Fannie Mae-Aces

NPORT-P false 0000719269 XXXXXXXX S000002635 C000007239 C000007240 MFS VARIABLE INSURANCE TRUST II 811-03732 0000719269 LQOFLJQP174GQBC84T87 111 HUNTINGTON AVENUE 24TH FLOOR BOSTON 02199 617-954-5000 MFS Government Securities Portfolio S000002635 TC07MNDC26S0HMWGJ177 2019-12-31 2019-12-31 N 486372082.64 23681283.73 462690798.91 0 0 0 0 0 0 0 0 0 0 23470195.95 0 0 13675542.43 USD N Fanniemae-Aces N/A Fannie Mae-Aces 3136AQ5E6 1457767.79000000 PA USD 1458274.51000000 0.315172576034 Long ABS-MBS USGSE US N 2 2023-01-25 Fixed 2.15000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 5YR NOTE (CBT) MAR20 XCBT 20200331 000000000 -65.00000000 NC USD 32397.69000000 0.007002017346 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short 5 Year US Treasury Note FVH0 Comdty 2020-03-31 -7742007.07 USD 32397.69 N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810EW4 2699000.00000000 PA USD 3357507.31000000 0.725648168908 Long DBT UST US N 2 2026-02-15 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EQ7L0 443643.99000000 PA USD 475151.05000000 0.102692997379 Long ABS-MBS USGSE US N 2 2043-06-01 Fixed 4.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AMNZ8 498016.42000000 PA USD 514381.89000000 0.111171843315 Long ABS-MBS USGSE US N 2 2044-09-25 Fixed 3.50000000 N N N N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 Sherwin-Williams Co/The 824348AU0 753000.00000000 PA USD 765832.93000000 0.165517216206 Long DBT CORP US N 2 2022-06-01 Fixed 2.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RU4 2917000.00000000 PA USD 3195865.23000000 0.690712942104 Long DBT UST US N 2 2046-11-15 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410F5D3 59770.10000000 PA USD 65872.63000000 0.014236857563 Long ABS-MBS USGSE US N 2 2035-10-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31408GSK4 28779.23000000 PA USD 32693.56000000 0.007065962858 Long ABS-MBS USGSE US N 2 2036-04-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417G5A0 443786.89000000 PA USD 466816.97000000 0.100891777208 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Michigan Finance Authority 54930022O46HOX5J1D14 MICHIGAN ST FIN AUTH REVENUE 59447TXX6 825000.00000000 PA USD 823152.00000000 0.177905418032 Long DBT MUN US N 2 2040-12-01 Fixed 3.38000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FEZW3 32018316.53000000 PA USD 365223.33000000 0.078934642932 Long ABS-MBS USGSE US N 2 2028-04-25 Variable 0.12000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CLM3 26704.02000000 PA USD 27162.93000000 0.005870644081 Long ABS-O USGA US N 2 2021-05-01 Fixed 6.34000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417AVY2 182240.32000000 PA USD 194239.64000000 0.041980441464 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417TNK0 451175.94000000 PA USD 489766.21000000 0.105851728876 Long ABS-MBS USGSE US N 2 2040-01-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132WJU33 400427.02000000 PA USD 416116.18000000 0.089933964751 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERQS2 2549817.45000000 PA USD 2637922.59000000 0.570126442154 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138E55N4 76292.95000000 PA USD 81316.13000000 0.017574615745 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERJ76 1146715.35000000 PA USD 1190501.98000000 0.257299687567 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BRS71 199459.48000000 PA USD 202376.26000000 0.043738985187 Long ABS-MBS USGSE US N 2 2028-03-15 Fixed 2.50000000 N N N N N N PRIVATE EXPORT FUNDING CYQE6SAYPFKNQJ6FMH60 Private Export Funding Corp 742651DV1 770000.00000000 PA USD 773620.12000000 0.167200238652 Long DBT CORP US N 2 2020-09-15 Fixed 2.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138L3D28 607226.86000000 PA USD 612873.70000000 0.132458588207 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 2.41000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138E2LH6 815873.74000000 PA USD 862787.95000000 0.186471819200 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378HQU3 308519.47000000 PA USD 50165.30000000 0.010842078579 Long ABS-MBS USGA US N 2 2042-08-16 Fixed 4.00000000 N N N N N N Loomis Sayles Ltd 549300SUQAYPCZFFGP18 Loomis Sayles CLO II Ltd 54347LAQ5 1489774.00000000 PA USD 1479783.58000000 0.319821268001 Long ABS-CBDO CORP KY Y 2 2028-04-15 Floating 3.40000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PDDD9 10812.03000000 PA USD 10951.99000000 0.002367021351 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138A7PB8 788775.40000000 PA USD 856485.92000000 0.185109780012 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WDKV2 986316.59000000 PA USD 1044813.88000000 0.225812547485 Long ABS-MBS USGSE US N 2 2044-11-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132GRL58 636300.40000000 PA USD 673121.81000000 0.145479834823 Long ABS-MBS USGSE US N 2 2042-02-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137F4X98 49831305.18000000 PA USD 607568.19000000 0.131311923952 Long ABS-MBS USGSE US N 2 2028-02-25 Variable 0.13000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CLN1 37849.39000000 PA USD 38705.03000000 0.008365204169 Long ABS-O USGA US N 2 2021-06-01 Fixed 6.44000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SJS7 758150.76000000 PA USD 782129.61000000 0.169039369670 Long ABS-MBS USGA US N 2 2046-08-20 Fixed 3.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31398NQG2 204676.05000000 PA USD 218303.34000000 0.047181258091 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128P8GA3 315661.72000000 PA USD 329248.53000000 0.071159515334 Long ABS-MBS USGSE US N 2 2038-05-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412QF95 64146.36000000 PA USD 70693.85000000 0.015278853646 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 5.00000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2019-4 35563PML0 1234927.49000000 PA USD 1257578.53000000 0.271796744815 Long ABS-MBS CORP US N 2 2059-02-25 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MBM61 1319.82000000 PA USD 1369.16000000 0.000295912519 Long ABS-MBS USGSE US N 2 2022-11-01 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FARG5 17521347.43000000 PA USD 418662.08000000 0.090484202622 Long ABS-MBS USGSE US N 2 2024-07-25 Variable 0.61000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36241L4N3 187030.71000000 PA USD 203463.18000000 0.043973898006 Long ABS-MBS USGA US N 2 2040-04-15 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297H6A1 134843.42000000 PA USD 144755.80000000 0.031285644828 Long ABS-MBS USGA US N 2 2039-12-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407FJ92 209956.74000000 PA USD 235999.12000000 0.051005794918 Long ABS-MBS USGSE US N 2 2035-09-01 Fixed 5.