5% | Diversified Financial Services – 0.5% |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 2.45%, 10/29/2026  | $3996000 | &nbsp;&nbsp;&nbsp; $3951983 |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65%, 7/21/2027  | 2176000 | &nbsp;&nbsp;&nbsp; 2152747 |
| Avolon Holdings Funding Ltd., 4.375%, 5/01/2026 (n) | 682000 | &nbsp;&nbsp;&nbsp; 681965 |
| Avolon Holdings Funding Ltd., 3.25%, 2/15/2027 (n) | 2065000 | &nbsp;&nbsp;&nbsp; 2041677 |
| Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 (n) | 756000 | &nbsp;&nbsp;&nbsp; 730380 |
|  |  | &nbsp;&nbsp;&nbsp; $9558752 |
| Electrical Equipment – 0.1% | Electrical Equipment – 0.1% | Electrical Equipment – 0.1% |
| Arrow Electronics, Inc., 2.95%, 2/15/2032  | $2709000 | &nbsp;&nbsp;&nbsp; $2393553 |
| Energy - Independent – 0.3% | Energy - Independent – 0.3% | Energy - Independent – 0.3% |
| Diamondback Energy, Inc., 5.4%, 4/18/2034  | $1254000 | &nbsp;&nbsp;&nbsp; $1273057 |
| EQT Corp., 5.75%, 2/01/2034  | 2968000 | &nbsp;&nbsp;&nbsp; 3059811 |
| Santos Finance Ltd., 5.75%, 11/13/2035 (n) | 851000 | &nbsp;&nbsp;&nbsp; 852973 |
|  |  | &nbsp;&nbsp;&nbsp; $5185841 |
| Energy - Integrated – 0.6% | Energy - Integrated – 0.6% | Energy - Integrated – 0.6% |
| BP Capital Markets America, Inc., 2.721%, 1/12/2032  | $4208000 | &nbsp;&nbsp;&nbsp; $3802469 |
| Eni S.p.A., 4.75%, 9/12/2028 (n) | 3793000 | &nbsp;&nbsp;&nbsp; 3820605 |
| Eni S.p.A., 5.5%, 5/15/2034 (n) | 3712000 | &nbsp;&nbsp;&nbsp; 3802362 |
|  |  | &nbsp;&nbsp;&nbsp; $11425436 |
| Food & Beverages – 0.5% | Food & Beverages – 0.5% | Food & Beverages – 0.5% |
| Anheuser-Busch InBev Worldwide, Inc., 4.375%, 4/15/2038  | $746000 | &nbsp;&nbsp;&nbsp; $694593 |
| Anheuser-Busch InBev Worldwide, Inc., 8%, 11/15/2039  | 2970000 | &nbsp;&nbsp;&nbsp; 3711873 |
| Diageo Capital PLC, 2.375%, 10/24/2029  | 2415000 | &nbsp;&nbsp;&nbsp; 2258339 |
| Mars, Inc., 5.2%, 3/01/2035 (n) | 4183000 | &nbsp;&nbsp;&nbsp; 4222825 |
|  |  | &nbsp;&nbsp;&nbsp; $10887630 |
| Global Systemically Important Banks – 1.8% | Global Systemically Important Banks – 1.8% | Global Systemically Important Banks – 1.8% |
| Bank of America Corp., 3.5%, 4/19/2026  | $1361000 | &nbsp;&nbsp;&nbsp; $1360348 |
| Bank of America Corp., 2.572% to 10/20/2031, FLR (SOFR - 1 day + 1.21%) to 10/20/2032  | 3265000 | &nbsp;&nbsp;&nbsp; 2904933 |
| Goldman Sachs Group, Inc., 2.6%, 2/07/2030  | 2135000 | &nbsp;&nbsp;&nbsp; 1986026 |
| Goldman Sachs Group, Inc., 2.383% to 7/21/2031, FLR (SOFR - 1 day + 1.248%) to 7/21/2032  | 2678000 | &nbsp;&nbsp;&nbsp; 2364068 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Global Systemically Important Banks – continued | Global Systemically Important Banks – continued | Global Systemically Important Banks – continued |
| HSBC Holdings PLC, 4.7% to 9/09/2031, FLR (CMT - 1yr. + 3.25%) to 9/09/2169  | $922000 | &nbsp;&nbsp;&nbsp; $839839 |
| JPMorgan Chase & Co., 2.956% to 5/13/2030, FLR (SOFR - 1 day + 2.515%) to 5/13/2031  | 482000 | &nbsp;&nbsp;&nbsp; 449115 |
| JPMorgan Chase & Co., 2.545% to 11/08/2031, FLR (SOFR - 1 day + 1.18%) to 11/08/2032  | 4660000 | &nbsp;&nbsp;&nbsp; 4142335 |
| JPMorgan Chase & Co., 2.963% to 1/25/2032, FLR (SOFR - 1 day + 1.26%) to 1/25/2033  | 1795000 | &nbsp;&nbsp;&nbsp; 1628465 |
| JPMorgan Chase & Co., 5.766%, 4/22/2035  | 4076000 | &nbsp;&nbsp;&nbsp; 4245501 |
| JPMorgan Chase & Co., 3.897% to 1/23/2048, FLR ((SOFR - 3mo. + 0.26161%) + 1.22%) to 1/23/2049  | 947000 | &nbsp;&nbsp;&nbsp; 727198 |
| Mitsubishi UFJ Financial Group, Inc., 2.852% to 1/19/2032, FLR (CMT - 1yr. + 1.1%) to 1/19/2033  | 2676000 | &nbsp;&nbsp;&nbsp; 2393938 |
| Mitsubishi UFJ Financial Group, Inc., 5.615%, 4/24/2036  | 774000 | &nbsp;&nbsp;&nbsp; 792094 |
| Morgan Stanley, 2.699% to 1/22/2030, FLR (SOFR - 1 day + 1.143%) to 1/22/2031  | 2501000 | &nbsp;&nbsp;&nbsp; 2322237 |
| Morgan Stanley, 2.943% to 1/21/2032, FLR (SOFR - 1 day + 1.29%) to 1/21/2033  | 3151000 | &nbsp;&nbsp;&nbsp; 2833184 |
| UBS Group AG, 2.095% to 2/11/2031, FLR (CMT - 1yr. + 1.0%) to 2/11/2032 (n) | 6455000 | &nbsp;&nbsp;&nbsp; 5687311 |
| UBS Group AG, 5.699% to 2/08/2034, FLR (CMT - 1yr. + 1.77%) to 2/08/2035 (n) | 1566000 | &nbsp;&nbsp;&nbsp; 1605334 |
|  |  | &nbsp;&nbsp;&nbsp; $36281926 |
| Insurance – 0.7% | Insurance – 0.7% | Insurance – 0.7% |
| AIA Group Ltd., 3.375%, 4/07/2030 (n) | $2338000 | &nbsp;&nbsp;&nbsp; $2260535 |
| Corebridge Financial, Inc., 3.9%, 4/05/2032  | 3099000 | &nbsp;&nbsp;&nbsp; 2906229 |
| Corebridge Financial, Inc., 5.75%, 1/15/2034  | 1248000 | &nbsp;&nbsp;&nbsp; 1280048 |
| Metropolitan Life Global Funding I, 3.3%, 3/21/2029 (n) | 3972000 | &nbsp;&nbsp;&nbsp; 3848904 |
| Sammons Financial Group, Inc., 4.75%, 4/08/2032 (n) | 606000 | &nbsp;&nbsp;&nbsp; 577322 |
| Sammons Financial Group, Inc., 6.875%, 4/15/2034 (n) | 3038000 | &nbsp;&nbsp;&nbsp; 3216530 |
|  |  | &nbsp;&nbsp;&nbsp; $14089568 |
| Insurance - Health – 0.2% | Insurance - Health – 0.2% | Insurance - Health – 0.2% |
| Humana, Inc., 5.875%, 3/01/2033  | $1238000 | &nbsp;&nbsp;&nbsp; $1264967 |
| UnitedHealth Group, Inc., 5%, 4/15/2034  | 1975000 | &nbsp;&nbsp;&nbsp; 1976547 |
|  |  | &nbsp;&nbsp;&nbsp; $3241514 |
| Insurance - Property & Casualty – 0.6% | Insurance - Property & Casualty – 0.6% | Insurance - Property & Casualty – 0.6% |
| Aon Corp., 4.5%, 12/15/2028  | $1872000 | &nbsp;&nbsp;&nbsp; $1880606 |
| Brown & Brown, Inc., 4.2%, 3/17/2032  | 2140000 | &nbsp;&nbsp;&nbsp; 2019980 |
| Brown & Brown, Inc., 5.55%, 6/23/2035  | 519000 | &nbsp;&nbsp;&nbsp; 518311 |
| Fairfax Financial Holdings Ltd., 5.625%, 8/16/2032  | 4084000 | &nbsp;&nbsp;&nbsp; 4189660 |
| Fairfax Financial Holdings Ltd., 6%, 12/07/2033  | 88000 | &nbsp;&nbsp;&nbsp; 91939 |
| Liberty Mutual Group, Inc., 3.951%, 10/15/2050 (n) | 1099000 | &nbsp;&nbsp;&nbsp; 797647 |
| Marsh & McLennan Cos., Inc., 4.95%, 3/15/2036  | 2553000 | &nbsp;&nbsp;&nbsp; 2528868 |
|  |  | &nbsp;&nbsp;&nbsp; $12027011 |
| 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)  | $629000 | &nbsp;&nbsp;&nbsp; $672876 |
| Machinery & Tools – 0.2% | Machinery & Tools – 0.2% | Machinery & Tools – 0.2% |
| Ashtead Capital, Inc., 5.5%, 8/11/2032 (n)  | $3988000 | &nbsp;&nbsp;&nbsp; $4043870 |
| 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  | $2533000 | &nbsp;&nbsp;&nbsp; $2572283 |
| Alcon Finance Corp., 2.6%, 5/27/2030 (n) | 302000 | &nbsp;&nbsp;&nbsp; 279328 |
| Cigna Corp., 3.2%, 3/15/2040  | 509000 | &nbsp;&nbsp;&nbsp; 394332 |
| HCA, Inc., 5.125%, 6/15/2039  | 1827000 | &nbsp;&nbsp;&nbsp; 1721805 |
| Northwell Healthcare, Inc., 3.979%, 11/01/2046  | 153000 | &nbsp;&nbsp;&nbsp; 118845 |
| Northwell Healthcare, Inc., 4.26%, 11/01/2047  | 1139000 | &nbsp;&nbsp;&nbsp; 922713 |
|  |  | &nbsp;&nbsp;&nbsp; $6009306 |
| Medical Equipment – 0.1% | Medical Equipment – 0.1% | Medical Equipment – 0.1% |
| Boston Scientific Corp., 2.65%, 6/01/2030  | $1503000 | &nbsp;&nbsp;&nbsp; $1400385 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Metals & Mining – 0.4% | Metals & Mining – 0.4% | Metals & Mining – 0.4% |
| Anglo American Capital PLC, 3.875%, 3/16/2029 (n) | $496000 | &nbsp;&nbsp;&nbsp; $485988 |
| Anglo American Capital PLC, 5.625%, 4/01/2030 (n) | 1394000 | &nbsp;&nbsp;&nbsp; 1437459 |
| Anglo American Capital PLC, 2.625%, 9/10/2030 (n) | 4316000 | &nbsp;&nbsp;&nbsp; 3937650 |
| Glencore Funding LLC, 2.5%, 9/01/2030 (n) | 1602000 | &nbsp;&nbsp;&nbsp; 1456766 |
| Glencore Funding LLC, 2.85%, 4/27/2031 (n) | 670000 | &nbsp;&nbsp;&nbsp; 609817 |
|  |  | &nbsp;&nbsp;&nbsp; $7927680 |
| Midstream – 0.5% | Midstream – 0.5% | Midstream – 0.5% |
| Enbridge, Inc., 5.625%, 4/05/2034  | $2896000 | &nbsp;&nbsp;&nbsp; $2987193 |
| Plains All American Pipeline LP, 3.8%, 9/15/2030  | 1896000 | &nbsp;&nbsp;&nbsp; 1826929 |
| Plains All American Pipeline LP, 5.7%, 9/15/2034  | 837000 | &nbsp;&nbsp;&nbsp; 854966 |
| Sabine Pass Liquefaction LLC, 4.5%, 5/15/2030  | 485000 | &nbsp;&nbsp;&nbsp; 481479 |
| Spectra Energy Partners LP, 3.375%, 10/15/2026  | 783000 | &nbsp;&nbsp;&nbsp; 779076 |
| Targa Resources Corp., 4.2%, 2/01/2033  | 754000 | &nbsp;&nbsp;&nbsp; 713841 |
| Targa Resources Corp., 6.125%, 3/15/2033  | 2297000 | &nbsp;&nbsp;&nbsp; 2429262 |
|  |  | &nbsp;&nbsp;&nbsp; $10072746 |
| Mortgage-Backed – 9.2% | Mortgage-Backed – 9.2% |  |
| Fannie Mae, 3%, 11/01/2028 - 9/01/2046  | $1042271 | &nbsp;&nbsp;&nbsp; $988113 |
| Fannie Mae, 6.5%, 6/01/2031 - 1/01/2055  | 527845 | &nbsp;&nbsp;&nbsp; 548802 |
| Fannie Mae, 2.5%, 11/01/2031  | 31854 | &nbsp;&nbsp;&nbsp; 30679 |
| Fannie Mae, 5.5%, 2/01/2033 - 1/01/2055  | 2361476 | &nbsp;&nbsp;&nbsp; 2400977 |
| Fannie Mae, 3%, 2/25/2033 (i) | 145158 | &nbsp;&nbsp;&nbsp; 9073 |
| Fannie Mae, 4.5%, 8/01/2033 - 6/01/2044  | 2546509 | &nbsp;&nbsp;&nbsp; 2521123 |
| Fannie Mae, 5%, 11/01/2033 - 3/01/2041  | 879655 | &nbsp;&nbsp;&nbsp; 887572 |
| Fannie Mae, 6%, 1/01/2034 - 7/01/2037  | 1369143 | &nbsp;&nbsp;&nbsp; 1411287 |
| Fannie Mae, 3.5%, 4/01/2038 - 7/01/2046  | 7256527 | &nbsp;&nbsp;&nbsp; 6831169 |
| Fannie Mae, 3.25%, 5/25/2040  | 52724 | &nbsp;&nbsp;&nbsp; 50101 |
| Fannie Mae, 4%, 9/01/2040 - 6/01/2047  | 5062566 | &nbsp;&nbsp;&nbsp; 4882286 |
| Fannie Mae, 4.661%, 2/25/2045 (n) | 676683 | &nbsp;&nbsp;&nbsp; 675638 |
| Fannie Mae, 2%, 4/25/2046  | 108895 | &nbsp;&nbsp;&nbsp; 101291 |
| Fannie Mae, 4%, 7/25/2046 (i) | 211854 | &nbsp;&nbsp;&nbsp; 38080 |
| Fannie Mae, 5.561%, 11/25/2053  | 1195474 | &nbsp;&nbsp;&nbsp; 1226744 |
| Fannie Mae, UMBS, 2%, 9/01/2035 - 2/01/2052  | 10608729 | &nbsp;&nbsp;&nbsp; 8896670 |
| Fannie Mae, UMBS, 2.5%, 7/01/2037 - 6/01/2052  | 22875180 | &nbsp;&nbsp;&nbsp; 19674166 |
| Fannie Mae, UMBS, 5%, 10/01/2037 - 6/01/2053  | 2866022 | &nbsp;&nbsp;&nbsp; 2839517 |
| Fannie Mae, UMBS, 4.5%, 4/01/2038 - 9/01/2052  | 1377399 | &nbsp;&nbsp;&nbsp; 1338704 |
| Fannie Mae, UMBS, 1.5%, 2/01/2042 - 4/01/2052  | 2323360 | &nbsp;&nbsp;&nbsp; 1806813 |
| Fannie Mae, UMBS, 3%, 6/01/2051 - 8/01/2052  | 7684004 | &nbsp;&nbsp;&nbsp; 6796699 |
| Fannie Mae, UMBS, 3.5%, 7/01/2052  | 20217 | &nbsp;&nbsp;&nbsp; 18674 |
| Fannie Mae, UMBS, 4%, 11/01/2052 - 5/01/2053  | 541336 | &nbsp;&nbsp;&nbsp; 511701 |
| Fannie Mae, UMBS, 5.5%, 11/01/2052 - 11/01/2053  | 6251032 | &nbsp;&nbsp;&nbsp; 6297151 |
| Fannie Mae, UMBS, 6%, 12/01/2052 - 6/01/2055  | 7897198 | &nbsp;&nbsp;&nbsp; 8055740 |
| Fannie Mae, UMBS, 6.5%, 9/01/2054  | 95195 | &nbsp;&nbsp;&nbsp; 98416 |
| Freddie Mac, 0.638%, 6/25/2027 (i) | 13682000 | &nbsp;&nbsp;&nbsp; 117013 |
| Freddie Mac, 0.725%, 6/25/2027 (i) | 4176425 | &nbsp;&nbsp;&nbsp; 26159 |
| Freddie Mac, 0.561%, 7/25/2027 (i) | 11178729 | &nbsp;&nbsp;&nbsp; 62114 |
| Freddie Mac, 0.326%, 8/25/2027 (i) | 9650000 | &nbsp;&nbsp;&nbsp; 48604 |
| Freddie Mac, 0.403%, 8/25/2027 (i) | 6059791 | &nbsp;&nbsp;&nbsp; 30330 |
| Freddie Mac, 0.279%, 9/25/2027 (i) | 10419000 | &nbsp;&nbsp;&nbsp; 52977 |
| Freddie Mac, 0.196%, 11/25/2027 (i) | 16290000 | &nbsp;&nbsp;&nbsp; 52791 |
| Freddie Mac, 0.275%, 11/25/2027 (i) | 10851077 | &nbsp;&nbsp;&nbsp; 40964 |
| Freddie Mac, 0.316%, 11/25/2027 (i) | 9708326 | &nbsp;&nbsp;&nbsp; 41890 |
| Freddie Mac, 0.249%, 12/25/2027 (i) | 10109000 | &nbsp;&nbsp;&nbsp; 43696 |
| Freddie Mac, 0.293%, 12/25/2027 (i) | 11210000 | &nbsp;&nbsp;&nbsp; 60447 |
| Freddie Mac, 0.357%, 12/25/2027 (i) | 16206741 | &nbsp;&nbsp;&nbsp; 92022 |
| Freddie Mac, 1.081%, 7/25/2029 (i) | 797247 | &nbsp;&nbsp;&nbsp; 24836 |
| Freddie Mac, 1.135%, 8/25/2029 (i) | 5043988 | &nbsp;&nbsp;&nbsp; 169853 |
| Freddie Mac, 1.797%, 4/25/2030 (i) | 900000 | &nbsp;&nbsp;&nbsp; 58651 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| Freddie Mac, 1.839%, 4/25/2030 (i) | $2701417 | &nbsp;&nbsp;&nbsp; $179460 |
| Freddie Mac, 1.666%, 5/25/2030 (i) | 1301002 | &nbsp;&nbsp;&nbsp; 82771 |
| Freddie Mac, 1.799%, 5/25/2030 (i) | 3334078 | &nbsp;&nbsp;&nbsp; 223637 |
| Freddie Mac, 1.341%, 6/25/2030 (i) | 1327631 | &nbsp;&nbsp;&nbsp; 67033 |
| Freddie Mac, 1.597%, 8/25/2030 (i) | 1191673 | &nbsp;&nbsp;&nbsp; 73608 |
| Freddie Mac, 1.168%, 9/25/2030 (i) | 775587 | &nbsp;&nbsp;&nbsp; 36201 |
| Freddie Mac, 1.08%, 11/25/2030 (i) | 1356411 | &nbsp;&nbsp;&nbsp; 60695 |
| Freddie Mac, 0.318%, 1/25/2031 (i) | 5260218 | &nbsp;&nbsp;&nbsp; 61724 |
| Freddie Mac, 0.779%, 1/25/2031 (i) | 2233850 | &nbsp;&nbsp;&nbsp; 77500 |
| Freddie Mac, 0.935%, 1/25/2031 (i) | 1493151 | &nbsp;&nbsp;&nbsp; 59042 |