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR NOTE (CBT)MAR20 XCBT 20200320 000000000 30.00000000 NC USD -30703.11000000 -0.00663577276 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYH0 Comdty 2020-03-20 3883359.36 USD -30703.11 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140FDVW3 1115076.91000000 PA USD 1147190.04000000 0.247938805505 Long ABS-MBS USGSE US N 2 2046-09-01 Fixed 3.00000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2019-2 35563PKJ7 449156.46000000 PA USD 470533.43000000 0.101695004765 Long ABS-MBS USGSE US N 2 2058-08-25 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132WHUC7 1431280.29000000 PA USD 1473382.99000000 0.318437927330 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137A2B26 966974.47000000 PA USD 971928.96000000 0.210060144331 Long ABS-MBS USGSE US N 2 2020-08-25 Fixed 3.81000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419JSM1 1102212.27000000 PA USD 1181968.96000000 0.255455471080 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403DD97 682856.03000000 PA USD 768159.68000000 0.166020089833 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138L3KA2 333433.27000000 PA USD 338406.45000000 0.073138789618 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 2.59000000 N N N N N N ALM Loan Funding N/A ALM XII Ltd 00164MDU4 862320.78000000 PA USD 861996.55000000 0.186300776248 Long ABS-O CORP KY Y 2 2027-04-16 Floating 2.89000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137B3NX2 1997044.00000000 PA USD 2074116.12000000 0.448272609891 Long ABS-MBS USGSE US N 2 2023-04-25 Variable 3.30000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31292SBD1 119149.64000000 PA USD 125605.93000000 0.027146839810 Long ABS-MBS USGSE US N 2 2043-03-01 Fixed 3.50000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136ACPT2 1870920.68000000 PA USD 1844130.78000000 0.398566555536 Long ABS-MBS USGSE US N 2 2041-10-25 Fixed 1.75000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CVH3 728729.07000000 PA USD 721189.06000000 0.155868468035 Long ABS-O USGA US N 2 2033-02-01 Fixed 2.21000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140E0X91 1518650.49000000 PA USD 1627873.25000000 0.351827452336 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417AYK9 1256186.53000000 PA USD 1344637.26000000 0.290612491790 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AWFW2 1311440.95000000 PA USD 1345281.90000000 0.290751815936 Long ABS-MBS USGSE US N 2 2039-05-25 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31292LSC0 3810231.43000000 PA USD 4014562.90000000 0.867655658910 Long ABS-MBS USGSE US N 2 2042-07-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419JS25 147812.96000000 PA USD 162804.41000000 0.035186437764 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ADWS0 988341.79000000 PA USD 1073209.48000000 0.231949604904 Long ABS-MBS USGSE US N 2 2041-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31405T3U4 43950.74000000 PA USD 48575.83000000 0.010498551108 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36225B2U1 277504.04000000 PA USD 311402.51000000 0.067302507578 Long ABS-MBS USGA US N 2 2033-12-15 Fixed 5.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2019-2 35563PKG3 74130.94000000 PA USD 76979.45000000 0.016637341866 Long ABS-MBS USGSE US N 2 2058-08-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WEEL9 382762.67000000 PA USD 399420.28000000 0.086325529044 Long ABS-MBS USGSE US N 2 2045-03-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 9128284N7 6000000.00000000 PA USD 6453916.80000000 1.394866034769 Long DBT UST US N 2 2028-05-15 Fixed 2.88000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132JNDC8 4553109.49000000 PA USD 4785789.82000000 1.034338662293 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N AID-UKRAINE N/A Ukraine Government AID Bonds 903724AL6 1135000.00000000 PA USD 1136134.73000000 0.245549453906 Long DBT NUSS UA N 2 2020-05-29 Fixed 1.85000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371KBS9 75965.96000000 PA USD 85110.74000000 0.018394733632 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 6.50000000 N N N N N N Freddie Mac N/A Freddie Mac Pool 3132D53Z3 362845.59000000 PA USD 371997.40000000 0.080398702735 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418MUR1 110572.06000000 PA USD 121952.60000000 0.026357256355 Long ABS-MBS USGSE US N 2 2039-12-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406PDM8 107904.32000000 PA USD 121007.98000000 0.026153098415 Long ABS-MBS USGSE US N 2 2035-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416XV64 151034.30000000 PA USD 166209.31000000 0.035922328775 Long ABS-MBS USGSE US N 2 2041-03-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410KQ64 478810.60000000 PA USD 538295.24000000 0.116340165239 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BWP99 1109369.38000000 PA USD 1169480.78000000 0.252756437507 Long ABS-MBS USGSE US N 2 2028-06-15 Fixed 3.50000000 N N N N N N Cantor Commercial Real Estate Lending N/A Cantor Commercial Real Estate Lending 2019-CF3 12529TAX1 1120000.00000000 PA USD 1147173.44000000 0.247935217796 Long ABS-MBS CORP US N 2 2053-01-15 Fixed 3.01000000 N N N N N N ING Groep NV 549300NYKK9MWM7GGW15 ING Groep NV 456837AG8 800000.00000000 PA USD 817821.53000000 0.176753359246 Long DBT CORP NL N 2 2022-03-29 Fixed 3.15000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31297CW22 562318.40000000 PA USD 640422.35000000 0.138412596815 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411VC31 12207.21000000 PA USD 13385.24000000 0.002892912509 Long ABS-MBS USGSE US N 2 2037-03-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 312934RV6 185123.89000000 PA USD 204310.33000000 0.044156990042 Long ABS-MBS USGSE US N 2 2039-08-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371KF97 51959.47000000 PA USD 58560.83000000 0.012656579758 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 6.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M9LS9 975071.31000000 PA USD 1038261.68000000 0.224396439792 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 3.50000000 N N N N N N Wells Fargo Commercial Mortgage Trust 5493002S7XBI8CVRR075 Wells Fargo Commercial Mortgage Trust 2015-NXS1 94989HAQ3 918829.00000000 PA USD 951926.97000000 0.205737173127 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 3.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36177PCJ2 379569.98000000 PA USD 399711.68000000 0.086388508468 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31283HS89 32824.55000000 PA USD 36578.59000000 0.007905622952 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 312927HB5 113696.94000000 PA USD 127469.68000000 0.027549646610 Long ABS-MBS USGSE US N 2 2038-08-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WJRD2 1044547.97000000 PA USD 1082885.84000000 0.234040928099 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31294LYK3 142637.58000000 PA USD 147732.07000000 0.031928897299 Long ABS-MBS USGSE US N 2 2023-06-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416WU26 789523.69000000 PA USD 846261.02000000 0.182899902482 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371LDH9 479810.48000000 PA USD 539914.65000000 0.116690163554 Long ABS-MBS USGSE US N 2 2033-10-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31297DUS5 306333.06000000 PA USD 341783.33000000 0.073868624750 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132J4MM8 1042731.01000000 PA USD 1087143.59000000 0.234961143070 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138L3KZ7 481123.17000000 PA USD 490188.09000000 0.105942908558 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 2.73000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ENEK1 4306304.71000000 PA USD 4675059.40000000 1.010406822658 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140HMPP3 375920.82000000 PA USD 386124.33000000 0.083451914520 Long ABS-MBS USGSE US N 2 2033-09-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UUK6 1267117.92000000 PA USD 1312651.32000000 0.283699464759 Long ABS-MBS USGA US N 2 2049-06-20 Fixed 4.00000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 Chesapeake Funding II LLC 165183BT0 1425949.24000000 PA USD 1449452.31000000 0.313265859925 Long ABS-O CORP US Y 2 2031-01-15 Fixed 3.39000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FPHM0 7726925.39000000 PA USD 716145.35000000 0.154778385843 Long ABS-MBS USGSE US N 2 2029-08-25 Variable 1.27000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 Federal Home Loan Banks 3130AFFN2 20500000.00000000 PA USD 21038219.51000000 4.546928436779 Long DBT USGSE US N 2 2021-12-10 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620ALQ49 305920.27000000 PA USD 334409.72000000 0.072274988131 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 4.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2019-4 35563PMN6 517396.75000000 PA USD 525493.13000000 0.113573282900 Long ABS-MBS CORP US N 2 2059-02-25 Fixed 3.00000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CVU4 414578.73000000 PA USD 434216.12000000 0.093845851489 Long ABS-O USGA US N 2 2033-09-01 Fixed 3.62000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419BBY0 350678.16000000 PA USD 380799.41000000 0.082301055239 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419EJE0 300278.71000000 PA USD 330604.44000000 0.071452564170 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 5.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AQVJ6 277513.53000000 PA USD 290990.03000000 0.062890818379 Long ABS-MBS USGSE US N 2 2045-12-25 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31294LSL8 20279.01000000 PA USD 20736.60000000 0.004481740300 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PRY29 95142.07000000 PA USD 100063.74000000 0.021626481493 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.50000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 UBS Group AG 90352JAA1 565000.00000000 PA USD 581195.34000000 0.125612037535 Long DBT CORP CH Y 2 2023-05-23 Fixed 3.49000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412LA34 138239.94000000 PA USD 154239.69000000 0.033335370049 Long ABS-MBS USGSE US N 2 2037-01-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TSF3 44274.91000000 PA USD 45513.96000000 0.009836798161 Long ABS-MBS USGA US N 2 2048-02-20 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137BHCY1 3025000.00000000 PA USD 3115027.33000000 0.673241684800 Long ABS-MBS USGSE US N 2 2025-01-25 Fixed 2.81000000 N N N N N N CONSERVATION FUND N/A Conservation Fund A Nonprofit Corp/The 20848FAA8 563000.00000000 PA USD 560475.78000000 0.121133980040 Long DBT CORP US N 2 2029-12-15 Fixed 3.47000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PFQE8 7178.17000000 PA USD 7416.58000000 0.001602923597 Long ABS-MBS USGSE US N 2 2021-12-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377VGJ9 336700.00000000 PA USD 356982.94000000 0.077153671704 Long ABS-MBS USGA US N 2 2039-05-16 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417MLN1 103880.90000000 PA USD 114601.39000000 0.024768460983 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.00000000 N N N N N N School District of Philadelphia/The 254900HSKDHZKBZCUL90 PHILADELPHIA PA SCH DIST 717883UB6 960000.00000000 PA USD 1201276.80000000 0.259628417688 Long DBT MUN US N 2 2030-09-01 Fixed 6.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FK4M5 1788000.00000000 PA USD 1998031.71000000 0.431828710384 Long ABS-MBS USGSE US N 2 2028-10-25 Variable 4.06000000 N N N N N N New Jersey Economic Development Authority 5493006JS6QWDVU4R678 NEW JERSEY ST ECON DEV AUTH LEASE REVENUE 645913BB9 4114000.00000000 PA USD 3813636.86000000 0.824230105501 Long DBT MUN US N 2 2023-02-15 None 0.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 2YR NOTE (CBT) MAR20 XCBT 20200331 000000000 21.00000000 NC USD -3706.37000000 -0.00080104683 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUH0 Comdty 2020-03-31 4529206.37 USD -3706.37 N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138A5GN6 1265351.88000000 PA USD 1356837.38000000 0.293249267803 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10YR ULTRA FUT MAR20 XCBT 20200320 000000000 33.00000000 NC USD -67913.93000000 -0.01467803772 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US 10 Year Ultra Bond UXYH0 Comdty 2020-03-20 4711117.06 USD -67913.93 N N N CSAIL Commercial Mortgage Trust 549300D5DIOOMKWXVZ20 Csail 2015-C2 Commercial Mortgage Trust 12634NAT5 144366.00000000 PA USD 150865.16000000 0.032606042816 Long ABS-MBS CORP US N 2 2057-06-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297GLY4 540382.53000000 PA USD 606841.86000000 0.131154944388 Long ABS-MBS USGA US N 2 2039-08-15 Fixed 4.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M6K49 6513.94000000 PA USD 7310.20000000 0.001579932001 Long ABS-MBS USGSE US N 2 2038-07-01 Fixed 6.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136ARB31 645899.96000000 PA USD 636461.94000000 0.137556645063 Long ABS-MBS USGSE US N 2 2046-04-25 Fixed 2.00000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F030413 2170279.00000000 PA USD 2223535.67000000 0.480566217274 Long ABS-MBS USGSE US N 2 2035-01-15 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MMBS1 974.84000000 PA USD 1007.22000000 0.000217687492 Long ABS-MBS USGSE US N 2 2020-04-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137AQY28 306000.00000000 PA USD 325327.14000000 0.070311996859 Long ABS-MBS USGSE US N 2 2042-06-15 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 312971GP3 106.83000000 PA USD 110.29000000 0.000023836652 Long ABS-MBS USGSE US N 2 2020-05-01 Fixed 5.00000000 N N N N N N DLL Securitization Trust N/A DLL 2019-1 LLC 23291GAB0 1421313.25000000 PA USD 1425778.02000000 0.308149205335 Long ABS-O CORP US Y 2 2021-11-22 Fixed 2.79000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418TKF3 61002.22000000 PA USD 64115.19000000 0.013857027230 Long ABS-MBS USGSE US N 2 2025-05-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EPN91 1037169.92000000 PA USD 1098693.19000000 0.237457324111 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F032419 3075000.00000000 PA USD 3186845.47000000 0.688763527934 Long ABS-MBS USGSE US N 2 2035-01-15 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BJGN7 84339.14000000 PA USD 7943.14000000 0.001716727460 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EK6N0 847221.75000000 PA USD 906476.96000000 0.195914196291 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WD3L3 2040531.64000000 PA USD 2171398.16000000 0.469297890754 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.50000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F030421 500000.00000000 PA USD 511957.05000000 0.110647769786 Long ABS-MBS USGSE US N 2 2035-02-15 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MBVM6 2407.41000000 PA USD 2487.37000000 