| Freddie Mac, 0.508%, 3/25/2031 (i) | 4246310 | &nbsp;&nbsp;&nbsp; 87409 |
| Freddie Mac, 0.732%, 3/25/2031 (i) | 1837683 | &nbsp;&nbsp;&nbsp; 61455 |
| Freddie Mac, 1.213%, 5/25/2031 (i) | 822353 | &nbsp;&nbsp;&nbsp; 44789 |
| Freddie Mac, 0.937%, 7/25/2031 (i) | 1237840 | &nbsp;&nbsp;&nbsp; 56049 |
| Freddie Mac, 0.505%, 8/25/2031 (i) | 1658080 | &nbsp;&nbsp;&nbsp; 38339 |
| Freddie Mac, 0.536%, 9/25/2031 (i) | 5442448 | &nbsp;&nbsp;&nbsp; 141716 |
| Freddie Mac, 0.854%, 9/25/2031 (i) | 1567181 | &nbsp;&nbsp;&nbsp; 63937 |
| Freddie Mac, 0.349%, 11/25/2031 (i) | 8030040 | &nbsp;&nbsp;&nbsp; 141687 |
| Freddie Mac, 0.496%, 12/25/2031 (i) | 7179988 | &nbsp;&nbsp;&nbsp; 174038 |
| Freddie Mac, 0.566%, 12/25/2031 (i) | 12162189 | &nbsp;&nbsp;&nbsp; 328604 |
| Freddie Mac, 0.285%, 11/25/2032 (i) | 7993697 | &nbsp;&nbsp;&nbsp; 108690 |
| Freddie Mac, 5%, 9/01/2033 - 3/01/2055  | 982576 | &nbsp;&nbsp;&nbsp; 982594 |
| Freddie Mac, 5.5%, 12/01/2033 - 2/01/2037  | 347886 | &nbsp;&nbsp;&nbsp; 352889 |
| Freddie Mac, 6%, 4/01/2034 - 9/01/2055  | 2060511 | &nbsp;&nbsp;&nbsp; 2105227 |
| Freddie Mac, 6.5%, 5/01/2034 - 4/01/2055  | 1727527 | &nbsp;&nbsp;&nbsp; 1791884 |
| Freddie Mac, 4.5%, 4/01/2035 - 5/01/2042  | 413986 | &nbsp;&nbsp;&nbsp; 410220 |
| Freddie Mac, 5.5%, 2/15/2036 (i) | 34424 | &nbsp;&nbsp;&nbsp; 5211 |
| Freddie Mac, 4%, 8/01/2037 - 4/01/2044  | 1580676 | &nbsp;&nbsp;&nbsp; 1527032 |
| Freddie Mac, 3.5%, 11/01/2037 - 10/25/2058  | 3890705 | &nbsp;&nbsp;&nbsp; 3676294 |
| Freddie Mac, 3%, 1/01/2038 - 2/25/2059  | 5940834 | &nbsp;&nbsp;&nbsp; 5423196 |
| Freddie Mac, 4.5%, 12/15/2040 (i) | 11917 | &nbsp;&nbsp;&nbsp; 1096 |
| Freddie Mac, 4%, 8/15/2044 (i) | 31829 | &nbsp;&nbsp;&nbsp; 2588 |
| Freddie Mac, UMBS, 2%, 12/01/2031 - 4/01/2052  | 11573711 | &nbsp;&nbsp;&nbsp; 9460781 |
| Freddie Mac, UMBS, 6.5%, 10/01/2034 - 11/01/2054  | 1257121 | &nbsp;&nbsp;&nbsp; 1314003 |
| Freddie Mac, UMBS, 5%, 10/01/2035 - 8/01/2053  | 1551269 | &nbsp;&nbsp;&nbsp; 1538835 |
| Freddie Mac, UMBS, 6%, 1/01/2036 - 6/01/2054  | 1164159 | &nbsp;&nbsp;&nbsp; 1190299 |
| Freddie Mac, UMBS, 3%, 4/01/2037 - 8/01/2052  | 6831854 | &nbsp;&nbsp;&nbsp; 6022901 |
| Freddie Mac, UMBS, 3.5%, 12/01/2046 - 5/01/2052  | 966560 | &nbsp;&nbsp;&nbsp; 901429 |
| Freddie Mac, UMBS, 4%, 8/01/2047 - 5/01/2052  | 1108533 | &nbsp;&nbsp;&nbsp; 1059659 |
| Freddie Mac, UMBS, 2.5%, 4/01/2048 - 9/01/2052  | 5433783 | &nbsp;&nbsp;&nbsp; 4619622 |
| Freddie Mac, UMBS, 1.5%, 3/01/2051 - 10/01/2051  | 802220 | &nbsp;&nbsp;&nbsp; 621063 |
| Freddie Mac, UMBS, 5.5%, 7/01/2052 - 4/01/2053  | 535346 | &nbsp;&nbsp;&nbsp; 546385 |
| Freddie Mac, UMBS, 4.5%, 10/01/2052  | 2517321 | &nbsp;&nbsp;&nbsp; 2439930 |
| Ginnie Mae, 6%, 9/15/2032 - 1/15/2038  | 601970 | &nbsp;&nbsp;&nbsp; 622846 |
| Ginnie Mae, 5.5%, 5/15/2033 - 3/20/2055  | 6271556 | &nbsp;&nbsp;&nbsp; 6345853 |
| Ginnie Mae, 4.5%, 7/20/2033 - 12/20/2052  | 6197496 | &nbsp;&nbsp;&nbsp; 6048727 |
| Ginnie Mae, 5%, 7/20/2033 - 10/20/2054  | 2298290 | &nbsp;&nbsp;&nbsp; 2286685 |
| Ginnie Mae, 4%, 1/20/2041 - 10/20/2052  | 4033787 | &nbsp;&nbsp;&nbsp; 3836461 |
| Ginnie Mae, 3.889%, 9/20/2041  | 585457 | &nbsp;&nbsp;&nbsp; 576628 |
| Ginnie Mae, 3.5%, 12/15/2041 - 3/20/2048  | 2648795 | &nbsp;&nbsp;&nbsp; 2498006 |
| Ginnie Mae, 3%, 4/20/2045 - 10/20/2052  | 8335992 | &nbsp;&nbsp;&nbsp; 7492595 |
| Ginnie Mae, 2.5%, 8/20/2051 - 4/20/2052  | 10245043 | &nbsp;&nbsp;&nbsp; 8820780 |
| Ginnie Mae, 2%, 1/20/2052 - 3/20/2052  | 8207539 | &nbsp;&nbsp;&nbsp; 6784115 |
| Ginnie Mae, 4.402%, 2/20/2056  | 2079109 | &nbsp;&nbsp;&nbsp; 2075542 |
| Ginnie Mae, 4.522%, 9/20/2065  | 1248571 | &nbsp;&nbsp;&nbsp; 1252125 |
| Ginnie Mae, 4.472%, 2/20/2066  | 1753171 | &nbsp;&nbsp;&nbsp; 1751513 |
| Ginnie Mae, TBA, 5%, 4/21/2056  | 2575000 | &nbsp;&nbsp;&nbsp; 2550029 |
| UMBS, TBA, 3%, 4/13/2056  | 25000 | &nbsp;&nbsp;&nbsp; 21954 |
| UMBS, TBA, 5.5%, 4/13/2056  | 2550000 | &nbsp;&nbsp;&nbsp; 2561745 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Mortgage-Backed – continued | Mortgage-Backed – continued |  |
| UMBS, TBA, 1.5%, 4/25/2056  | $750000 | &nbsp;&nbsp;&nbsp; $578613 |
| UMBS, TBA, 4%, 4/25/2056  | 2800000 | &nbsp;&nbsp;&nbsp; 2641866 |
|  |  | &nbsp;&nbsp;&nbsp; $186767138 |
| Municipals – 0.5% | Municipals – 0.5% | Municipals – 0.5% |
| Massachusetts Educational Financing Authority, Education Loan Rev., Taxable, "A", 6.352%, 7/01/2049  | $2745000 | &nbsp;&nbsp;&nbsp; $2849001 |
| New Jersey Turnpike Authority Rev., Taxable (Build America Bonds), "F", 7.414%, 1/01/2040  | 3685000 | &nbsp;&nbsp;&nbsp; 4355762 |
| Rhode Island Student Loan Authority, Education Loan Rev., Taxable, "1", 6.081%, 12/01/2042  | 1870000 | &nbsp;&nbsp;&nbsp; 1926236 |
| State of Florida, Taxable, "A", 2.154%, 7/01/2030  | 1032000 | &nbsp;&nbsp;&nbsp; 949838 |
|  |  | &nbsp;&nbsp;&nbsp; $10080837 |
| Natural Gas - Distribution – 0.0% | Natural Gas - Distribution – 0.0% | Natural Gas - Distribution – 0.0% |
| NiSource, Inc., 5.65%, 2/01/2045  | $414000 | &nbsp;&nbsp;&nbsp; $400567 |
| Network & Telecom – 0.2% | Network & Telecom – 0.2% | Network & Telecom – 0.2% |
| NTT Finance Corp., 5.502%, 7/16/2035 (n) | $577000 | &nbsp;&nbsp;&nbsp; $585210 |
| Verizon Communications, Inc., 3.15%, 3/22/2030  | 995000 | &nbsp;&nbsp;&nbsp; 947673 |
| Verizon Communications, Inc., 4.812%, 3/15/2039  | 1775000 | &nbsp;&nbsp;&nbsp; 1654556 |
|  |  | &nbsp;&nbsp;&nbsp; $3187439 |
| Non-Global Systemically Important Banks – 0.7% | Non-Global Systemically Important Banks – 0.7% | Non-Global Systemically Important Banks – 0.7% |
| Capital One Financial Corp., 3.273% to 3/01/2029, FLR (SOFR - 1 day + 1.79%) to 3/01/2030  | $4286000 | &nbsp;&nbsp;&nbsp; $4127017 |
| Deutsche Bank AG, 7.146% to 7/13/2026, FLR (SOFR - 1 day + 2.52%) to 7/13/2027  | 838000 | &nbsp;&nbsp;&nbsp; 843653 |
| Deutsche Bank AG, 2.311% to 11/16/2026, FLR (SOFR - 1 day + 1.219%) to 11/16/2027  | 880000 | &nbsp;&nbsp;&nbsp; 868001 |
| Deutsche Bank AG, 6.72% to 1/18/2028, FLR (SOFR - 1 day + 3.18%) to 1/18/2029  | 2335000 | &nbsp;&nbsp;&nbsp; 2419166 |
| Sumitomo Mitsui Financial Group, Inc., 2.472%, 1/14/2029  | 5261000 | &nbsp;&nbsp;&nbsp; 4990566 |
|  |  | &nbsp;&nbsp;&nbsp; $13248403 |
| Pollution Control – 0.3% | Pollution Control – 0.3% | Pollution Control – 0.3% |
| Republic Services, Inc., 1.45%, 2/15/2031  | $804000 | &nbsp;&nbsp;&nbsp; $697109 |
| Waste Management, Inc., 4.875%, 2/15/2034  | 5465000 | &nbsp;&nbsp;&nbsp; 5525999 |
|  |  | &nbsp;&nbsp;&nbsp; $6223108 |
| Real Estate - Other – 0.2% | Real Estate - Other – 0.2% | Real Estate - Other – 0.2% |
| Public Storage Operating, REIT, 5.1%, 8/01/2033  | $4057000 | &nbsp;&nbsp;&nbsp; $4143136 |
| 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  | $162000 | &nbsp;&nbsp;&nbsp; $159801 |
| Brixmor Operating Partnership LP, REIT, 4.05%, 7/01/2030  | 1694000 | &nbsp;&nbsp;&nbsp; 1648177 |
| Realty Income Corp., REIT, 3.25%, 1/15/2031  | 458000 | &nbsp;&nbsp;&nbsp; 430659 |
|  |  | &nbsp;&nbsp;&nbsp; $2238637 |
| Real Estate - Storage & Office – 0.1% | Real Estate - Storage & Office – 0.1% | Real Estate - Storage & Office – 0.1% |
| Boston Properties LP, REIT, 2.55%, 4/01/2032  | $1244000 | &nbsp;&nbsp;&nbsp; $1067501 |
| Refining – 0.1% | Refining – 0.1% | Refining – 0.1% |
| Phillips 66 Co., 2.15%, 12/15/2030  | $2775000 | &nbsp;&nbsp;&nbsp; $2487797 |
| Retail & E-commerce – 0.2% | Retail & E-commerce – 0.2% | Retail & E-commerce – 0.2% |
| Alimentation Couche-Tard, Inc., 3.439%, 5/13/2041 (n) | $2243000 | &nbsp;&nbsp;&nbsp; $1768640 |
| Genuine Parts Co., 2.75%, 2/01/2032  | 3528000 | &nbsp;&nbsp;&nbsp; 3057796 |
|  |  | &nbsp;&nbsp;&nbsp; $4826436 |
| Semiconductor & Electronic Components – 0.1% | Semiconductor & Electronic Components – 0.1% | Semiconductor & Electronic Components – 0.1% |
| Broadcom, Inc., 4.926%, 5/15/2037 (n)  | $2892000 | &nbsp;&nbsp;&nbsp; $2805018 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Software – 0.4% | Software – 0.4% | Software – 0.4% |
| Oracle Corp., 4.9%, 2/06/2033  | $749000 | &nbsp;&nbsp;&nbsp; $709819 |
| Oracle Corp., 5.2%, 9/26/2035  | 2361000 | &nbsp;&nbsp;&nbsp; 2214606 |
| Roper Technologies, Inc., 2%, 6/30/2030  | 1231000 | &nbsp;&nbsp;&nbsp; 1098605 |
| Salesforce, Inc., 5.2%, 3/15/2033  | 1272000 | &nbsp;&nbsp;&nbsp; 1269828 |
| Salesforce, Inc., 5.55%, 3/15/2036  | 1272000 | &nbsp;&nbsp;&nbsp; 1268043 |
| Salesforce, Inc., 6.4%, 3/15/2046  | 848000 | &nbsp;&nbsp;&nbsp; 853871 |
|  |  | &nbsp;&nbsp;&nbsp; $7414772 |
| Telecommunications - Wireless – 0.4% | Telecommunications - Wireless – 0.4% | Telecommunications - Wireless – 0.4% |
| Crown Castle, Inc., REIT, 3.65%, 9/01/2027  | $2426000 | &nbsp;&nbsp;&nbsp; $2396966 |
| Rogers Communications, Inc., 3.8%, 3/15/2032  | 3540000 | &nbsp;&nbsp;&nbsp; 3304545 |
| T-Mobile USA, Inc., 2.05%, 2/15/2028  | 1907000 | &nbsp;&nbsp;&nbsp; 1829142 |
| Vodafone Group PLC, 5.625%, 2/10/2053  | 758000 | &nbsp;&nbsp;&nbsp; 707843 |
|  |  | &nbsp;&nbsp;&nbsp; $8238496 |
| Tobacco – 0.5% | Tobacco – 0.5% | Tobacco – 0.5% |
| B.A.T. International Finance PLC, 4.448%, 3/16/2028  | $4810000 | &nbsp;&nbsp;&nbsp; $4811921 |
| Philip Morris International, Inc., 5.125%, 11/17/2027  | 822000 | &nbsp;&nbsp;&nbsp; 833022 |
| Philip Morris International, Inc., 5.625%, 11/17/2029  | 381000 | &nbsp;&nbsp;&nbsp; 396002 |
| Philip Morris International, Inc., 5.125%, 2/15/2030  | 1417000 | &nbsp;&nbsp;&nbsp; 1445823 |
| Philip Morris International, Inc., 5.75%, 11/17/2032  | 1667000 | &nbsp;&nbsp;&nbsp; 1754883 |
|  |  | &nbsp;&nbsp;&nbsp; $9241651 |
| Transportation & Logistics – 0.0% | Transportation & Logistics – 0.0% | Transportation & Logistics – 0.0% |
| ERAC USA Finance LLC, 7%, 10/15/2037 (n)  | $716000 | &nbsp;&nbsp;&nbsp; $814036 |
| Travel, Gaming, & Lodging – 0.3% | Travel, Gaming, & Lodging – 0.3% | Travel, Gaming, & Lodging – 0.3% |
| GLP Capital LP/GLP Financing II, Inc., 5.3%, 1/15/2029  | $1507000 | &nbsp;&nbsp;&nbsp; $1520070 |
| Las Vegas Sands Corp., 3.9%, 8/08/2029  | 838000 | &nbsp;&nbsp;&nbsp; 807436 |
| Marriott International, Inc., 4.625%, 6/15/2030  | 1994000 | &nbsp;&nbsp;&nbsp; 1994220 |
| Marriott International, Inc., 2.85%, 4/15/2031  | 7000 | &nbsp;&nbsp;&nbsp; 6410 |
| Marriott International, Inc., 2.75%, 10/15/2033  | 1612000 | &nbsp;&nbsp;&nbsp; 1393159 |
|  |  | &nbsp;&nbsp;&nbsp; $5721295 |
| U.S. Treasury Obligations – 10.4% | U.S. Treasury Obligations – 10.4% | U.S. Treasury Obligations – 10.4% |
| U.S. Treasury Bonds, 2.875%, 5/15/2043  | $7596000 | &nbsp;&nbsp;&nbsp; $5833787 |
| U.S. Treasury Bonds, 2.5%, 2/15/2045  | 9797000 | &nbsp;&nbsp;&nbsp; 6870529 |
| U.S. Treasury Bonds, 3%, 11/15/2045  | 3638000 | &nbsp;&nbsp;&nbsp; 2749959 |
| U.S. Treasury Bonds, 2.25%, 8/15/2046  | 46200000 | &nbsp;&nbsp;&nbsp; 30114820 |
| U.S. Treasury Bonds, 2.875%, 5/15/2049  | 900000 | &nbsp;&nbsp;&nbsp; 639844 |
| U.S. Treasury Bonds, 2.25%, 2/15/2052  | 7800000 | &nbsp;&nbsp;&nbsp; 4700719 |
| U.S. Treasury Bonds, 4%, 11/15/2052  | 2700000 | &nbsp;&nbsp;&nbsp; 2319785 |
| U.S. Treasury Bonds, 4.125%, 8/15/2053  | 5100000 | &nbsp;&nbsp;&nbsp; 4472461 |
| U.S. Treasury Bonds, 4.75%, 11/15/2053  | 8000000 | &nbsp;&nbsp;&nbsp; 7778438 |
| U.S. Treasury Bonds, 4.25%, 2/15/2054  | 12900000 | &nbsp;&nbsp;&nbsp; 11555578 |
| U.S. Treasury Bonds, 4.5%, 11/15/2054  | 16900000 | &nbsp;&nbsp;&nbsp; 15788297 |
| U.S. Treasury Notes, 4.5%, 4/15/2027 (f) | 23950000 | &nbsp;&nbsp;&nbsp; 24132337 |
| U.S. Treasury Notes, 3.375%, 12/31/2027  | 2200000 | &nbsp;&nbsp;&nbsp; 2183070 |
| U.S. Treasury Notes, 4.125%, 7/31/2028  | 12500000 | &nbsp;&nbsp;&nbsp; 12585937 |
| U.S. Treasury Notes, 4.25%, 6/30/2029  | 29300000 | &nbsp;&nbsp;&nbsp; 29654805 |
| U.S. Treasury Notes, 3.875%, 4/30/2030  | 9500000 | &nbsp;&nbsp;&nbsp; 9489609 |
| U.S. Treasury Notes, 4.25%, 11/15/2034  | 24100000 | &nbsp;&nbsp;&nbsp; 24093410 |
| U.S. Treasury Notes, 4%, 11/15/2035  | 16300000 | &nbsp;&nbsp;&nbsp; 15900141 |
|  |  | &nbsp;&nbsp;&nbsp; $210863526 |
| Utilities – 0.9% | Utilities – 0.9% | Utilities – 0.9% |
| American Electric Power Co., Inc., 5.95%, 11/01/2032  | $1205000 | &nbsp;&nbsp;&nbsp; $1272054 |
| American Transmission Systems, Inc., 2.65%, 1/15/2032 (n) | 235000 | &nbsp;&nbsp;&nbsp; 210554 |
| Duke Energy Carolinas LLC, 4.95%, 1/15/2033  | 4021000 | &nbsp;&nbsp;&nbsp; 4081718 |

---

------

*Portfolio of Investments (unaudited) – continued*

---

| | | |
|:---|:---|:---|
| **Issuer** | **Shares/Par** | **Value ($)** |
| Bonds – continued  | Bonds – continued  | Bonds – continued  |
| Utilities – continued | Utilities – continued | Utilities – continued |
| Duke Energy Corp., 4.5%, 8/15/2032  | $2858000 | &nbsp;&nbsp;&nbsp; $2812983 |
| Enel Finance International N.V., 4.75%, 5/25/2047 (n) | 392000 | &nbsp;&nbsp;&nbsp; 323924 |
| Exelon Corp., 4.05%, 4/15/2030  | 1543000 | &nbsp;&nbsp;&nbsp; 1511081 |
| Georgia Power Co., 3.7%, 1/30/2050  | 138000 | &nbsp;&nbsp;&nbsp; 100955 |
| Jersey Central Power & Light Co., 2.75%, 3/01/2032 (n) | 873000 | &nbsp;&nbsp;&nbsp; 784243 |
| Jersey Central Power & Light Co., 5.1%, 1/15/2035  | 629000 | &nbsp;&nbsp;&nbsp; 628729 |
| Oncor Electric Delivery Co. LLC, 5.75%, 3/15/2029  | 2007000 | &nbsp;&nbsp;&nbsp; 2078005 |
| Pacific Gas & Electric Co., 2.1%, 8/01/2027  | 453000 | &nbsp;&nbsp;&nbsp; 439032 |
| Pacific Gas & Electric Co., 3%, 6/15/2028  | 1422000 | &nbsp;&nbsp;&nbsp; 1375767 |
| Pacific Gas & Electric Co., 2.5%, 2/01/2031  | 1751000 | &nbsp;&nbsp;&nbsp; 1569255 |
| Pacific Gas & Electric Co., 3.3%, 8/01/2040  | 990000 | &nbsp;&nbsp;&nbsp; 740384 |
| Xcel Energy, Inc., 3.4%, 6/01/2030  | 1034000 | &nbsp;&nbsp;&nbsp; 987296 |
|  |  | &nbsp;&nbsp;&nbsp; $18915980 |
| Utilities - Gas – 0.0% | Utilities - Gas – 0.0% | Utilities - Gas – 0.0% |
| East Ohio Gas Co., 2%, 6/15/2030 (n)  | $1073000 | &nbsp;&nbsp;&nbsp; $963047 |
| **Total Bonds**  |  | &nbsp;&nbsp; **$824383112** |
| Preferred Stocks – 0.5%  | Preferred Stocks – 0.5%  | Preferred Stocks – 0.5%  |
| Consumer Products – 0.5% |  |  |
| Henkel AG & Co. KGaA  | 136807 | &nbsp;&nbsp;&nbsp; $10511245 |
| 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  | 92875 | &nbsp;&nbsp;&nbsp; $6025730 |
| Mutual Funds (h) – 1.2%  | Mutual Funds (h) – 1.2%  | Mutual Funds (h) – 1.2%  |
| Money Market Funds – 1.2% | Money Market Funds – 1.2% |  |
| MFS Institutional Money Market Portfolio, 3.71% (v)  | 25372380 | &nbsp;&nbsp;&nbsp; $25372380 |
| Other Assets, Less Liabilities – (0.1)% |  | &nbsp;&nbsp;&nbsp; (2363878)<br>|
| **Net Assets – 100.0%** | **Net Assets – 100.0%** | &nbsp;&nbsp; **$2032247927** |

---

&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 $25,372,380 and $2,009,239,425, 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 $202,749,537, representing 10.0% 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;(w) When-issued security.

&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 3/31/26** | **Derivative Contracts at 3/31/26** | **Derivative Contracts at 3/31/26** | **Derivative Contracts at 3/31/26** | **Derivative Contracts at 3/31/26** | **Derivative Contracts at 3/31/26** | **Derivative Contracts at 3/31/26** |
| **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; 405 | $84015351 | June – 2026 | &nbsp;&nbsp; $(550390)<br>|
| U.S. Treasury Note 5 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 210 | 22717735 | June – 2026 | &nbsp;&nbsp; (281288)<br>|
| U.S. Treasury Ultra Bond 30 yr | &nbsp;&nbsp; Long | &nbsp;&nbsp; USD | &nbsp;&nbsp; 82 | 9558125 | June – 2026 | &nbsp;&nbsp; (271298)<br>|
|  |  |  |  |  |  | &nbsp;&nbsp; $(1102976)<br>|

---

At March 31, 2026, the fund had liquid securities collateral with an aggregate value of $1,222,231 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**

3/31/26 (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 March 31, 2026 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; $1124285920 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $1124285920 |
| &nbsp;&nbsp;&nbsp; United Kingdom | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 30990593 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 30990593 |
| &nbsp;&nbsp;&nbsp; Germany | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 10511245 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 10511245 |
| &nbsp;&nbsp;&nbsp; Switzerland | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 8070268 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 8070268 |
| &nbsp;&nbsp;&nbsp; Canada | &nbsp;&nbsp;&nbsp; 7164822 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 7164822 |
| &nbsp;&nbsp;&nbsp; Hong Kong | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 3833465 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 3833465 |
| U.S. Treasury Bonds & U.S. Government Agencies & Equivalents | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 210863526 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 210863526 |
| Non - U.S. Sovereign Debt | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 672876 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 672876 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 10080837 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 10080837 |
| U.S. Corporate Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 185665067 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 185665067 |
| Residential Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 210933833 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 210933833 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 30202858 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 30202858 |
| Asset-Backed Securities (including CDOs) | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 96759311 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 96759311 |
| Foreign Bonds | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 79204804 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 79204804 |
| Investment Companies | &nbsp;&nbsp;&nbsp; 25372380 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 25372380 |
| Total | &nbsp;&nbsp;&nbsp; $1156823122 | &nbsp;&nbsp;&nbsp; $877788683 | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $2034611805 |
| **Other Financial Instruments** |  |  |  |  |
| Futures Contracts – Liabilities | &nbsp;&nbsp;&nbsp; $(1102976)<br>| &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp; $(1102976)<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 March 31, 2026:

&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; $7745439 | &nbsp;&nbsp; $116426411 | &nbsp;&nbsp; $98792909 | &nbsp;&nbsp; $(5023)<br>| &nbsp;&nbsp; $(1538)<br>| &nbsp;&nbsp; $25372380<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; $228634 | &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 VARIABLE INSURANCE TRUST

- **b. Investment Company Act file number:** 811-08326

- **c. CIK number of Registrant:** 0000918571

- **d. LEI of Registrant:** 4GB90YGNINHU70MFQX13

- **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 Series

- **b. EDGAR series identifier (if any):** S000002670

- **c. LEI of Series:** DUD8UW8LVR61WPR1K944

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

- **a. Date of fiscal year-end:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $2045003440.32

**Total Liabilities:** $12186692.10

**Net Assets:** $2032816748.22

**Delayed Delivery Securities:** $9701310.67

**Cash Not Reported:** $1179865.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1167.58000000 | **1-Year:** -21774.46000000 | **5-Year:** -83140.95000000 | **10-Year:** -63388.83000000 | **30-Year:** -13879.02000000

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

- **3-Month:** -254.46000000 | **1-Year:** -3006.58000000 | **5-Year:** -1899.79000000 | **10-Year:** -663.50000000 | **30-Year:** -366.27000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007310 | 2.79%                | 2.38%                | -3.67%               |
| Class ID C000007311 | 2.74%                | 2.36%                | -3.65%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $17702698.98             | $36396736.98                               |
| Month 2  | $48166424.22             | $-3462023.52                               |
| Month 3  | $14559368.34             | $-95995591.91                              |