0.000537587954 Long ABS-MBS USGSE US N 2 2023-04-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418QPN7 120695.47000000 PA USD 133186.25000000 0.028785152052 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BJF65 162986.50000000 PA USD 167522.66000000 0.036206179244 Long ABS-MBS USGSE US N 2 2039-07-15 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 9128285T3 2800000.00000000 PA USD 2933482.41000000 0.634004915790 Long DBT UST US N 2 2025-12-31 Fixed 2.63000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412V4J4 140286.67000000 PA USD 160719.69000000 0.034735873369 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136ABC35 627170.36000000 PA USD 73976.06000000 0.015988228029 Long ABS-MBS USGSE US N 2 2033-02-25 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ABYR4 509318.22000000 PA USD 552613.51000000 0.119434730775 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FETQ3 17605160.05000000 PA USD 417728.20000000 0.090282365887 Long ABS-MBS USGSE US N 2 2028-01-25 Variable 0.30000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417F3J5 765152.19000000 PA USD 806127.00000000 0.174225854911 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WAFE2 640672.66000000 PA USD 660576.02000000 0.142768350171 Long ABS-MBS USGSE US N 2 2028-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H030633 850000.00000000 PA USD 870708.01000000 0.188183558447 Long ABS-MBS USGA US N 2 2050-03-23 Fixed 3.00000000 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust 2019-C7 17328CAJ1 3240000.00000000 PA USD 227112.34000000 0.049085121324 Long ABS-MBS CORP US Y 2 2072-12-15 Variable 1.01000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31297V6E3 69335.93000000 PA USD 77947.05000000 0.016846466405 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137B4WB8 1286000.00000000 PA USD 1327794.87000000 0.286972395631 Long ABS-MBS USGSE US N 2 2023-07-25 Variable 3.06000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419FG83 273969.49000000 PA USD 293765.29000000 0.063490627151 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31404JT88 118082.18000000 PA USD 130134.21000000 0.028125523634 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138L2T72 522193.84000000 PA USD 529318.40000000 0.114400027242 Long ABS-MBS USGSE US N 2 2023-05-01 Fixed 2.55000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERQU7 1296333.94000000 PA USD 1331955.39000000 0.287871596568 Long ABS-MBS USGSE US N 2 2031-12-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132WJEF4 1479002.74000000 PA USD 1538092.35000000 0.332423370774 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137F4D66 42752096.09000000 PA USD 990788.38000000 0.214136175245 Long ABS-MBS USGSE US N 2 2028-01-25 Variable 0.29000000 N N N N N N Symphony CLO Ltd 549300X84MR2MGY6OR68 Symphony CLO XVII Ltd 87165UAQ4 1332260.00000000 PA USD 1334375.63000000 0.288394675913 Long ABS-CBDO CORP KY Y 2 2028-04-15 Floating 3.20000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 312940BC2 99558.15000000 PA USD 109826.90000000 0.023736564517 Long ABS-MBS USGSE US N 2 2040-04-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179R7H6 88358.13000000 PA USD 91176.21000000 0.019705645803 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RB6 13519500.00000000 PA USD 14710579.17000000 3.179354161495 Long DBT UST US N 2 2043-05-15 Fixed 2.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200MQ48 490042.79000000 PA USD 549044.53000000 0.118663377636 Long ABS-MBS USGA US N 2 2033-07-15 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BMFL5 211713.47000000 PA USD 216973.77000000 0.046893902042 Long ABS-MBS USGSE US N 2 2028-06-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RCV9 176026.42000000 PA USD 193983.82000000 0.041925151841 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 5.00000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CNU3 75000.68000000 PA USD 78877.33000000 0.017047525082 Long ABS-O USGA US N 2 2024-06-01 Fixed 5.52000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407XUA7 104441.33000000 PA USD 115102.78000000 0.024876824927 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MJC99 623517.90000000 PA USD 701466.49000000 0.151605887052 Long ABS-MBS USGSE US N 2 2035-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31414CRZ3 123381.79000000 PA USD 138174.87000000 0.029863327804 Long ABS-MBS USGSE US N 2 2038-03-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138W9A75 607168.74000000 PA USD 647087.85000000 0.139853191704 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137B36J2 1993000.00000000 PA USD 2066313.50000000 0.446586252604 Long ABS-MBS USGSE US N 2 2023-02-25 Variable 3.32000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417NCH2 423876.58000000 PA USD 458198.70000000 0.099029135889 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132JADZ5 265931.41000000 PA USD 274414.47000000 0.059308391402 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M5HJ2 10248.97000000 PA USD 11747.94000000 0.002539047681 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 6.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137B6ZM6 1289289.14000000 PA USD 1294740.64000000 0.279828482228 Long ABS-MBS USGSE US N 2 2020-10-25 Variable 3.03000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MJW55 1732765.42000000 PA USD 1809199.26000000 0.391016908972 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828SV3 6594000.00000000 PA USD 6615505.28000000 1.429789677163 Long DBT UST US N 2 2022-05-15 Fixed 1.75000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ERCZ1 207655.85000000 PA USD 222055.49000000 0.047992199223 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417NB67 299273.49000000 PA USD 325582.47000000 0.070367180580 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M9T51 425283.25000000 PA USD 456264.59000000 0.098611122389 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140F5A45 5824785.57000000 PA USD 5992536.25000000 1.295149215008 Long ABS-MBS USGSE US N 2 2046-11-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ETDS2 1659905.86000000 PA USD 1779576.64000000 0.384614659334 Long ABS-MBS USGSE US N 2 2043-01-01 Fixed 4.00000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F030439 700000.00000000 PA USD 716247.67000000 0.154800499963 Long ABS-MBS USGSE US N 2 2035-03-15 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417N4M0 470560.84000000 PA USD 518759.69000000 0.112118004339 Long ABS-MBS USGSE US N 2 2039-10-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PDDH0 17241.92000000 PA USD 17470.21000000 0.003775785047 Long ABS-MBS USGSE US N 2 2021-05-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GRK1 10244.37000000 PA USD 11845.09000000 0.002560044424 Long ABS-MBS USGSE US N 2 2037-10-01 Fixed 6.50000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 Volkswagen Group of America Finance LLC 928668AZ5 801000.00000000 PA USD 809724.31000000 0.175003330930 Long DBT CORP US Y 2 2022-09-26 Fixed 2.70000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410LDU3 153271.47000000 PA USD 166423.62000000 0.035968646965 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F030611 2750000.00000000 PA USD 2787268.14000000 0.602404056135 Long ABS-MBS USGSE US N 2 2050-01-15 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PPZS5 120166.20000000 PA USD 125172.15000000 0.027053088216 Long ABS-MBS USGSE US N 2 2024-09-01 Fixed 4.50000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2019-3 35563PLK3 551785.56000000 PA USD 577969.00000000 0.124914738171 Long ABS-MBS USGSE US N 2 2058-10-25 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132GLGN8 206526.66000000 PA USD 219912.25000000 0.047528987072 Long ABS-MBS USGSE US N 2 2041-12-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810EX2 1862000.00000000 PA USD 2436505.54000000 0.526594768199 Long DBT UST US N 2 2026-08-15 Fixed 6.75000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132WJUV1 834962.42000000 PA USD 867261.63000000 0.187438702486 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N PRIVATE EXPORT FUNDING CYQE6SAYPFKNQJ6FMH60 Private Export Funding Corp 742651DU3 594000.00000000 PA USD 594614.44000000 0.128512268106 Long DBT CORP US N 2 2020-03-15 Fixed 2.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31403C6Q9 19074.67000000 PA USD 19700.26000000 0.004257759187 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BW87 2431775.32000000 PA USD 2618824.66000000 0.565998862776 Long ABS-MBS USGSE US N 2 2034-03-01 Fixed 4.50000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F022410 1775000.00000000 PA USD 1789996.76000000 0.386866729188 Long ABS-MBS USGSE US N 2 2035-01-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419B5X9 1012483.62000000 PA USD 1085769.34000000 0.234664130464 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust 2019-C7 17328CAD4 403746.00000000 PA USD 417125.66000000 0.090152140691 Long ABS-MBS CORP US N 2 2072-12-15 Fixed 3.10000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MJZG8 3438678.92000000 PA USD 3579040.02000000 0.773527381229 Long ABS-MBS USGSE US N 2 2047-01-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BLRJ9 404635.39000000 PA USD 420319.26000000 0.090842364056 Long ABS-MBS USGSE US N 2 2027-01-15 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36177T4M6 175240.56000000 PA USD 184370.16000000 0.039847379812 Long ABS-MBS USGA US N 2 2042-04-15 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132JAJ97 847014.12000000 PA USD 874037.16000000 0.188903077834 Long ABS-MBS USGSE US N 2 2043-05-01 Fixed 3.00000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CNH2 73240.27000000 PA USD 76447.95000000 0.016522470336 Long ABS-O USGA US N 2 2023-11-01 Fixed 4.98000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 9128284B3 3744000.00000000 PA USD 3776145.61000000 0.816127232029 Long DBT UST US N 2 2021-03-15 Fixed 2.38000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128P8FJ5 1583745.52000000 PA USD 1625620.34000000 0.351340537531 Long ABS-MBS USGSE US N 2 2038-01-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407CRE9 46736.11000000 PA USD 52231.26000000 0.011288588431 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 312932ZG4 313266.33000000 PA USD 345127.43000000 0.074591375236 Long ABS-MBS USGSE US N 2 2039-05-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31297DTW8 363278.84000000 PA USD 403534.02000000 0.087214619558 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N Bank N/A BANK 2019-BNK24 06540VBB0 868184.00000000 PA USD 889317.25000000 0.192205518695 Long ABS-MBS CORP US N 2 2062-11-15 Fixed 2.96000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CPA5 14993.31000000 PA USD 15566.55000000 0.003364352616 Long ABS-O USGA US N 2 2024-09-01 Fixed 4.99000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410NLC0 10089.87000000 PA USD 10218.37000000 0.002208466220 Long ABS-MBS USGSE US N 2 2021-07-01 Fixed 6.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PRZ51 113260.77000000 PA USD 118175.05000000 0.025540825596 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Morgan Stanley Capital I Trust N/A Morgan Stanley Capital I Trust 2018-H4 61691RAF3 6251230.62000000 PA USD 393464.96000000 0.085038423268 Long ABS-MBS CORP US N 2 2051-12-15 Variable 0.86000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31292JBG4 48589.43000000 PA USD 53611.60000000 0.011586917251 Long ABS-MBS USGSE US N 2 2034-05-01 Fixed 5.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US LONG BOND(CBT) MAR20 XCBT 20200320 000000000 -52.00000000 NC USD 210346.86000000 0.045461647496 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USH0 Comdty 2020-03-20 -8317471.86 USD 210346.86 N N N Freddie Mac N/A Freddie Mac Gold Pool 3128P8E23 204890.54000000 PA USD 217378.37000000 0.046981347049 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 4.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137B2GW4 617697.69000000 PA USD 616912.97000000 0.133331583738 Long ABS-MBS USGSE US N 2 2020-03-25 Fixed 2.31000000 N N N N N N Neuberger Berman CLO Ltd 549300NPF57YF6WBDP72 Neuberger Berman CLO XX Ltd 64130TAQ8 540000.00000000 PA USD 539630.10000000 0.116628664600 Long ABS-CBDO CORP KY Y 2 2028-01-15 Floating 2.80000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137BFXT3 3924000.00000000 PA USD 4018562.12000000 0.868519998553 Long ABS-MBS USGSE US N 2 2024-12-25 Fixed 2.67000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31409AHU6 5084.44000000 PA USD 5130.94000000 0.001108934954 Long ABS-MBS USGSE US N 2 2021-02-01 Fixed 6.00000000 N N N N N N ENEL FINANCE INTL NV 0YQH6LCEF474UTUV4B96 Enel Finance International NV 29278GAB4 1518000.00000000 PA USD 1536893.82000000 0.332164336014 Long DBT CORP NL Y 2 2022-05-25 Fixed 2.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418CV68 870358.10000000 PA USD 907334.98000000 0.196099637627 Long ABS-MBS USGSE US N 2 2038-04-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202F2V7 121482.17000000 PA USD 135439.21000000 0.029272077663 Long ABS-MBS USGA US N 2 2042-01-20 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828K74 438000.00000000 PA USD 443536.65000000 0.095860270194 Long DBT UST US N 2 2025-08-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31408DV50 41402.26000000 PA USD 47201.69000000 0.010201562276 Long ABS-MBS USGSE US N 2 2035-12-01 Fixed 6.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PR3E7 102579.62000000 PA USD 107042.61000000 0.023134804118 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402DP79 951244.96000000 PA USD 1070299.24000000 0.231320623302 Long ABS-MBS USGSE US N 2 2034-11-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417YSE8 165428.92000000 PA USD 182550.96000000 0.039454201473 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38375GBQ3 70000.00000000 PA USD 68487.06000000 0.014801906621 Long ABS-MBS USGA US N 2 2042-06-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138YWJX6 2022208.62000000 PA USD 2138440.40000000 0.462174827128 Long ABS-MBS USGSE US N 2 2045-10-01 Fixed 3.