**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        |     63155 | NS      | $7317769.85   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| AIA GROUP LTD                                          | AIA Group Ltd                                                                   | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   2338000 | PA      | $2260535.58   | 0.11%             | 2030-04-07      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| ACORE Issuer, LLC                                      | Acore 2026-FL1 Issuer LLC                                                       | CUSIP: 00485EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2857500 | PA      | $2861132.45   | 0.14%             | 2043-08-20      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Acres PLC                                              | ACRES Commercial Realty 2026-FL4 Issuer LLC                                     | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4080000 | PA      | $4083051.02   | 0.20%             | 2044-08-18      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                               | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2176000 | PA      | $2152747.39   | 0.11%             | 2027-07-21      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                               | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3996000 | PA      | $3951983.42   | 0.19%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                                 | Adventist Health System/West                                                    | CUSIP: 007944AH4<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |   2533000 | PA      | $2572283.08   | 0.13%             | 2032-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                             | Affirm Asset Securitization Trust 2025-X1                                       | CUSIP: 00834MAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58785 | PA      | $58819.66     | 0.00%             | 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        |     49499 | NS      | $5641896.02   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Airbnb Inc                                             | Airbnb Inc                                                                      | CUSIP: 009066101<br>LEI: 549300HMUDNO0RY56D37 | Long             | EC               | CORP              | US        |     40578 | NS      | $5124189.84   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Albertsons Cos Inc                                     | Albertsons Cos Inc                                                              | CUSIP: 013091103<br>LEI: 549300YKWOC0AOR16R51 | Long             | EC               | CORP              | US        |    365600 | NS      | $6229824.00   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| ALCON FINANCE CORP                                     | Alcon Finance Corp                                                              | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    302000 | PA      | $279327.67    | 0.01%             | 2030-05-27      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD                               | Alimentation Couche-Tard Inc                                                    | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   2243000 | PA      | $1768639.35   | 0.09%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F012643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $578613.28    | 0.03%             | 2056-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030645<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $21954.49     | 0.00%             | 2056-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2641866.19   | 0.13%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2550000 | PA      | $2561745.07   | 0.13%             | 2056-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                       | Altria Group Inc                                                                | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |     78293 | NS      | $5166555.07   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Diageo PLC                                             | Diageo PLC                                                                      | CUSIP: 000000000<br>LEI: 213800ZVIELEA55JMJ32 | Long             | EC               | CORP              | GB        |    371777 | NS      | $6907730.96   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                | American Electric Power Co Inc                                                  | CUSIP: 025537AW1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1272053.94   | 0.06%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                               | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    235000 | PA      | $210554.10    | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust 2025-1                                 | CUSIP: 03067FAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    561000 | PA      | $561345.02    | 0.03%             | 2029-03-19      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2024-9                                                 | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |   1175620 | PA      | $1174239.02   | 0.06%             | 2069-09-25      | Variable      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                 | Anglo American Capital PLC                                                      | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1394000 | PA      | $1437458.80   | 0.07%             | 2030-04-01      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                 | Anglo American Capital PLC                                                      | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   4316000 | PA      | $3937650.03   | 0.19%             | 2030-09-10      | Fixed         | 2.63%                 | Yes           |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                 | Anglo American Capital PLC                                                      | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    496000 | PA      | $485987.59    | 0.02%             | 2029-03-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2024-12                                                | CUSIP: 034932AA1<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |   1887882 | PA      | $1896273.46   | 0.09%             | 2069-10-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2024-10                                                | CUSIP: 034933AA9<br>LEI: 254900QN92XYN8GJBJ44 | Long             | ABS-MBS          | CORP              | US        |   2199410 | PA      | $2200929.06   | 0.11%             | 2069-10-25      | Variable      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2025-10                                                | CUSIP: 034940AA4<br>LEI: 254900CFOEUA52TRVZ51 | Long             | ABS-MBS          | CORP              | US        |    695829 | PA      | $692219.33    | 0.03%             | 2070-09-25      | Variable      | 4.96%                 | Yes           |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                               | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBJ6<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   2970000 | PA      | $3711872.47   | 0.18%             | 2039-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                               | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AM2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    746000 | PA      | $694593.39    | 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        |   1872000 | PA      | $1880606.31   | 0.09%             | 2028-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd        | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                          | CUSIP: 03880XAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5076500 | PA      | $5079750.48   | 0.25%             | 2037-01-15      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes              | Arbor Realty Commercial Real Estate Notes 2026-FL1 LLC                          | CUSIP: 03881XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    805882 | PA      | $805879.58    | 0.04%             | 2043-09-20      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes              | Arbor Realty Commercial Real Estate Notes 2026-FL1 LLC                          | CUSIP: 03881XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    249290 | PA      | $249443.21    | 0.01%             | 2043-09-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| ARDN 2025-ARCP Mortgage Trust                          | ARDN 2025-ARCP Mortgage Trust                                                   | CUSIP: 039961AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3949000 | PA      | $3932957.19   | 0.19%             | 2035-06-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| AREIT CRE Trust                                        | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3088500 | PA      | $3075930.39   | 0.15%             | 2037-01-20      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                  | ARI Fleet Lease Trust 2023-B                                                    | CUSIP: 04033GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102204 | PA      | $102727.80    | 0.01%             | 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        |   2709000 | PA      | $2393553.37   | 0.12%             | 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        |   3988000 | PA      | $4043870.17   | 0.20%             | 2032-08-11      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| AutoNation Finance Trust 2025-1                        | AutoNation Finance Trust 2026-1                                                 | CUSIP: 05330WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905000 | PA      | $904203.78    | 0.04%             | 2029-01-11      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Avery Dennison Corp                                    | Avery Dennison Corp                                                             | CUSIP: 053611109<br>LEI: 549300PW7VPFCYKLIV37 | Long             | EC               | CORP              | US        |     36634 | NS      | $6325959.12   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                               | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    682000 | PA      | $681964.58    | 0.03%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                               | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2065000 | PA      | $2041676.61   | 0.10%             | 2027-02-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                               | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    756000 | PA      | $730380.15    | 0.04%             | 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        |   1108000 | PA      | $1062445.05   | 0.05%             | 2030-04-15      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                   | BAT International Finance PLC                                                   | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   4810000 | PA      | $4811920.87   | 0.24%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                | BDS 2025-FL16 LLC                                                               | CUSIP: 05556XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4352693 | PA      | $4352415.73   | 0.21%             | 2043-06-19      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                                     | BSPRT 2022-FL8 Issuer Ltd                                                       | CUSIP: 055983AE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1817000 | PA      | $1812713.52   | 0.09%             | 2037-02-15      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd                                               | BXMT 2021-FL4 Ltd                                                               | CUSIP: 05609GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5214000 | PA      | $5190233.55   | 0.26%             | 2038-05-15      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                       | Bain Capital Credit CLO 2020-3 Ltd                                              | CUSIP: 05684CBJ3<br>LEI: 2549002RK7W6TK0Q0E16 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1996672.00   | 0.10%             | 2034-10-23      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                       | Bain Capital Credit CLO 2020-4 Ltd                                              | CUSIP: 05684KBG1<br>LEI: 254900XLVE4635MESI73 | Long             | ABS-CBDO         | CORP              | JE        |   3189862 | PA      | $3181603.45   | 0.16%             | 2036-10-20      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp                                   | Bank of America Corp                                                            | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |    668501 | NS      | $32589423.75  | 1.60%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                            | CUSIP: 06051GFX2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1361000 | PA      | $1360347.78   | 0.07%             | 2026-04-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3265000 | PA      | $2904932.54   | 0.14%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Bank5                                                  | BANK5 2025-5YR17                                                                | CUSIP: 06211GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1863539 | PA      | $1900523.91   | 0.09%             | 2058-11-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2023-BNK46                                                                 | CUSIP: 06541DBH6<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |   1872416 | PA      | $1947803.03   | 0.10%             | 2056-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mortgage Loan Trust        | Bayview Financial Revolving Asset Trust 2005-E                                  | CUSIP: 073250BW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210855 | PA      | $519143.23    | 0.03%             | 2040-12-28      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Becton Dickinson & Co                                  | Becton Dickinson & Co                                                           | CUSIP: 075887109<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | EC               | CORP              | US        |    220642 | NS      | $34691541.66  | 1.71%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2023-V3 Mortgage Trust                                                | CUSIP: 08163VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134138 | PA      | $138740.66    | 0.01%             | 2056-07-15      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2025-V18 Mortgage Trust                                               | CUSIP: 08164EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1799941 | PA      | $1832860.66   | 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        |     21548 | NS      | $4288698.44   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO/THE                                          | Boeing Co/The                                                                   | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |     92875 | NS      | $6025730.00   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                              | Boeing Co/The                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    883000 | PA      | $853619.41    | 0.04%             | 2050-05-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                          | Boeing Co/The                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1947000 | PA      | $2120950.04   | 0.10%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                          | Boeing Co/The                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    775000 | PA      | $852945.52    | 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        |   1244000 | PA      | $1067501.64   | 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        |   1503000 | PA      | $1400384.94   | 0.07%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                 | BP Capital Markets America Inc                                                  | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   4208000 | PA      | $3802468.94   | 0.19%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| BRAZOS SECURITIZATN LLC                                | Brazos Securitization LLC                                                       | CUSIP: 106230AB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1552000 | PA      | $1539514.10   | 0.08%             | 2040-09-01      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                 | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    162000 | PA      | $159801.03    | 0.01%             | 2029-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                 | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   1694000 | PA      | $1648176.77   | 0.08%             | 2030-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                           | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2892000 | PA      | $2805017.78   | 0.14%             | 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        |   2140000 | PA      | $2019980.18   | 0.10%             | 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        |    519000 | PA      | $518310.57    | 0.03%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                           | Business Jet Securities 2024-1 LLC                                              | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    624102 | PA      | $632310.12    | 0.03%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                               | BX Commercial Mortgage Trust 2025-BCAT                                          | CUSIP: 12433HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2411045 | PA      | $2411043.69   | 0.12%             | 2042-08-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Cigna Group/The                                        | Cigna Group/The                                                                 | CUSIP: 125523100<br>LEI: 549300VIWYMSIGT1U456 | Long             | EC               | CORP              | US        |    117246 | NS      | $31275370.50  | 1.54%             |  |  |  | No            |                  1 | On Loan: No      |
| CIGNA GROUP/THE                                        | Cigna Group/The                                                                 | CUSIP: 125523CJ7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    509000 | PA      | $394332.27    | 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        |     12408 | NS      | $3664702.80   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                               | Capital One Financial Corp                                                      | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   4286000 | PA      | $4127017.09   | 0.20%             | 2030-03-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1063000 | PA      | $1079459.05   | 0.05%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Chesapeake Funding II LLC                              | Chesapeake Funding II LLC                                                       | CUSIP: 165183CU6<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-O            | CORP              | US        |    451638 | PA      | $452288.18    | 0.02%             | 2035-05-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Chevron Corp                                           | Chevron Corp                                                                    | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     72877 | NS      | $15078251.30  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Cognizant Technology Solutions Corp                    | Cognizant Technology Solutions Corp                                             | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |    149826 | NS      | $9191825.10   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2024-5 Mortgage Loan Trust                                                 | CUSIP: 19685AAA7<br>LEI: 213800AWBXHFGYDU9Q16 | Long             | ABS-MBS          | CORP              | US        |   1320631 | PA      | $1318566.53   | 0.06%             | 2069-08-25      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp                                           | Comcast Corp                                                                    | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |    806985 | NS      | $23168539.35  | 1.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754TAB8<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    676683 | PA      | $675638.19    | 0.03%             | 2045-02-25      | Floating      | 4.66%                 | Yes           |                  2 | On Loan: No      |
| ConocoPhillips                                         | ConocoPhillips                                                                  | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |    269030 | NS      | $35511960.00  | 1.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Constellation Brands Inc                               | Constellation Brands Inc                                                        | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |     84806 | NS      | $12720900.00  | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| CONSUMERS 23 SECURE FUND                               | Consumers 2023 Securitization Funding LLC                                       | CUSIP: 21071BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340126 | PA      | $342793.28    | 0.02%             | 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        |   3099000 | PA      | $2906229.15   | 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        |   1248000 | PA      | $1280047.64   | 0.06%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                      | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2575000 | PA      | $2550028.53   | 0.13%             | 2056-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust 2023-3                                        | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161181 | PA      | $161535.35    | 0.01%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| CROWN CASTLE INC                                       | Crown Castle Inc                                                                | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2426000 | PA      | $2396965.58   | 0.12%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Dwight 2025-FL1 Issuer LLC                             | Dwight 2025-FL1 Issuer LLC                                                      | CUSIP: 233636AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2946500 | PA      | $2955590.84   | 0.15%             | 2042-06-18      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines Inc                                    | Delta Air Lines Inc                                                             | CUSIP: 247361702<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | EC               | CORP              | US        |    117360 | NS      | $7802092.80   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK NY                                       | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    880000 | PA      | $868000.90    | 0.04%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                       | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2335000 | PA      | $2419165.89   | 0.12%             | 2029-01-18      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                       | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    838000 | PA      | $843652.50    | 0.04%             | 2027-07-13      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                     | Diageo Capital PLC                                                              | CUSIP: 25243YBB4<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |   2415000 | PA      | $2258338.52   | 0.11%             | 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        |     45213 | NS      | $8942679.27   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                 | Diamondback Energy Inc                                                          | CUSIP: 25278XAZ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1254000 | PA      | $1273056.94   | 0.06%             | 2034-04-18      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                | Dryden 55 CLO Ltd                                                               | CUSIP: 26245MAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    677697 | PA      | $677622.22    | 0.03%             | 2031-04-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                | Dryden 86 CLO Ltd                                                               | CUSIP: 26245XBC0<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |   5134256 | PA      | $5134764.29   | 0.25%             | 2034-07-17      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp                                       | Duke Energy Corp                                                                | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |    125602 | NS      | $16446325.88  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY CORP                                       | Duke Energy Corp                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2858000 | PA      | $2812983.27   | 0.14%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                  | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   4021000 | PA      | $4081718.43   | 0.20%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Elm CLO Ltd                                            | ELM Trust 2024-ELM                                                              | CUSIP: 26860XBA8<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |   2369972 | PA      | $2374554.81   | 0.12%             | 2039-06-10      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| ENI SPA                                                | Eni SpA                                                                         | CUSIP: 26874RAE8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   3793000 | PA      | $3820605.34   | 0.19%             | 2028-09-12      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| ENI SPA                                                | Eni SpA                                                                         | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |   3712000 | PA      | $3802361.55   | 0.19%             | 2034-05-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| ERAC USA FINANCE LLC                                   | ERAC USA Finance LLC                                                            | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    716000 | PA      | $814036.49    | 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        |   2968000 | PA      | $3059811.34   | 0.15%             | 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        |   1073000 | PA      | $963046.74    | 0.05%             | 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              | CORP              | FR        |    629000 | PA      | $672876.62    | 0.03%             | 2053-05-23      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| EMPIRE DISTRICT BONDCO                                 | Empire District Bondco LLC                                                      | CUSIP: 291918AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    989246 | PA      | $1002361.95   | 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        |   2896000 | PA      | $2987192.81   | 0.15%             | 2034-04-05      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                   | ENEL Finance International NV                                                   | CUSIP: 29278GAC2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    392000 | PA      | $323923.80    | 0.02%             | 2047-05-25      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing 2023-3 LLC                                           | CUSIP: 29374LAB6<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |    458365 | PA      | $462486.73    | 0.02%             | 2030-03-20      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing 2024-4 LLC                                           | CUSIP: 29374MAB4<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |    363742 | PA      | $364534.07    | 0.02%             | 2027-07-20      | Fixed         | 4.69%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing 2026-1 LLC                                           | CUSIP: 29376JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1837000 | PA      | $1832293.05   | 0.09%             | 2028-10-20      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Equifax Inc                                            | Equifax Inc                                                                     | CUSIP: 294429105<br>LEI: 5493004MCF8JDC86VS77 | Long             | EC               | CORP              | US        |     18758 | NS      | $3377753.06   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| EQUINIX INC                                            | Equinix Inc                                                                     | CUSIP: 29444UBG0<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1357436.65   | 0.07%             | 2027-07-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                            | Equinix Inc                                                                     | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1931000 | PA      | $1723549.56   | 0.08%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exelon Corp                                            | Exelon Corp                                                                     | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |    175438 | NS      | $8599970.76   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| EXELON CORP                                            | Exelon Corp                                                                     | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1543000 | PA      | $1511081.26   | 0.07%             | 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        |   1450000 | PA      | $1439170.21   | 0.07%             | 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        |    148262 | NS      | $25154130.92  | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                 | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BL5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |   4084000 | PA      | $4189659.82   | 0.21%             | 2032-08-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                                 | Fairfax Financial Holdings Ltd                                                  | CUSIP: 303901BN1<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     88000 | PA      | $91939.14     | 0.00%             | 2033-12-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128KK5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17732 | PA      | $18179.92     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128KKDH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14931 | PA      | $15526.16     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128KQ3H7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85874 | PA      | $89858.63     | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128KQTA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2373 | PA      | $2478.51      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128KSXS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18344 | PA      | $18719.15     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128KTMG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22318 | PA      | $23454.62     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXAE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16117 | PA      | $15971.73     | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8853 | PA      | $8943.38      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXE55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27404 | PA      | $28124.05     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4C43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11967 | PA      | $12217.41     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4ZA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24756 | PA      | $26213.03     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6JU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16916 | PA      | $17096.05     | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7PU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83547 | PA      | $82787.00     | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9LS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413899 | PA      | $392234.70    | 0.02%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9T51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162854 | PA      | $157483.17    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9610 | PA      | $9945.69      | 0.00%             | 2035-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJC81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43607 | PA      | $44061.50     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11614 | PA      | $12197.86     | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15770 | PA      | $16562.43     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJM64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65591 | PA      | $64994.06     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82641 | PA      | $81888.69     | 0.00%             | 2039-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47115 | PA      | $46685.87     | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJS43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87762 | PA      | $82696.32     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425954 | PA      | $400133.85    | 0.02%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8E23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82523 | PA      | $81010.37     | 0.00%             | 2037-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3128P8FJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    423998 | PA      | $399704.86    | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31292H5P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74852 | PA      | $76565.66     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103839 | PA      | $105057.93    | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31292JAL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17858 | PA      | $18077.62     | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31292KER4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38116 | PA      | $40054.88     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 312934M58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177627 | PA      | $179740.11    | 0.01%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 312943UJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407245 | PA      | $393901.57    | 0.02%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 312945AM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    658482 | PA      | $634631.35    | 0.03%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31296R3K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71443 | PA      | $71901.49     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31296RC55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62751 | PA      | $63441.28     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31296UUQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53721 | PA      | $53615.83     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31296WZ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72211 | PA      | $73689.97     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31296XUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13966 | PA      | $14390.48     | 0.00%             | 2034-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31296XVE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10369 | PA      | $10537.14     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31296YLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7422 | PA      | $7681.07      | 0.00%             | 2034-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297B7K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8924 | PA      | $9107.16      | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297BAX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39481 | PA      | $40860.23     | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297C5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22223 | PA      | $22678.15     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297C6G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14909 | PA      | $15372.79     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297DCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9554 | PA      | $9853.02      | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297DDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105447 | PA      | $107606.37    | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297DMD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44407 | PA      | $46017.94     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297DMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18725 | PA      | $19576.21     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297GHS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20676 | PA      | $21662.98     | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297GXJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15607 | PA      | $15788.93     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297NBF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8586 | PA      | $8787.03      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297S5K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13001 | PA      | $13283.22     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297SBU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22661 | PA      | $22883.81     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297UKW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73545 | PA      | $74403.49     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31297VPS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15488 | PA      | $15671.99     | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3131WGQD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15248 | PA      | $15809.00     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3131WGVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19376 | PA      | $19817.07     | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3131WHFH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70412 | PA      | $71087.26     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3131XVRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    718242 | PA      | $671462.99    | 0.03%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132A04J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12927 | PA      | $13458.28     | 0.00%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132A5HA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66857 | PA      | $60146.83     | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132A5HG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    686819 | PA      | $657784.37    | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132A5HP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112685 | PA      | $101287.50    | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DMYS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    384666 | PA      | $297293.40    | 0.01%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DNBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186172 | PA      | $163965.99    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DNXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377028 | PA      | $319410.56    | 0.02%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    515771 | PA      | $526641.93    | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DTZL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    598274 | PA      | $627553.28    | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443795 | PA      | $359197.66    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DWCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106579 | PA      | $82333.06     | 0.00%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8937936 | PA      | $7229495.42   | 0.36%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588450 | PA      | $497151.95    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5329435 | PA      | $4691686.24   | 0.23%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DWDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1614018 | PA      | $1365359.73   | 0.07%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    823524 | PA      | $724976.93    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2517321 | PA      | $2439929.53   | 0.12%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3132DWEN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19574 | PA      | $19743.05     | 0.00%             | 2052-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132GRL58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    513328 | PA      | $485504.33    | 0.02%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132GS6D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    292606 | PA      | $276927.63    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4MM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    302377 | PA      | $291628.13    | 0.01%             | 2037-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132J7RK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199135 | PA      | $182685.45    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132J8ZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160968 | PA      | $147392.37    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132J93Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203748 | PA      | $186446.93    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132J9V88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391769 | PA      | $359035.77    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132JADZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178183 | PA      | $163434.90    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132JAJ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    433623 | PA      | $397256.00    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132JNDC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    949003 | PA      | $893236.93    | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1305418 | PA      | $1196756.63   | 0.06%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132L6HF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269572 | PA      | $260005.52    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132WDYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    462271 | PA      | $418756.92    | 0.02%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132WH5Q4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    605049 | PA      | $548161.63    | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132WHJY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1046894 | PA      | $948680.51    | 0.05%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315703 | PA      | $295442.80    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 3132XVEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173580 | PA      | $155723.53    | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 31334YPZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175023 | PA      | $151553.44    | 0.01%             | 2048-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                           | CUSIP: 31335ALX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118975 | PA      | $117891.59    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133B4H99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    540007 | PA      | $441242.37    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133B6UA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    817064 | PA      | $690723.83    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133BB3C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248318 | PA      | $229965.67    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133BBTH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38895 | PA      | $32866.44     | 0.00%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133BH4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243991 | PA      | $214572.64    | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133BHQL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    341946 | PA      | $339496.72    | 0.02%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133BRSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117618 | PA      | $116480.24    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133BUWC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85037 | PA      | $84044.16     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133BVA54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87394 | PA      | $86581.86     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133BW3Z4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    649762 | PA      | $644400.84    | 0.03%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133CAKL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199100 | PA      | $196744.26    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133CF4A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179381 | PA      | $184332.08    | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133CSLY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1282870 | PA      | $1329758.11   | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133CYSB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95121 | PA      | $98367.15     | 0.00%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133HMG29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130351 | PA      | $123241.72    | 0.01%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133KLHG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310975 | PA      | $241436.64    | 0.01%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133KMSR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212219 | PA      | $171678.31    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133KMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82630 | PA      | $70015.62     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133KMZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    721166 | PA      | $618938.75    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1019509 | PA      | $873601.32    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133KPF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    421714 | PA      | $401875.13    | 0.02%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133KR3G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126980 | PA      | $130192.67    | 0.01%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1309403 | PA      | $1135926.25   | 0.06%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133WDVC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    823174 | PA      | $840148.18    | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3133WJBZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69190 | PA      | $66264.46     | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                               | CUSIP: 3136ABC35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120504 | PA      | $7795.29      | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                               | CUSIP: 3136AEXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24654 | PA      | $1277.77      | 0.00%             | 2033-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                               | CUSIP: 3136ARB31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108895 | PA      | $101290.65    | 0.00%             | 2046-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                               | CUSIP: 3136ASG67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211854 | PA      | $38080.39     | 0.00%             | 2046-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                               | CUSIP: 3136BQUM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195474 | PA      | $1226744.12   | 0.06%             | 2053-11-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31371J5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7951 | PA      | $8220.26      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31371KHY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3477 | PA      | $3637.32      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31371LCC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89982 | PA      | $89778.06     | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31371LEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48856 | PA      | $49368.83     | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31371LJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74701 | PA      | $76316.73     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31371LM63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8178 | PA      | $8455.02      | 0.00%             | 2034-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31376KCV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9789 | PA      | $9905.83      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31376KHJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17686 | PA      | $18028.03     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31376KS98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62677 | PA      | $65380.44     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31376KT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19856 | PA      | $20038.22     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31376KTN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173292 | PA      | $178824.42    | 0.01%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                              | CUSIP: 3137A9RJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34424 | PA      | $5210.66      | 0.00%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                              | CUSIP: 3137ATAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    331904 | PA      | $312763.62    | 0.02%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                              | CUSIP: 3137BJF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72512 | PA      | $69538.19     | 0.00%             | 2039-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                              | CUSIP: 3137BJGN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11917 | PA      | $1096.01      | 0.00%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                              | CUSIP: 3137BSLS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31829 | PA      | $2587.88      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4176425 | PA      | $26159.04     | 0.00%             | 2027-06-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F2LN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13682000 | PA      | $117012.57    | 0.01%             | 2027-06-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F62R7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    775587 | PA      | $36201.07     | 0.00%             | 2030-09-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F84L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1356411 | PA      | $60694.92     | 0.00%             | 2030-11-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9Z38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1493151 | PA      | $59042.33     | 0.00%             | 2031-01-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9ZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2233850 | PA      | $77499.85     | 0.00%             | 2031-01-25      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FAWU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11178729 | PA      | $62113.49     | 0.00%             | 2027-07-25      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6059791 | PA      | $30330.46     | 0.00%             | 2027-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FBC38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9650000 | PA      | $48604.16     | 0.00%             | 2027-08-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FBUB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10419000 | PA      | $52977.49     | 0.00%             | 2027-09-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FCJM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9708326 | PA      | $41890.46     | 0.00%             | 2027-11-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FCJP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10109000 | PA      | $43696.15     | 0.00%             | 2027-12-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FCLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10851077 | PA      | $40963.90     | 0.00%             | 2027-11-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FCLH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16290000 | PA      | $52791.00     | 0.00%             | 2027-11-25      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FDEU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7993697 | PA      | $108689.49    | 0.01%             | 2032-11-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEBS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16206741 | PA      | $92021.88     | 0.00%             | 2027-12-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11210000 | PA      | $60446.56     | 0.00%             | 2027-12-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    797247 | PA      | $24835.76     | 0.00%             | 2029-07-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5043988 | PA      | $169853.27    | 0.01%             | 2029-08-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTG43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $58651.02     | 0.00%             | 2030-04-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTZU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2701417 | PA      | $179459.99    | 0.01%             | 2030-04-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FUZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3334078 | PA      | $223636.62    | 0.01%             | 2030-05-25      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FUZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1301002 | PA      | $82770.53     | 0.00%             | 2030-05-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FVNL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1327631 | PA      | $67033.02     | 0.00%             | 2030-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1191673 | PA      | $73608.09     | 0.00%             | 2030-08-25      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FXZ50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5260218 | PA      | $61723.92     | 0.00%             | 2031-01-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4246310 | PA      | $87409.44     | 0.00%             | 2031-03-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1837683 | PA      | $61454.88     | 0.00%             | 2031-03-25      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H13T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    822353 | PA      | $44788.55     | 0.00%             | 2031-05-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H2NA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1237840 | PA      | $56048.65     | 0.00%             | 2031-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1658079 | PA      | $38339.11     | 0.00%             | 2031-08-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H3EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1567181 | PA      | $63936.60     | 0.00%             | 2031-09-25      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4BT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5442448 | PA      | $141715.90    | 0.01%             | 2031-09-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4CH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8030040 | PA      | $141686.84    | 0.01%             | 2031-11-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4SM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12162189 | PA      | $328604.10    | 0.02%             | 2031-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H5DT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7179988 | PA      | $174037.88    | 0.01%             | 2031-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65000 | PA      | $67770.76     | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6259 | PA      | $6502.34      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31385JMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2637 | PA      | $2726.12      | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31385W2A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17084 | PA      | $17662.35     | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31385XF93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56325 | PA      | $57262.82     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31385XQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69898 | PA      | $71208.36     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31388D4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3269 | PA      | $3379.85      | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31389MRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4352 | PA      | $4498.83      | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31389QXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17875 | PA      | $18479.49     | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138A2AX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144754 | PA      | $138319.77    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138A5GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207157 | PA      | $200120.24    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138A7PB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125108 | PA      | $123815.39    | 0.01%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138AA5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249430 | PA      | $246850.34    | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138ABYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95365 | PA      | $94379.25     | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138AM6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41216 | PA      | $39065.70     | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138E2LH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453989 | PA      | $429697.73    | 0.02%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138EHGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159734 | PA      | $154273.98    | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138EK6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338811 | PA      | $327013.83    | 0.02%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138ENAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136041 | PA      | $134634.31    | 0.01%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138ENEK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1178009 | PA      | $1165828.33   | 0.06%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138ENSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53057 | PA      | $52508.77     | 0.00%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138EPS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33377 | PA      | $32228.65     | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138EPUM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69796 | PA      | $69074.48     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138EQ7L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136153 | PA      | $131498.85    | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138EQTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111548 | PA      | $110207.55    | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138ER5E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274236 | PA      | $264717.35    | 0.01%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138ERCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79650 | PA      | $76885.18     | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138ETDS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99329 | PA      | $95714.17     | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138LQ2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116239 | PA      | $112233.57    | 0.01%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138MBH82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145328 | PA      | $140320.82    | 0.01%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138W9A75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131858 | PA      | $127285.84    | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138WAFE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46790 | PA      | $46186.88     | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138WD3L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912208 | PA      | $861196.54    | 0.04%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138WDKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105855 | PA      | $101954.37    | 0.01%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138WEVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168638 | PA      | $158350.54    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138WEXT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183234 | PA      | $172057.17    | 0.01%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138WFPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815645 | PA      | $765886.80    | 0.04%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138WFUW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277130 | PA      | $260224.14    | 0.01%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138WGHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228382 | PA      | $214679.16    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138WHNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    825931 | PA      | $773632.29    | 0.04%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138X13A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    326067 | PA      | $307203.74    | 0.02%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138X6UA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999547 | PA      | $939854.13    | 0.05%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138YUH79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8364 | PA      | $8184.34      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3138YWJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391384 | PA      | $368410.19    | 0.02%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31390PGK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32717 | PA      | $33824.16     | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                               | CUSIP: 31398RDA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52724 | PA      | $50100.86     | 0.00%             | 2040-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                               | CUSIP: 31398T7G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68448 | PA      | $67701.90     | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                              | CUSIP: 31398W3B8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99769 | PA      | $100855.47    | 0.00%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31400HAZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5325 | PA      | $5352.27      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31400RW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1563 | PA      | $1588.95      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31401KVB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3829 | PA      | $3848.73      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31401L6S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28277 | PA      | $28525.49     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31401XPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43449 | PA      | $43686.03     | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31402CP30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22457 | PA      | $22823.02     | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31402CU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45044 | PA      | $45377.31     | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31402DF54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16618 | PA      | $16679.62     | 0.00%             | 2034-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31402DJR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64494 | PA      | $64975.10     | 0.00%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31402RJV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27170 | PA      | $27377.18     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31403FQY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4991 | PA      | $5037.86      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31403QPM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51483 | PA      | $52479.83     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31403QPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122987 | PA      | $125414.42    | 