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828U24 2982000.00000000 PA USD 3013002.69000000 0.651191399763 Long DBT UST US N 2 2026-11-15 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419BBT1 2947964.44000000 PA USD 3161194.42000000 0.683219642025 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128LXDA5 152698.82000000 PA USD 171947.54000000 0.037162515529 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FLP9 95929.09000000 PA USD 103622.87000000 0.022395705781 Long ABS-MBS USGA US N 2 2040-10-20 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UV90 1520153.73000000 PA USD 1575291.12000000 0.340463031404 Long ABS-MBS USGA US N 2 2049-07-20 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31381NLX9 402365.11000000 PA USD 402973.12000000 0.087093393892 Long ABS-MBS USGSE US N 2 2020-08-01 Fixed 4.14000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M6WA2 282628.60000000 PA USD 324421.62000000 0.070116289488 Long ABS-MBS USGSE US N 2 2038-10-01 Fixed 6.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202ESB6 119251.24000000 PA USD 132886.16000000 0.028720294484 Long ABS-MBS USGA US N 2 2038-04-20 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179TLR4 5766440.94000000 PA USD 5933324.62000000 1.282351979762 Long ABS-MBS USGA US N 2 2047-11-20 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810QC5 1287500.00000000 PA USD 1745336.44000000 0.377214425726 Long DBT UST US N 2 2039-08-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31385JJC3 386954.65000000 PA USD 433207.23000000 0.093627803064 Long ABS-MBS USGSE US N 2 2032-07-01 Fixed 6.50000000 N N N N N N MONTEFIORE OBLIGATED GRP N/A Montefiore Obligated Group 61237WAF3 2012000.00000000 PA USD 2327157.75000000 0.502961752315 Long DBT CORP US N 2 2048-11-01 Fixed 5.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411JUS3 30709.26000000 PA USD 35169.40000000 0.007601058867 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BL63 1567332.95000000 PA USD 1763268.08000000 0.381089938281 Long ABS-MBS USGSE US N 2 2038-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419AT49 1277386.16000000 PA USD 1407823.00000000 0.304268639730 Long ABS-MBS USGSE US N 2 2033-11-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418ML75 6401.40000000 PA USD 6611.35000000 0.001428891608 Long ABS-MBS USGSE US N 2 2020-12-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AMD58 282973.46000000 PA USD 309296.53000000 0.066847348321 Long ABS-MBS USGA US N 2 2040-06-15 Fixed 4.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31335ALX4 978665.74000000 PA USD 1062930.02000000 0.229727935481 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FNX70 4436228.10000000 PA USD 394985.34000000 0.085367018520 Long ABS-MBS USGSE US N 2 2029-07-25 Variable 1.09000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MJS43 644786.74000000 PA USD 679392.82000000 0.146835169750 Long ABS-MBS USGSE US N 2 2043-07-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378TKC3 288460.07000000 PA USD 29401.44000000 0.006354446656 Long ABS-MBS USGA US N 2 2041-10-20 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138L3TJ4 222140.62000000 PA USD 223690.03000000 0.048345467540 Long ABS-MBS USGSE US N 2 2021-10-01 Fixed 2.56000000 N N N N N N RECKITT BENCKISER TSY 213800LAXWIUOOBZ3908 Reckitt Benckiser Treasury Services PLC 75625QAD1 1311000.00000000 PA USD 1336056.19000000 0.288757890398 Long DBT CORP GB Y 2 2024-06-26 Fixed 2.75000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128KYA33 162441.94000000 PA USD 186201.08000000 0.040243091161 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 6.00000000 N N N N N N AID-TUNISIA N/A Tunisia Government AID Bonds 066717AA7 1444000.00000000 PA USD 1441079.52000000 0.311456273475 Long DBT NUSS TN N 2 2021-07-24 Fixed 2.45000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132J8ZX1 425811.81000000 PA USD 440581.36000000 0.095221552068 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H030617 2600000.00000000 PA USD 2668948.41000000 0.576831961276 Long ABS-MBS USGA US N 2 2050-01-21 Fixed 3.00000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CVR1 1197166.01000000 PA USD 1228565.16000000 0.265526170586 Long ABS-O USGA US N 2 2033-07-01 Fixed 3.15000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132WHJY2 5672773.00000000 PA USD 5839644.77000000 1.262105229617 Long ABS-MBS USGSE US N 2 2046-10-01 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137B0CN2 1013988.17000000 PA USD 1049663.11000000 0.226860597287 Long ABS-MBS USGSE US N 2 2041-09-15 Fixed 3.50000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CNR0 179188.25000000 PA USD 185550.35000000 0.040102450802 Long ABS-O USGA US N 2 2024-04-01 Fixed 4.77000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138MBH82 499525.04000000 PA USD 534897.24000000 0.115605765504 Long ABS-MBS USGSE US N 2 2042-10-01 Fixed 4.00000000 N N N N N N MFS Institutional Money Market Portfolio 5L2W638H85N8T1136O07 MFS Institutional Money Market Portfolio 55291X109 6138875.54500000 NS USD 6138875.55000000 1.326777097029 Long STIV RF US N 1 N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FBBZ8 25010961.12000000 PA USD 736845.42000000 0.159252231022 Long ABS-MBS USGSE US N 2 2027-08-25 Variable 0.43000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406V2P0 44164.90000000 PA USD 48635.61000000 0.010511471184 Long ABS-MBS USGSE US N 2 2035-06-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36295SD45 40833.69000000 PA USD 43823.43000000 0.009471428890 Long ABS-MBS USGA US N 2 2038-01-15 Fixed 5.50000000 N N N N N N Madison Park Funding Ltd N/A Madison Park Funding XIII Ltd 55818MBC0 1572067.00000000 PA USD 1555943.88000000 0.336281569390 Long ABS-CBDO CORP KY Y 2 2030-04-19 Floating 3.47000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 31398VJ98 91157.46000000 PA USD 91001.56000000 0.019667899213 Long ABS-MBS USGSE US N 2 2020-01-25 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179U4D1 248537.53000000 PA USD 259090.15000000 0.055996391242 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179RBW8 1533296.26000000 PA USD 1582561.02000000 0.342034253485 Long ABS-MBS USGA US N 2 2045-04-20 Fixed 3.00000000 N N N N N N Freddie Mac - SCRT N/A Seasoned Credit Risk Transfer Trust Series 2019-3 35563PLH0 1045370.47000000 PA USD 1085686.75000000 0.234646280530 Long ABS-MBS USGSE US N 2 2058-10-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38377YEC0 385000.00000000 PA USD 413283.02000000 0.089321642222 Long ABS-MBS USGA US N 2 2041-07-20 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MJXK1 1496103.16000000 PA USD 1563068.08000000 0.337821301759 Long ABS-MBS USGSE US N 2 2045-12-01 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31407QRK4 82214.51000000 PA USD 89613.24000000 0.019367845699 Long ABS-MBS USGSE US N 2 2034-12-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WHNH1 1093215.00000000 PA USD 1151164.58000000 0.248797811132 Long ABS-MBS USGSE US N 2 2046-07-01 Fixed 3.50000000 N N N N N N Morgan Stanley BAML Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 61767EAE4 415862.00000000 PA USD 442769.10000000 0.095694381872 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 3.54000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138A2NB1 18146.10000000 PA USD 19399.51000000 0.004192758975 Long ABS-MBS USGSE US N 2 2041-01-01 Fixed 5.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300S7ENI2U7O0XH56 Wells Fargo Commercial Mortgage Trust 2015-C28 94989JAZ9 1937516.00000000 PA USD 2044561.82000000 0.441885126053 Long ABS-MBS CORP US N 2 2048-05-15 Fixed 3.54000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CLQ4 60425.70000000 PA USD 61262.32000000 0.013240444837 Long ABS-O USGA US N 2 2021-07-01 Fixed 6.63000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 312940ZV4 78941.57000000 PA USD 86361.53000000 0.018665063191 Long ABS-MBS USGSE US N 2 2040-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31389DTB3 54643.77000000 PA USD 61831.41000000 0.013363440584 Long ABS-MBS USGSE US N 2 2031-09-01 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36200NBS9 313298.17000000 PA USD 351443.75000000 0.075956502880 Long ABS-MBS USGA US N 2 2034-01-15 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36297GSD3 632599.54000000 PA USD 666694.81000000 0.144090786237 Long ABS-MBS USGA US N 2 2041-12-15 Fixed 3.50000000 N N N N N N Fanniemae-Aces N/A Fannie Mae-Aces 3136B1XJ8 1276000.00000000 PA USD 1333987.69000000 0.288310831583 Long ABS-MBS USGSE US N 2 2028-03-25 Variable 3.04000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3129456V5 227001.67000000 PA USD 247176.59000000 0.053421548598 Long ABS-MBS USGSE US N 2 2041-02-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132L5AD5 5247359.99000000 PA USD 5414764.73000000 1.170277157608 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 3.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418CM43 477881.12000000 PA USD 490185.62000000 0.105942374725 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 3.00000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CVK6 1209888.34000000 PA USD 1198554.59000000 0.259040074456 Long ABS-O USGA US N 2 2033-03-01 Fixed 2.22000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AFWD5 243923.25000000 PA USD 268437.10000000 0.058016520024 Long ABS-MBS USGA US N 2 2040-03-15 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828VS6 13918000.00000000 PA USD 14324769.56000000 3.095970266481 Long DBT UST US N 2 2023-08-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402DF70 78707.13000000 PA USD 90243.42000000 0.019504044647 Long ABS-MBS USGSE US N 2 2034-08-01 Fixed 6.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M6JU3 70691.57000000 PA USD 77996.43000000 0.016857138759 Long ABS-MBS USGSE US N 2 2036-12-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402C4J8 477523.16000000 PA USD 537274.47000000 0.116119549225 Long ABS-MBS USGSE US N 2 2034-04-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138LFV62 256929.47000000 PA USD 256095.78000000 0.055349226871 Long ABS-MBS USGSE US N 2 2026-11-01 Fixed 2.28000000 N N N N N N TICP CLO Ltd N/A TICP CLO III-2 Ltd 87249FAC8 1261352.00000000 PA USD 1254979.65000000 0.271235056533 Long ABS-CBDO CORP KY Y 2 2028-04-20 Floating 2.81000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CLK7 17581.04000000 PA USD 17806.47000000 0.003848459930 Long ABS-O USGA US N 2 2021-04-01 Fixed 6.35000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 312941LZ8 220850.36000000 PA USD 239899.28000000 0.051848725015 Long ABS-MBS USGSE US N 2 2040-07-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378YJY6 550000.00000000 PA USD 542942.51000000 0.117344566020 Long ABS-MBS USGA US N 2 2032-07-20 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138LQ2S2 269053.92000000 PA USD 288072.28000000 0.062260213662 Long ABS-MBS USGSE US N 2 2042-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31416BLD8 347179.60000000 PA USD 389512.54000000 0.084184198371 Long ABS-MBS USGSE US N 2 2037-08-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810RK6 21059000.00000000 PA USD 21460149.31000000 4.638118882103 Long DBT UST US N 2 2045-02-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412LCW8 65047.29000000 PA USD 73134.51000000 0.015806346305 Long ABS-MBS USGSE US N 2 2037-02-01 Fixed 6.50000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CMC4 43509.73000000 PA USD 44300.78000000 0.009574597140 Long ABS-O USGA US N 2 2022-03-01 Fixed 6.07000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132QSWK0 2964069.68000000 PA USD 3094900.22000000 0.668891671779 Long ABS-MBS USGSE US N 2 2045-09-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FAWU8 29938882.58000000 PA USD 1165978.76000000 0.251999556236 Long ABS-MBS USGSE US N 2 2027-07-25 Variable 0.58000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419HBF8 94680.64000000 PA USD 103812.69000000 0.022436731018 Long ABS-MBS USGSE US N 2 2040-11-01 Fixed 5.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38378CP92 385606.79000000 PA USD 412420.88000000 0.089135310443 Long ABS-MBS USGA US N 2 2041-09-20 Fixed 4.50000000 N N N N N N INTER-AMERICAN DEVEL BK VKU1UKDS9E7LYLMACP54 Inter-American Development Bank 4581X0CE6 1093000.00000000 PA USD 1437743.28000000 0.310735221747 Long DBT NUSS N/A N 2 2044-01-24 Fixed 4.38000000 N N N N N N State Street Bank and Trust Company 571474TGEMMWANRLN572 PURCHASED USD / SOLD JPY 000000000 1.00000000 NC 36280.37000000 0.007841169542 N/A DFE US N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 1500000000.00000000 JPY 13841443.50000000 USD 2020-01-06 36280.37 N N N Fanniemae-Aces N/A Fannie Mae-Aces 3136AVY52 1032000.00000000 PA USD 1049841.22000000 0.226899091677 Long ABS-MBS USGSE US N 2 2026-12-25 Variable 2.59000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179UZU9 321842.77000000 PA USD 334974.96000000 0.072397151788 Long ABS-MBS USGA US N 2 2049-09-20 Fixed 4.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36177UCZ5 122771.11000000 PA USD 129471.57000000 0.027982309201 Long ABS-MBS USGA US N 2 2040-08-15 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140F5DA8 6524866.86000000 PA USD 6773210.80000000 1.463874106845 Long ABS-MBS USGSE US N 2 2046-12-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 31398QHB6 1100489.87000000 PA USD 1100067.17000000 0.237754278362 Long ABS-MBS USGSE US N 2 2020-03-25 Fixed 4.22000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ETEE2 1201792.39000000 PA USD 1304665.65000000 0.281973545415 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.50000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CVS9 622374.88000000 PA USD 639044.13000000 0.138114726185 Long ABS-O USGA US N 2 2033-08-01 Fixed 3.16000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3140F5BK8 215546.21000000 PA USD 218295.10000000 0.047179477204 Long ABS-MBS USGSE US N 2 2031-11-01 Fixed 2.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FBTA4 1703107.00000000 PA USD 1766338.93000000 0.381753632049 Long ABS-MBS USGSE US N 2 2024-08-25 Variable 3.06000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136APK43 591753.67000000 PA USD 589490.51000000 0.127404848202 Long ABS-MBS USGSE US N 2 2044-05-25 Fixed 2.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M6NG9 94859.56000000 PA USD 106761.85000000 0.023074124285 Long ABS-MBS USGSE US N 2 2036-06-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138X13A2 501895.14000000 PA USD 528746.40000000 0.114276402566 Long ABS-MBS USGSE US N 2 2043-08-01 Fixed 3.50000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AH3J7 429261.56000000 PA USD 440273.06000000 0.095154920097 Long ABS-MBS USGSE US N 2 2025-05-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620A9PQ8 168306.50000000 PA USD 179105.68000000 0.038709583251 Long ABS-MBS USGA US N 2 2039-10-15 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828WJ5 5385000.00000000 PA USD 5567183.70000000 1.203219020805 Long DBT UST US N 2 2024-05-15 Fixed 2.