0.01%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31403YT78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30380 | PA      | $30967.90     | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404AHA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8174 | PA      | $8215.04      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404BNP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60329 | PA      | $61497.49     | 0.00%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404CMC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11907 | PA      | $11967.10     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404EPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10005 | PA      | $10199.18     | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404FYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15516 | PA      | $15594.67     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404LQM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14393 | PA      | $14465.52     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404LSA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22902 | PA      | $23017.66     | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404MBT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9896 | PA      | $9946.06      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404P6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13577 | PA      | $13727.28     | 0.00%             | 2034-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404QM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23288 | PA      | $23405.71     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404QW70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14452 | PA      | $14525.26     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404QYR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27958 | PA      | $28099.33     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404RRD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26394 | PA      | $26904.93     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404T4V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19430 | PA      | $19528.01     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404T5C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8534 | PA      | $8713.01      | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404U5K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101003 | PA      | $103368.49    | 0.01%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404WRQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26464 | PA      | $26724.12     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404WXR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16113 | PA      | $16872.69     | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404XS39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40343 | PA      | $40546.11     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31404YM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6826 | PA      | $6860.00      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405CJ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32973 | PA      | $33795.37     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405CMV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39341 | PA      | $40102.93     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405DQU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21125 | PA      | $21231.05     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405DWE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48923 | PA      | $49213.94     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405FTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24910 | PA      | $25392.59     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405FXF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18417 | PA      | $18793.52     | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405FZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36855 | PA      | $38211.42     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405GRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6918 | PA      | $7074.42      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405HBL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15465 | PA      | $15767.74     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405HL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25531 | PA      | $26025.67     | 0.00%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405KD73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17631 | PA      | $17719.73     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405KSX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1709 | PA      | $1717.64      | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405KU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11776 | PA      | $12174.36     | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405KUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60764 | PA      | $63365.31     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405MJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45586 | PA      | $46468.88     | 0.00%             | 2034-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405MW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6872 | PA      | $7034.30      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405MWQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35276 | PA      | $36556.91     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405MWY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1781 | PA      | $1790.17      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405MZF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49751 | PA      | $50002.03     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405N2Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38355 | PA      | $38547.96     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405N4M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40040 | PA      | $40241.64     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405PGR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15961 | PA      | $16041.14     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405PJV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38038 | PA      | $38229.66     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405PNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52630 | PA      | $53189.45     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405RR65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14337 | PA      | $14769.54     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405RVK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13211 | PA      | $13277.63     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405T3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25610 | PA      | $26552.59     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405UL72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21179 | PA      | $21285.59     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405VJP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46996 | PA      | $47906.32     | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405WUU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44192 | PA      | $44415.12     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405XDY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139874 | PA      | $143961.76    | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31405XTJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39130 | PA      | $39350.98     | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406B2L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44758 | PA      | $45608.30     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406B2N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27907 | PA      | $28047.51     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406BYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38805 | PA      | $40043.45     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406FK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11554 | PA      | $11822.05     | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406J2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107004 | PA      | $110419.02    | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406LYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58226 | PA      | $58744.23     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406NYG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14813 | PA      | $15141.69     | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406PDM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117068 | PA      | $120284.52    | 0.01%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406S3H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43050 | PA      | $44308.07     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406TAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83368 | PA      | $85699.53     | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406TGE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32020 | PA      | $33490.82     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31406V2P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59033 | PA      | $59538.44     | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407B3J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67164 | PA      | $67780.30     | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407BTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7060 | PA      | $7119.96      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407CD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45991 | PA      | $46394.17     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407CRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56166 | PA      | $56509.92     | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407HQF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7934 | PA      | $8220.70      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407HWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24447 | PA      | $25660.60     | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407HWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16328 | PA      | $17071.21     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407HZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7055 | PA      | $7380.66      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407J4F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4711 | PA      | $4860.89      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407JUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12785 | PA      | $13171.50     | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407K4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27409 | PA      | $27547.24     | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407PYP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21040 | PA      | $21947.96     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407QRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31082 | PA      | $31802.01     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407TH78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14951 | PA      | $15102.81     | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407VTF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41932 | PA      | $43556.47     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31407YD63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57537 | PA      | $60189.46     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31408DV50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62619 | PA      | $65322.91     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31408ENZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48008 | PA      | $49390.67     | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31408EW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38431 | PA      | $39844.58     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31408GFA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58072 | PA      | $60920.14     | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31409AGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54120 | PA      | $56086.12     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31409VYW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19529 | PA      | $20302.57     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140A0MB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126118 | PA      | $126929.86    | 0.01%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140A1FV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1984025 | PA      | $1999589.03   | 0.10%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140A5FH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23105 | PA      | $23886.73     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140A84J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68240 | PA      | $70585.09     | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140AD6B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2674393 | PA      | $2728084.43   | 0.13%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140BCVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4114828 | PA      | $4195741.77   | 0.21%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140E0X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372577 | PA      | $359844.29    | 0.02%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140EU7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    259411 | PA      | $243253.03    | 0.01%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140F5BK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31854 | PA      | $30678.71     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140FDVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200550 | PA      | $181511.70    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140H87F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9400 | PA      | $9037.34      | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140HF7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92747 | PA      | $79976.87     | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140HHFV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7616 | PA      | $7349.73      | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140HMPP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7005 | PA      | $6786.06      | 0.00%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140HPAR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248479 | PA      | $240973.05    | 0.01%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140JGTJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9177 | PA      | $8883.29      | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140K5AX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112683 | PA      | $96567.86     | 0.00%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140KE2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61173 | PA      | $52784.02     | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140KFYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64900 | PA      | $56036.84     | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140KGJG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169146 | PA      | $145409.45    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140L1Y41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206953 | PA      | $170230.40    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MF4H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83850 | PA      | $81307.07     | 0.00%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MGE98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36927 | PA      | $32696.10     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MGEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105796 | PA      | $89449.42     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MHHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39323 | PA      | $34606.97     | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MHS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1163051 | PA      | $993254.02    | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MHS42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528517 | PA      | $451038.85    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MHTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32629 | PA      | $28701.35     | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MJE68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509732 | PA      | $430724.18    | 0.02%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MMAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168776 | PA      | $148539.88    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MNM37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258156 | PA      | $228194.84    | 0.01%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140MRAH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20217 | PA      | $18674.15     | 0.00%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140N0CA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    454848 | PA      | $458809.76    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140N24Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480690 | PA      | $467847.73    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140N55Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1639985 | PA      | $1654102.69   | 0.08%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140N8EQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17325 | PA      | $17428.33     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140NG3L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2028731 | PA      | $2040291.13   | 0.10%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140NGC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351452 | PA      | $348132.27    | 0.02%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140NGTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780815 | PA      | $772362.95    | 0.04%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140NKC74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58428 | PA      | $58030.73     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QDT38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489882 | PA      | $420173.69    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QEAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379099 | PA      | $325274.25    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QES60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86826 | PA      | $80102.09     | 0.00%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QEWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234297 | PA      | $201499.48    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QFA66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    911007 | PA      | $783239.51    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QFLK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289251 | PA      | $243447.35    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QKNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2899053 | PA      | $2439960.59   | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394520 | PA      | $335155.33    | 0.02%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QKY77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303284 | PA      | $272769.61    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1217858 | PA      | $1041494.40   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QQ6V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38644 | PA      | $38947.88     | 0.00%             | 2037-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QRM42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252076 | PA      | $258504.53    | 0.01%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QRUM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68697 | PA      | $68074.38     | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140QSXP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20910 | PA      | $19765.95     | 0.00%             | 2053-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140W1KH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53715 | PA      | $55604.74     | 0.00%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140X54P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754056 | PA      | $645701.17    | 0.03%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140X5XN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371414 | PA      | $318238.20    | 0.02%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XCAK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315324 | PA      | $270562.96    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XCST6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1132503 | PA      | $877213.95    | 0.04%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XDY67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030730 | PA      | $883220.12    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XDYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    968353 | PA      | $832861.38    | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XEAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    988593 | PA      | $878931.88    | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    954871 | PA      | $820040.79    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XFL25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140600 | PA      | $124177.88    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XFLN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830238 | PA      | $742019.87    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XGQ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281351 | PA      | $247478.99    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XGQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    896157 | PA      | $795509.39    | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XGU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51188 | PA      | $45056.97     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1115335 | PA      | $905735.01    | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XHKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861342 | PA      | $665392.62    | 0.03%             | 2052-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XHZC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850461 | PA      | $748478.44    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XJJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    962832 | PA      | $910498.96    | 0.04%             | 2037-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XK2K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395116 | PA      | $347480.65    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140XKJJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    632149 | PA      | $626551.26    | 0.03%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 3140Y65R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131004 | PA      | $131664.32    | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31410F5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126887 | PA      | $127946.87    | 0.01%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31410LDU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45376 | PA      | $44907.22     | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31410LK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143445 | PA      | $138494.83    | 0.01%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31411CKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4142 | PA      | $4287.56      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31411GNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68503 | PA      | $72036.01     | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31411GSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26861 | PA      | $27963.76     | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31411VC31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63417 | PA      | $64782.02     | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31412V4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20324 | PA      | $20717.71     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31412V4L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27243 | PA      | $28500.50     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31413F7J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19992 | PA      | $20383.14     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31413GAG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22905 | PA      | $23822.57     | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31415AVB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68003 | PA      | $69455.99     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31415PNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8235 | PA      | $8441.42      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31416BW87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282655 | PA      | $280296.38    | 0.01%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31416QUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36169 | PA      | $36423.30     | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31416XV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59112 | PA      | $59687.60     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417AVY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112524 | PA      | $106258.82    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417AYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605918 | PA      | $585107.96    | 0.03%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417AYG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100240 | PA      | $96791.80     | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417AYH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155545 | PA      | $150162.35    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417AYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338071 | PA      | $326406.93    | 0.02%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417EN98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205028 | PA      | $193081.45    | 0.01%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417F3J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272366 | PA      | $256496.26    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417G2Y1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339414 | PA      | $319145.41    | 0.02%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417GQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    232510 | PA      | $219009.86    | 0.01%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417NB67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56997 | PA      | $57660.02     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417SBP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44532 | PA      | $45006.17     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417SBQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59450 | PA      | $60082.41     | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31417TNK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68940 | PA      | $68098.03     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418C5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115251 | PA      | $111600.34    | 0.01%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403891 | PA      | $383820.07    | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418CM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126980 | PA      | $119915.66    | 0.01%             | 2037-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418CRF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224896 | PA      | $211074.32    | 0.01%             | 2037-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418CV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211903 | PA      | $203665.83    | 0.01%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418CZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37763 | PA      | $36610.88     | 0.00%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136162 | PA      | $110349.33    | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379353 | PA      | $307338.33    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119544 | PA      | $96819.46     | 0.00%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418DKQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1408465 | PA      | $1198975.46   | 0.06%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145654 | PA      | $112836.22    | 0.01%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    628180 | PA      | $510404.11    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418E7B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    855901 | PA      | $873408.90    | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574141 | PA      | $486401.23    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68256 | PA      | $52728.01     | 0.00%             | 2052-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368199 | PA      | $311587.63    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115605 | PA      | $98642.15     | 0.00%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1883821 | PA      | $1634024.75   | 0.08%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2870825 | PA      | $2323584.11   | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EBS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    973076 | PA      | $823766.68    | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1171464 | PA      | $1015265.30   | 0.05%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    903670 | PA      | $811922.64    | 0.04%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1093707 | PA      | $923844.40    | 0.05%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2010265 | PA      | $1742819.12   | 0.09%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1415619 | PA      | $1271098.02   | 0.06%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418ED56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55864 | PA      | $47274.90     | 0.00%             | 2052-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1102147 | PA      | $932686.85    | 0.05%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2411205 | PA      | $2122055.86   | 0.10%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    751991 | PA      | $728949.51    | 0.04%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418EKS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520426 | PA      | $491935.24    | 0.02%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234496 | PA      | $232431.65    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418ERL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60868 | PA      | $60599.07     | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    701341 | PA      | $694986.13    | 0.03%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418FCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95195 | PA      | $98416.10     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31418FEU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27053 | PA      | $27968.09     | 0.00%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31419ANB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246023 | PA      | $237767.51    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31419B5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265355 | PA      | $256396.15    | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31419CSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41202 | PA      | $40746.87     | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31419HBF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31488 | PA      | $31748.28     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31419JS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50155 | PA      | $50643.31     | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31419JSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166251 | PA      | $160569.50    | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                 | CUSIP: 31419LZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224320 | PA      | $216654.82    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 31426KB96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124025 | PA      | $128291.63    | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 31427NMZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    645920 | PA      | $672992.47    | 0.03%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3142J6AC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422236 | PA      | $416590.18    | 0.02%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                | CUSIP: 3142J6BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1625000 | PA      | $1656846.12   | 0.08%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services Inc             | Fidelity National Information Services Inc                                      | CUSIP: 31620M106<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | EC               | CORP              | US        |    221032 | NS      | $10368611.12  | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Fiserv Inc                                             | Fiserv Inc                                                                      | CUSIP: 337738108<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | EC               | CORP              | US        |     74958 | NS      | $4182656.40   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| FISERV INC                                             | Fiserv Inc                                                                      | CUSIP: 337738BC1<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    690000 | PA      | $628283.62    | 0.03%             | 2030-06-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp             | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                        | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |   1032000 | PA      | $949838.15    | 0.05%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Flowserve Corp                                         | Flowserve Corp                                                                  | CUSIP: 34354P105<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | EC               | CORP              | US        |     62756 | NS      | $4613193.56   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258169 | PA      | $245725.24    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4                   | CUSIP: 35563PMN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    283685 | PA      | $249621.23    | 0.01%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36177MPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85353 | PA      | $80228.19     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610190 | PA      | $578235.26    | 0.03%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453054 | PA      | $429339.77    | 0.02%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89998 | PA      | $81399.64     | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179RBW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200158 | PA      | $181843.21    | 0.01%             | 2045-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97229 | PA      | $88142.29     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179SLR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    246322 | PA      | $223301.34    | 0.01%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179TLR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1055670 | PA      | $954135.37    | 0.05%             | 2047-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    904403 | PA      | $849892.81    | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1913324 | PA      | $1730445.93   | 0.09%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179TSF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201577 | PA      | $182189.97    | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25087 | PA      | $23512.95     | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2616942 | PA      | $2252906.34   | 0.11%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155919 | PA      | $139298.17    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2238090 | PA      | $1999542.73   | 0.10%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    697121 | PA      | $623122.40    | 0.03%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    746742 | PA      | $642831.44    | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2910291 | PA      | $2506376.42   | 0.12%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295641 | PA      | $264125.42    | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2139322 | PA      | $1768302.15   | 0.09%             | 2052-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5113733 | PA      | $4226863.64   | 0.21%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    954484 | PA      | $788948.50    | 0.04%             | 2052-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3971068 | PA      | $3418666.54   | 0.17%             | 2052-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    675833 | PA      | $639185.14    | 0.03%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179XFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485463 | PA      | $459349.68    | 0.02%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3987889 | PA      | $3883424.89   | 0.19%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179XHV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1144943 | PA      | $1025049.85   | 0.05%             | 2052-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179XHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1864475 | PA      | $1766243.75   | 0.09%             | 2052-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179XNE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1317630 | PA      | $1282708.72   | 0.06%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1738754 | PA      | $1729534.73   | 0.09%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108897 | PA      | $108592.51    | 0.01%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179XTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1414681 | PA      | $1432064.55   | 0.07%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36179YHS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1963707 | PA      | $1995267.42   | 0.10%             | 2053-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36180AB93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    350616 | PA      | $347700.01    | 0.02%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36180ACA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255091 | PA      | $257126.01    | 0.01%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1507000 | PA      | $1520070.21   | 0.07%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 3618N5GP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401909 | PA      | $405008.54    | 0.02%             | 2055-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 3618N5JD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1917612 | PA      | $1932235.54   | 0.10%             | 2055-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36200ACT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18066 | PA      | $18892.56     | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36200J6N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5413 | PA      | $5475.62      | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36200JA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88199 | PA      | $91499.59     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36200MJ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84088 | PA      | $86078.31     | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36200NGF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23587 | PA      | $23785.44     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36200NTS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70265 | PA      | $70860.60     | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36200WJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17969 | PA      | $18229.44     | 0.00%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36201DBT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6497 | PA      | $6730.55      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36201U6P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15027 | PA      | $15074.56     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36201VBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3971 | PA      | $3931.28      | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36201XAB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       489 | PA      | $487.72       | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36201YED4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57265 | PA      | $57827.66     | 0.00%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36201YMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58283 | PA      | $59461.40     | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202DYJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6282 | PA      | $6235.94      | 0.00%             | 2033-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202DYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5682 | PA      | $5723.27      | 0.00%             | 2033-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43030 | PA      | $42704.10     | 0.00%             | 2033-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202EBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20722 | PA      | $20544.81     | 0.00%             | 2034-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202ECB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60242 | PA      | $63061.29     | 0.00%             | 2035-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202ECQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39096 | PA      | $40586.29     | 0.00%             | 2035-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202EDF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20529 | PA      | $21182.72     | 0.00%             | 2035-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202EDG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34987 | PA      | $36652.07     | 0.00%             | 2035-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18923 | PA      | $18194.67     | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151342 | PA      | $145645.04    | 0.01%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    612874 | PA      | $589869.19    | 0.03%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162103 | PA      | $160718.41    | 0.01%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                              | CUSIP: 36202FSD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119704 | PA      | $115173.27    | 0.01%             | 2041-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36205F4W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3867 | PA      | $4001.20      | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 3620A9WQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19901 | PA      | $19787.38     | 0.00%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 3620AFWD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    253138 | PA      | $250513.33    | 0.01%             | 2040-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 3620AMD58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72159 | PA      | $71125.44     | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36213FTG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90624 | PA      | $91502.75     | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36225B2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66915 | PA      | $68580.97     | 0.00%             | 2033-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36241L4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222169 | PA      | $218395.20    | 0.01%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust 2023-2                                        | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20438 | PA      | $20472.33     | 0.00%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36290RYF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47185 | PA      | $48065.33     | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36290VHK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36857 | PA      | $37097.72     | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36290VVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8510 | PA      | $8702.82      | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36291ADH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3794 | PA      | $3750.23      | 0.00%             | 2033-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36291F4X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20323 | PA      | $20962.22     | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36291T3Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14130 | PA      | $14231.29     | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36295PM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141481 | PA      | $148174.35    | 0.01%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                               | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570708 | PA      | $536796.84    | 0.03%             | 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        |     35996 | NS      | $12354547.12  | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| GENUINE PARTS CO                                       | Genuine Parts Co                                                                | CUSIP: 372460AC9<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |   3528000 | PA      | $3057796.31   | 0.15%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                       | Georgia Power Co                                                                | CUSIP: 373334KN0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    138000 | PA      | $100954.66    | 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        |   1602000 | PA      | $1456766.40   | 0.07%             | 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        |    670000 | PA      | $609817.02    | 0.03%             | 2031-04-27      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                    | Global Payments Inc                                                             | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    778000 | PA      | $681714.06    | 0.03%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                   | GMACM Home Equity Loan Trust 2006-HE3                                           | CUSIP: 38012TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49388 | PA      | $49458.24     | 0.00%             | 2036-10-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group Inc/The                            | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     15433 | NS      | $13056163.67  | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2135000 | PA      | $1986026.28   | 0.10%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2678000 | PA      | $2364067.92   | 0.12%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                        | CUSIP: 38377YEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105172 | PA      | $102800.41    | 0.01%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                        | CUSIP: 38378CP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69681 | PA      | $69813.67     | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                        | CUSIP: 38383BSH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1248571 | PA      | $1252124.61   | 0.06%             | 2065-09-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                        | CUSIP: 38383WQB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    585457 | PA      | $576628.10    | 0.03%             | 2041-09-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                        | CUSIP: 38385MGR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2079109 | PA      | $2075541.86   | 0.10%             | 2056-02-20      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                        | CUSIP: 38385NFG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1753171 | PA      | $1751513.45   | 0.09%             | 2066-02-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Estate Notes                 | Greystone CRE Notes 2025-FL4 LLC                                                | CUSIP: 39810MAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    548500 | PA      | $548760.54    | 0.03%             | 2043-01-15      | Floating      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| HCA INC                                                | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1827000 | PA      | $1721805.38   | 0.08%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                      | HSBC Holdings PLC                                                               | CUSIP: 404280CQ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    922000 | PA      | $839838.64    | 0.04%             | 2031-03-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Honeywell International Inc                            | Honeywell International Inc                                                     | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |     52179 | NS      | $11794019.37  | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Humana Inc                                             | Humana Inc                                                                      | CUSIP: 444859102<br>LEI: 529900YLDW34GJAO4J06 | Long             | EC               | CORP              | US        |     30813 | NS      | $5342666.07   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| HUMANA INC                                             | Humana Inc                                                                      | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1238000 | PA      | $1264967.54   | 0.06%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                | Hyundai Auto Lease Securitization Trust 2025-B                                  | CUSIP: 44935DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020793 | PA      | $1022851.11   | 0.05%             | 2027-09-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Intel Corp                                             | Intel Corp                                                                      | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |    232416 | NS      | $10256518.08  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                               | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   2038000 | PA      | $1853646.60   | 0.09%             | 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        |     78404 | NS      | $23063320.64  | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                             | CUSIP: 46647PAN6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    947000 | PA      | $727198.22    | 0.04%             | 2049-01-23      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    482000 | PA      | $449114.89    | 0.02%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4660000 | PA      | $4142335.47   | 0.20%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1795000 | PA      | $1628464.62   | 0.08%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                             | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4076000 | PA      | $4245501.03   | 0.21%             | 2035-04-22      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2026-NQM1                                              | CUSIP: 46660DAE5<br>LEI: 529900PEVYDPZXGGUW77 | Long             | ABS-MBS          | CORP              | US        |    456138 | PA      | $451278.75    | 0.02%             | 2066-06-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                | Jersey Central Power & Light Co                                                 | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    873000 | PA      | $784242.57    | 0.04%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    629000 | PA      | $628729.39    | 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        |    115025 | NS      | $28116711.00  | 1.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Kenvue Inc                                             | Kenvue Inc                                                                      | CUSIP: 49177J102<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | EC               | CORP              | US        |   1768940 | NS      | $30496525.60  | 1.50%             |  |  |  | No            |                  1 | On Loan: No      |
| KENVUE INC                                             | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    778000 | PA      | $784260.85    | 0.04%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| LKQ Corp                                               | LKQ Corp                                                                        | CUSIP: 501889208<br>LEI: DS830JTTZQN6GK0I2E41 | Long             | EC               | CORP              | US        |    346168 | NS      | $10166954.16  | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| LPL HOLDINGS INC                                       | LPL Holdings Inc                                                                | CUSIP: 50212YAF1<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   4012000 | PA      | $3837703.72   | 0.19%             | 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        |    362000 | PA      | $379267.03    | 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        |     54288 | NS      | $18737503.20  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Henkel AG & Co KGaA                                    | Henkel AG & Co KGaA                                                             | CUSIP: 000000000<br>LEI: 549300VZCL1HTH4O4Y49 | Long             | EP               | CORP              | DE        |    136807 | NS      | $10511244.54  | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                   | Las Vegas Sands Corp                                                            | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    838000 | PA      | $807435.79    | 0.04%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Lear Corp                                              | Lear Corp                                                                       | CUSIP: 521865204<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | EC               | CORP              | US        |    137863 | NS      | $16692452.04  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Leidos Holdings Inc                                    | Leidos Holdings Inc                                                             | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |     21432 | NS      | $3333104.64   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                               | Liberty Mutual Group Inc                                                        | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   1099000 | PA      | $797646.76    | 0.04%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                         | LoanCore 2021-CRE5 Issuer Ltd                                                   | CUSIP: 53947XAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1354062 | PA      | $1352507.21   | 0.07%             | 2036-07-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust            | MF1 2022-FL8 Ltd                                                                | CUSIP: 55284JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2251053 | PA      | $2250818.67   | 0.11%             | 2037-02-19      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust            | MF1 2024-FL16                                                                   | CUSIP: 55287EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4793900 | PA      | $4809824.86   | 0.24%             | 2039-11-18      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust            | MF1 2025-FL17 LLC                                                               | CUSIP: 55287HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2700000 | PA      | $2700828.90   | 0.13%             | 2040-02-18      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust            | MF1 2025-FL19 LLC                                                               | CUSIP: 55287KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2057523 | PA      | $2060503.32   | 0.10%             | 2042-05-18      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust            | MF1 2026-FL21 LLC                                                               | CUSIP: 55287NAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2229299 | PA      | $2230429.70   | 0.11%             | 2041-02-18      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| MFS Institutional Money Market Portfolio               | MFS Institutional Money Market Portfolio                                        | CUSIP: 55291X109<br>LEI: 5L2W638H85N8T1136O07 | Long             | EC               | RF                | US        |  25300710 | NS      | $25300709.73  | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| MSWF Commercial Mortgage Trust                         | MSWF Commercial Mortgage Trust 2023-2                                           | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2080986 | PA      | $2207381.76   | 0.11%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                      | Magnetite XIX Ltd                                                               | CUSIP: 55954KAY1<br>LEI: 5493000OP4ZUZOOM1U45 | Long             | ABS-CBDO         | CORP              | KY        |    889810 | PA      | $887712.72    | 0.04%             | 2034-04-17      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| MARS INC                                               | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   4183000 | PA      | $4222825.30   | 0.21%             | 2035-03-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                               | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748CF7<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   2553000 | PA      | $2528867.90   | 0.12%             | 2036-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                 | Marriott International Inc/MD                                                   | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   1994000 | PA      | $1994219.84   | 0.10%             | 2030-06-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                 | Marriott International Inc/MD                                                   | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6409.88      | 0.00%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                 | Marriott International Inc/MD                                                   | CUSIP: 571903BH5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   1612000 | PA      | $1393159.12   | 0.07%             | 2033-10-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                               | Martin Marietta Materials Inc                                                   | CUSIP: 573284AV8<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    179000 | PA      | $165568.21    | 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        |    266588 | NS      | $16093917.56  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| MASCO CORP                                             | Masco Corp                                                                      | CUSIP: 574599BQ8<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |   3622000 | PA      | $3191596.51   | 0.16%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority          | MASSACHUSETTS ST EDUCTNL FING AUTH                                              | CUSIP: 57563RTX7<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | DBT              | MUN               | US        |   2745000 | PA      | $2849001.46   | 0.14%             | 2049-07-01      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust            | MF1 2024-FL15                                                                   | CUSIP: 58003MAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2376000 | PA      | $2385585.97   | 0.12%             | 2041-08-18      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| MET LIFE GLOB FUNDING I                                | Metropolitan Life Global Funding I                                              | CUSIP: 59217GEZ8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   3972000 | PA      | $3848904.18   | 0.19%             | 2029-03-21      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust            | MF1 2025-FL20 LLC                                                               | CUSIP: 59319CAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4194000 | PA      | $4208743.17   | 0.21%             | 2043-02-18      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Microsoft Corp                                         | Microsoft Corp                                                                  | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     98222 | NS      | $36358837.74  | 1.79%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                 | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CD4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2676000 | PA      | $2393938.31   | 0.12%             | 2033-01-19      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                 | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DL5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    774000 | PA      | $792094.40    | 0.04%             | 2036-04-24      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Mohawk Industries Inc                                  | Mohawk Industries Inc                                                           | CUSIP: 608190104<br>LEI: 549300JI1115MG3Q6322 | Long             | EC               | CORP              | US        |     44402 | NS      | $4371820.92   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                  | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |     70470 | NS      | $11597247.90  | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2501000 | PA      | $2322236.80   | 0.11%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3151000 | PA      | $2833184.22   | 0.14%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34                     | CUSIP: 61767EAE4<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |   1600004 | PA      | $1579370.35   | 0.08%             | 2052-11-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust 2026-NQM1                        | CUSIP: 61780XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    732676 | PA      | $725788.32    | 0.04%             | 2070-12-25      | Variable      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM10                       | CUSIP: 617955AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691588 | PA      | $688643.63    | 0.03%             | 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        |   1549000 | PA      | $1571041.73   | 0.08%             | 2035-07-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                               | Neuberger Berman CLO XX Ltd                                                     | CUSIP: 64130TBJ3<br>LEI: 549300NPF57YF6WBDP72 | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1895352.60   | 0.09%             | 2039-04-15      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                          | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                    | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |   3685000 | PA      | $4355762.13   | 0.21%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                           | NiSource Inc                                                                    | CUSIP: 65473QBD4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    414000 | PA      | $400566.76    | 0.02%             | 2045-02-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp                                    | Northern Trust Corp                                                             | CUSIP: 665859104<br>LEI: 549300GLF98S992BC502 | Long             | EC               | CORP              | US        |    187582 | NS      | $26180819.74  | 1.29%             |  |  |  | No            |                  1 | On Loan: No      |
| NORTHWELL HEALTHCARE INC                               | Northwell Healthcare Inc                                                        | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |    153000 | PA      | $118845.17    | 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        |   1139000 | PA      | $922712.88    | 0.05%             | 2047-11-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2025-NQM13 Trust                                                            | CUSIP: 67121UAA4<br>LEI: 254900FPAGVH6E25VL74 | Long             | ABS-MBS          | CORP              | US        |    630308 | PA      | $632271.86    | 0.03%             | 2065-05-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2025-NQM20 Trust                                                            | CUSIP: 67126GAC6<br>LEI: 254900Y8CC35WOVR8295 | Long             | ABS-MBS          | CORP              | US        |    948893 | PA      | $945329.98    | 0.05%             | 2065-10-25      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2025-NQM1 Trust                                                             | CUSIP: 673914AC1<br>LEI: 2549007E8KF1RJ2ZV866 | Long             | ABS-MBS          | CORP              | US        |   1035986 | PA      | $1040034.56   | 0.05%             | 2064-12-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2024-NQM15 Trust                                                            | CUSIP: 67449DAA7<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |    748165 | PA      | $750134.27    | 0.04%             | 2064-10-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Omnicom Group Inc                                      | Omnicom Group Inc                                                               | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |    461642 | NS      | $34766259.02  | 1.71%             |  |  |  | No            |                  1 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   2007000 | PA      | $2078004.49   | 0.10%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                       | OneMain Financial Issuance Trust 2022-3                                         | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245850 | PA      | $246242.07    | 0.01%             | 2034-05-15      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORP                                            | Oracle Corp                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    749000 | PA      | $709819.08    | 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        |   2361000 | PA      | $2214606.10   | 0.11%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Organon & Co                                           | Organon & Co                                                                    | CUSIP: 68622V106<br>LEI: 549300AMCKY57OK2CO56 | Long             | EC               | CORP              | US        |    120657 | NS      | $722735.43    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PLYM Commercial Mortgage Trust                         | PLYM Commercial Mortgage Trust 2026-IND                                         | CUSIP: 69292BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2116000 | PA      | $2105420.00   | 0.10%             | 2043-03-15      | Floating      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| PG&E Corp                                              | PG&E Corp                                                                       | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |   1282063 | NS      | $22525846.91  | 1.11%             |  |  |  | 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        |     88190 | NS      | $18351457.10  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| PPG Industries Inc                                     | PPG Industries Inc                                                              | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |     85023 | NS      | $9087258.24   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| PFP III                                                | PFP 2025-12 Ltd                                                                 | CUSIP: 69382JAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2892000 | PA      | $2892135.92   | 0.14%             | 2042-12-18      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                         | PMT Loan Trust 2026-INV2                                                        | CUSIP: 69383NBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4017991 | PA      | $4012542.65   | 0.20%             | 2057-01-25      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| PMT Loan Trust                                         | PMT Loan Trust 2026-INV4                                                        | CUSIP: 69383UBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1247639 | PA      | $1244795.01   | 0.06%             | 2057-03-25      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    453000 | PA      | $439031.66    | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1751000 | PA      | $1569255.10   | 0.08%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    990000 | PA      | $740383.67    | 0.04%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1422000 | PA      | $1375767.05   | 0.07%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                         | Palmer Square Loan Funding 2024-3 Ltd                                           | CUSIP: 69690EAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4413018 | PA      | $4408018.05   | 0.22%             | 2032-08-08      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                  | Palmer Square CLO 2020-3 Ltd                                                    | CUSIP: 69701RBL0<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | JE        |   4516667 | PA      | $4516486.33   | 0.22%             | 2036-11-15      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Parallel Ltd                                           | Parallel 2023-1 Ltd                                                             | CUSIP: 69915NAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1856072 | PA      | $1856012.61   | 0.09%             | 2036-07-20      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| Pfizer Inc                                             | Pfizer Inc                                                                      | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |   1484426 | NS      | $41682682.08  | 2.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Philip Morris International Inc                        | Philip Morris International Inc                                                 | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |    151220 | NS      | $25002714.80  | 1.23%             |  |  |  | No            |                  1 | On Loan: No      |
| PHILIP MORRIS INTL INC                                 | Philip Morris International Inc                                                 | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    822000 | PA      | $833021.98    | 0.04%             | 2027-11-17      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                 | Philip Morris International Inc                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    381000 | PA      | $396002.16    | 0.02%             | 2029-11-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                 | Philip Morris International Inc                                                 | CUSIP: 718172CX5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1667000 | PA      | $1754882.62   | 0.09%             | 2032-11-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                 | Philip Morris International Inc                                                 | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1417000 | PA      | $1445823.41   | 0.07%             | 2030-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                            | Phillips 66                                                                     | CUSIP: 718546AW4<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   2775000 | PA      | $2487796.71   | 0.12%             | 2030-12-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                               | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1896000 | PA      | $1826929.35   | 0.09%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                               | Plains All American Pipeline LP / PAA Finance Corp                              | CUSIP: 72650RBP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    837000 | PA      | $854966.46    | 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        |     42118 | NS      | $3795252.98   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| PRM Trust                                              | PRM Trust 2025-PRM6                                                             | CUSIP: 74277DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1517909 | PA      | $1506036.83   | 0.07%             | 2033-07-05      | Variable      | 4.48%                 | Yes           |                  2 | On Loan: No      |
| Provident Funding Mortgage Trust                       | Provident Funding Mortgage Trust 2025-2                                         | CUSIP: 74389DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2130269 | PA      | $2131134.04   | 0.10%             | 2055-06-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| PUBLIC STORAGE OP CO                                   | Public Storage Operating Co                                                     | CUSIP: 74460WAG2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |   4057000 | PA      | $4143135.99   | 0.20%             | 2033-08-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                                  | RPM International Inc                                                           | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |    752000 | PA      | $676019.33    | 0.03%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                    | Rate Mortgage Trust 2025-J3                                                     | CUSIP: 75410EBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2748516 | PA      | $2762029.44   | 0.14%             | 2055-11-25      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| REALTY INCOME CORP                                     | Realty Income Corp                                                              | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    458000 | PA      | $430659.35    | 0.02%             | 2031-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                  | Republic Services Inc                                                           | CUSIP: 760759AX8<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    804000 | PA      | $697108.62    | 0.03%             | 2031-02-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mortgage Securities II             | Home Equity Loan Trust 2005-HS2                                                 | CUSIP: 76110VSS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63221 | PA      | $808.76       | 0.00%             | 2035-12-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Rhode Island Student Loan Authority                    | RHODE ISLAND ST STUDENT LOAN AUTH LOAN REVENUE                                  | CUSIP: 762323CU5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1870000 | PA      | $1926235.58   | 0.09%             | 2042-12-01      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                               | Rogers Communications Inc                                                       | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |   3540000 | PA      | $3304545.50   | 0.16%             | 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        |   1231000 | PA      | $1098604.88   | 0.05%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                     | STWD 2022-FL3 Ltd                                                               | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5210500 | PA      | $5204700.19   | 0.26%             | 2038-11-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                               | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    485000 | PA      | $481478.73    | 0.02%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Salesforce Inc                                         | Salesforce Inc                                                                  | CUSIP: 79466L302<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | EC               | CORP              | US        |     77389 | NS      | $14446204.63  | 0.71%             |  |  |  | No            |                  1 | On Loan: No      |
| SALESFORCE INC                                         | Salesforce Inc                                                                  | CUSIP: 79466LAT1<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   1272000 | PA      | $1269827.75   | 0.06%             | 2033-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                         | Salesforce Inc                                                                  | CUSIP: 79466LAU8<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   1272000 | PA      | $1268043.29   | 0.06%             | 2036-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                                         | Salesforce Inc                                                                  | CUSIP: 79466LAV6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    848000 | PA      | $853870.60    | 0.04%             | 2046-03-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                                | Sammons Financial Group Inc                                                     | CUSIP: 79588TAE0<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |    606000 | PA      | $577321.84    | 0.03%             | 2032-04-08      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| SAMMONS FINANCIAL GROUP                                | Sammons Financial Group Inc                                                     | CUSIP: 79588TAF7<br>LEI: 254900SHCOQLVJ21CT59 | Long             | DBT              | CORP              | US        |   3038000 | PA      | $3216529.59   | 0.16%             | 2034-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2026-1                                   | CUSIP: 80288FAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1390000 | PA      | $1389339.47   | 0.07%             | 2029-03-15      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| SANTOS FINANCE LTD                                     | Santos Finance Ltd                                                              | CUSIP: 803014AC3<br>LEI: 213800BKUBSWG53XNS94 | Long             | DBT              | CORP              | AU        |    851000 | PA      | $852972.89    | 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        |     78483 | NS      | $4033241.37   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Charles Schwab Corp/The                                | Charles Schwab Corp/The                                                         | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |    552493 | NS      | $51923292.14  | 2.55%             |  |  |  | No            |                  1 | On Loan: No      |
| CHARLES SCHWAB CORP                                    | Charles Schwab Corp/The                                                         | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   4428000 | PA      | $4650577.67   | 0.23%             | 2034-05-19      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Sempra                                                 | Sempra                                                                          | CUSIP: 816851109<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | EC               | CORP              | US        |     35712 | NS      | $3470135.04   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| SPECTRA ENERGY PARTNERS                                | Spectra Energy Partners LP                                                      | CUSIP: 84756NAH2<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |    783000 | PA      | $779076.26    | 0.04%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                                  | Stellantis Finance US Inc                                                       | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |   2741000 | PA      | $2316567.66   | 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 2025-A                   | CUSIP: 858928AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1125097 | PA      | $1126920.24   | 0.06%             | 2027-07-20      | Fixed         | 4.63%                 | Yes           |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                               | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCN8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   5261000 | PA      | $4990566.45   | 0.25%             | 2029-01-14      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                      | Suncor Energy Inc                                                               | CUSIP: 867224107<br>LEI: 894500XO86FKXQGPYV71 | Long             | EC               | CORP              | CA        |    108325 | NS      | $7164821.54   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                       | T-Mobile USA Inc                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1907000 | PA      | $1829141.96   | 0.09%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                                | TRTX 2025-FL7 Issuer Ltd                                                        | CUSIP: 87277LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4562992 | PA      | $4564055.18   | 0.22%             | 2043-06-18      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Target Corp                                            | Target Corp                                                                     | CUSIP: 87612E106<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | EC               | CORP              | US        |     75702 | NS      | $9175082.40   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES CORP                                   | Targa Resources Corp                                                            | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    754000 | PA      | $713840.60    | 0.04%             | 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        |   2297000 | PA      | $2429261.83   | 0.12%             | 2033-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                               | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2544000 | PA      | $2880513.40   | 0.14%             | 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        |     21661 | NS      | $6318080.48   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Tyson Foods Inc                                        | Tyson Foods Inc                                                                 | CUSIP: 902494103<br>LEI: WD6L6041MNRW1JE49D58 | Long             | EC               | CORP              | US        |     74066 | NS      | $4745408.62   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                           | UBS Group AG                                                                    | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   6455000 | PA      | $5687311.50   | 0.28%             | 2032-02-11      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| UBS GROUP AG                                           | UBS Group AG                                                                    | CUSIP: 902613BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1566000 | PA      | $1605333.55   | 0.08%             | 2035-02-08      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Union Pacific Corp                                     | Union Pacific Corp                                                              | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |     80392 | NS      | $19504707.04  | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| US Foods Holding Corp                                  | US Foods Holding Corp                                                           | CUSIP: 912008109<br>LEI: 549300UGOZSO64CFPR97 | Long             | EC               | CORP              | US        |     83264 | NS      | $7677773.44   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7596000 | PA      | $5833787.32   | 0.29%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9797000 | PA      | $6870528.92   | 0.34%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3638000 | PA      | $2749958.52   | 0.14%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  46200000 | PA      | $30114820.43  | 1.48%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $639843.75    | 0.03%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7800000 | PA      | $4700718.75   | 0.23%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2700000 | PA      | $2319785.16   | 0.11%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100000 | PA      | $4472460.91   | 0.22%             | 2053-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $7778437.52   | 0.38%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12900000 | PA      | $11555578.13  | 0.57%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Bonds                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16900000 | PA      | $15788296.88  | 0.78%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Notes                                                             | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12500000 | PA      | $12585937.50  | 0.62%             | 2028-07-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Notes                                                             | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23950000 | PA      | $24132337.10  | 1.19%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Notes                                                             | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29300000 | PA      | $29654804.83  | 1.46%             | 2029-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24100000 | PA      | $24093410.10  | 1.19%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Notes                                                             | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9500000 | PA      | $9489609.38   | 0.47%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Notes                                                             | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16300000 | PA      | $15900140.63  | 0.78%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | U.S. Treasury Notes                                                             | CUSIP: 91282CPS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2200000 | PA      | $2183070.32   | 0.11%             | 2027-12-31      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                          | CUSIP: 91324PFB3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $1976546.78   | 0.10%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                      | CUSIP: 92343VDR2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1654555.96   | 0.08%             | 2039-03-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    995000 | PA      | $947672.83    | 0.05%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                   | Verisk Analytics Inc                                                            | CUSIP: 92345YAF3<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   1872000 | PA      | $1861682.87   | 0.09%             | 2029-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                   | Verisk Analytics Inc                                                            | CUSIP: 92345YAH9<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1485101.78   | 0.07%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2025-9                                               | CUSIP: 92490EAA1<br>LEI: 2138002AFCEWDDRL8N22 | Long             | ABS-MBS          | CORP              | US        |    464897 | PA      | $462620.09    | 0.02%             | 2070-10-27      | Variable      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Versant Media Group Inc                                | Versant Media Group Inc                                                         | CUSIP: 925283103<br>LEI: 254900D2Q5F5F229PU30 | Long             | EC               | CORP              | US        |     32278 | NS      | $1194931.56   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2024-8                                               | CUSIP: 92540PAA6<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |    467749 | PA      | $468454.64    | 0.02%             | 2069-10-25      | Variable      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| VIRGINIA POWER FUEL SEC                                | Virginia Power Fuel Securitization LLC                                          | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |    641144 | PA      | $644206.06    | 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        |    758000 | PA      | $707842.71    | 0.03%             | 2053-02-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| VULCAN MATERIALS CO                                    | Vulcan Materials Co                                                             | CUSIP: 929160AZ2<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | DBT              | CORP              | US        |    386000 | PA      | $370011.33    | 0.02%             | 2030-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                           | Voya 2012-4 Ltd                                                                 | CUSIP: 92916GBF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1928619 | PA      | $1928952.98   | 0.09%             | 2030-10-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Warner Bros Discovery Inc                              | Warner Bros Discovery Inc                                                       | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |    330997 | NS      | $9089177.62   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| WASTE MANAGEMENT INC                                   | Waste Management Inc                                                            | CUSIP: 94106LBW8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |   5465000 | PA      | $5525999.13   | 0.27%             | 2034-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Waters Corp                                            | Waters Corp                                                                     | CUSIP: 941848103<br>LEI: 5T547R1474YC9HOD8Q74 | Long             | EC               | CORP              | US        |     45598 | NS      | $13579084.40  | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo & Co                                       | Wells Fargo & Co                                                                | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |    110640 | NS      | $8808050.40   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                                 | Westinghouse Air Brake Technologies Corp                                        | CUSIP: 960386AM2<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   2129000 | PA      | $2135243.74   | 0.11%             | 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        |   1034000 | PA      | $987296.28    | 0.05%             | 2030-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Roche Holding AG                                       | Roche Holding AG                                                                | CUSIP: 000000000<br>LEI: 549300U41AUUVOAAOB37 | Long             | EC               | CORP              | CH        |     20438 | NS      | $8070268.25   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US ULTRA BOND CBT JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        82 | NC      | $-271298.39   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                 | US 5YR NOTE (CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       210 | NC      | $-281288.07   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                 | US 2YR NOTE (CBT) JUN26                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       405 | NC      | $-550389.83   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Techtronic Industries Co Ltd                           | Techtronic Industries Co Ltd                                                    | CUSIP: 000000000<br>LEI: 549300HZW2SBE758OK89 | Long             | EC               | CORP              | HK        |    288000 | NS      | $3833465.37   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| Glencore PLC                                           | Glencore PLC                                                                    | CUSIP: 000000000<br>LEI: 2138002658CPO9NBH955 | Long             | EC               | CORP              | JE        |    964191 | NS      | $7347140.14   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| National Grid PLC                                      | National Grid PLC                                                               | CUSIP: 000000000<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | EC               | CORP              | GB        |    992691 | NS      | $16735721.87  | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| Amdocs Ltd                                             | Amdocs Ltd                                                                      | CUSIP: 000000000<br>LEI: 549300HQV672RJ7RQV66 | Long             | EC               | CORP              | GG        |     66330 | NS      | $4328695.80   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Aon PLC                                                | Aon PLC                                                                         | CUSIP: 000000000<br>LEI: 635400FALWQYX5E6QC64 | Long             | EC               | CORP              | IE        |     90694 | NS      | $29274209.32  | 1.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Axalta Coating Systems Ltd                             | Axalta Coating Systems Ltd                                                      | CUSIP: 000000000<br>LEI: 529900AGLPA40GV6H619 | Long             | EC               | CORP              | BM        |    568772 | NS      | $15754984.40  | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| Accenture PLC                                          | Accenture PLC                                                                   | CUSIP: 000000000<br>LEI: 5493000EWHDSR3MZWH98 | Long             | EC               | CORP              | IE        |     60280 | NS      | $11952921.20  | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Eaton Corp PLC                                         | Eaton Corp PLC                                                                  | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | IE        |     18963 | NS      | $6782496.21   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Aptiv PLC                                              | Aptiv PLC                                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | JE        |    235590 | NS      | $13782015.00  | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| ICON PLC                                               | ICON PLC                                                                        | CUSIP: 000000000<br>LEI: 6354008SRQGEMC4XFI67 | Long             | EC               | CORP              | IE        |     89503 | NS      | $9904401.98   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Medtronic PLC                                          | Medtronic PLC                                                                   | CUSIP: 000000000<br>LEI: 549300GX3ZBSQWUXY261 | Long             | EC               | CORP              | IE        |    433728 | NS      | $37582531.20  | 1.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Smurfit Westrock PLC                                   | Smurfit Westrock PLC                                                            | CUSIP: 000000000<br>LEI: 635400EGSEOPDW2EXS14 | Long             | EC               | CORP              | IE        |    171535 | NS      | $6835669.75   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Versigent Ltd                                          | Versigent Ltd                                                                   | CUSIP: 000000000<br>LEI: 254900V7AVDC2J9DHM24 | Long             | EC               | CORP              | JE        |     78530 | NS      | $2501180.53   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Willis Towers Watson PLC                               | Willis Towers Watson PLC                                                        | CUSIP: 000000000<br>LEI: 549300WHC56FF48KL350 | Long             | EC               | CORP              | IE        |     78499 | NS      | $22819659.30  | 1.12%             |  |  |  | No            |                  1 | On Loan: No      |
| POUND STERLING                                         | POUND STERLING                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             |  |  | GB        |         1 | NS      | $1.15         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chubb Ltd                                              | Chubb Ltd                                                                       | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |     77543 | NS      | $25273589.99  | 1.24%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH KOREAN WON                                       | SOUTH KOREAN WON                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             |  |  | KR        |  60603273 | NS      | $39567.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NXP Semiconductors NV                                  | NXP Semiconductors NV                                                           | CUSIP: 000000000<br>LEI: 724500M9BY5293JDF951 | Long             | EC               | CORP              | NL        |     81685 | NS      | $16080509.10  | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-04-29

**Name of Applicant:** MFS VARIABLE INSURANCE TRUST

**Signature:** James Byrne

**Name of Signer:** James Byrne

**Title:** Assistant Treasurer