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31402RHX0 930.96000000 PA USD 960.51000000 0.000207592198 Long ABS-MBS USGSE US N 2 2020-07-01 Fixed 4.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810EH7 177000.00000000 PA USD 189058.48000000 0.040860652609 Long DBT UST US N 2 2021-02-15 Fixed 7.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410LK35 531940.35000000 PA USD 569662.14000000 0.123119400978 Long ABS-MBS USGSE US N 2 2042-12-01 Fixed 4.00000000 N N N N N N Small Business Administration Participation Certs N/A United States Small Business Administration 83162CPL1 117680.12000000 PA USD 122831.78000000 0.026547270939 Long ABS-O USGA US N 2 2025-04-01 Fixed 5.11000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FXC5 746692.84000000 PA USD 806695.34000000 0.174348688562 Long ABS-MBS USGA US N 2 2041-09-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WGHU1 392940.40000000 PA USD 415512.29000000 0.089803447783 Long ABS-MBS USGSE US N 2 2046-01-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FBU79 3000000.00000000 PA USD 3168232.80000000 0.684740826371 Long ABS-MBS USGSE US N 2 2027-09-25 Variable 3.19000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H032613 2250000.00000000 PA USD 2318481.90000000 0.501086666400 Long ABS-MBS USGA US N 2 2050-01-21 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179SLR6 1249515.41000000 PA USD 1289688.44000000 0.278736565118 Long ABS-MBS USGA US N 2 2046-09-20 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137BYPS3 16492238.58000000 PA USD 496620.89000000 0.107333210681 Long ABS-MBS USGSE US N 2 2024-04-25 Variable 0.88000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410GBE2 250277.48000000 PA USD 281645.32000000 0.060871173721 Long ABS-MBS USGSE US N 2 2036-11-01 Fixed 5.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912828Y79 5161000.00000000 PA USD 5467344.78000000 1.181641128995 Long DBT UST US N 2 2025-07-31 Fixed 2.88000000 N N N N N N GS Mortgage Securities Trust 54930066YOFVQE068N73 GS Mortgage Securities Trust 2015-GC32 36250PAB1 1180000.00000000 PA USD 1181834.78000000 0.255426471151 Long ABS-MBS CORP US N 2 2048-07-10 Fixed 3.06000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138AA5A5 797253.91000000 PA USD 865644.90000000 0.187089283391 Long ABS-MBS USGSE US N 2 2041-04-01 Fixed 4.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BCM47 473521.98000000 PA USD 481989.64000000 0.104171001700 Long ABS-MBS USGSE US N 2 2040-12-15 Fixed 3.00000000 N N N N N N COMM Mortgage Trust N/A COMM 2017-COR2 Mortgage Trust 12595EAD7 1414455.00000000 PA USD 1497536.83000000 0.323658225650 Long ABS-MBS CORP US N 2 2050-09-10 Fixed 3.51000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810EQ7 2891000.00000000 PA USD 3356403.62000000 0.725409631638 Long DBT UST US N 2 2023-08-15 Fixed 6.25000000 N N N N N N Chesapeake Funding II LLC 5493000HT7H4OFOD6Z12 Chesapeake Funding II LLC 165183BG8 746061.75000000 PA USD 754412.87000000 0.163049032264 Long ABS-O CORP US Y 2 2030-04-15 Fixed 3.04000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 3620AMF80 279483.62000000 PA USD 304442.38000000 0.065798235175 Long ABS-MBS USGA US N 2 2040-07-15 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417AYE3 2328486.61000000 PA USD 2493963.65000000 0.539013020331 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N FANNIE MAE N/A Fannie Mae REMICS 3136AWYJ0 2219694.88000000 PA USD 2264435.27000000 0.489405727396 Long ABS-MBS USGSE US N 2 2053-05-25 Fixed 3.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810FA1 326000.00000000 PA USD 430953.57000000 0.093140726164 Long DBT UST US N 2 2027-08-15 Fixed 6.38000000 N N N N N N GS Mortgage Securities Trust 549300L45M7638EL0H21 GS Mortgage Securities Trust 2015-GC30 36250GAP0 1965000.00000000 PA USD 2055311.99000000 0.444208528641 Long ABS-MBS CORP US N 2 2050-05-10 Fixed 3.38000000 N N N N N N UBS Commercial Mortgage Trust N/A CCUBS Commercial Mortgage Trust 2017-C1 12508GAU0 1521000.00000000 PA USD 1617135.41000000 0.349506714594 Long ABS-MBS CORP US N 2 2050-11-15 Fixed 3.54000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FHPJ6 1854000.00000000 PA USD 2052920.85000000 0.443691738594 Long ABS-MBS USGSE US N 2 2028-07-25 Variable 3.93000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31292HRE6 282540.25000000 PA USD 318971.64000000 0.068938401358 Long ABS-MBS USGSE US N 2 2032-08-01 Fixed 6.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137BKRJ1 3082000.00000000 PA USD 3255135.36000000 0.703522820784 Long ABS-MBS USGSE US N 2 2025-05-25 Variable 3.33000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M6HH4 1237.42000000 PA USD 1425.94000000 0.000308184213 Long ABS-MBS USGSE US N 2 2038-06-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31410TM44 8580.74000000 PA USD 8759.13000000 0.001893084976 Long ABS-MBS USGSE US N 2 2022-05-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36296FS61 17709.38000000 PA USD 19935.03000000 0.004308499336 Long ABS-MBS USGA US N 2 2058-04-20 Variable 5.87000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 United States Treasury Note/Bond 912810QZ4 8176700.00000000 PA USD 9261951.20000000 2.001758241533 Long DBT UST US N 2 2043-02-15 Fixed 3.13000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136A5C38 113623.82000000 PA USD 10604.26000000 0.002291867490 Long ABS-MBS USGSE US N 2 2031-12-25 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31368HMH3 71886.80000000 PA USD 79277.14000000 0.017133934840 Long ABS-MBS USGSE US N 2 2035-08-01 Fixed 5.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AFZS6 691406.26000000 PA USD 725168.66000000 0.156728567265 Long ABS-MBS USGSE US N 2 2028-03-25 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EQTZ5 901247.01000000 PA USD 978236.47000000 0.211423367895 Long ABS-MBS USGSE US N 2 2044-06-01 Fixed 4.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137B3NA2 3500000.00000000 PA USD 3623008.55000000 0.783030170155 Long ABS-MBS USGSE US N 2 2023-04-25 Variable 3.25000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138A2AX7 651629.85000000 PA USD 698689.28000000 0.151005656833 Long ABS-MBS USGSE US N 2 2040-12-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128LXAY6 171439.55000000 PA USD 196764.55000000 0.042526142828 Long ABS-MBS USGSE US N 2 2035-05-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371MMG9 96221.70000000 PA USD 108131.14000000 0.023370064901 Long ABS-MBS USGSE US N 2 2036-01-01 Fixed 5.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae 21H040616 1475000.00000000 PA USD 1526591.49000000 0.329937723766 Long ABS-MBS USGA US N 2 2050-01-21 Fixed 4.00000000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300REQJRID6TODX95 Wells Fargo Commercial Mortgage Trust 2018-C48 95001RAY5 3735304.89000000 PA USD 260576.74000000 0.056317683561 Long ABS-MBS CORP US Y 2 2052-01-15 Variable 0.95000000 N N N N N N UMBS, TBA N/A Uniform Mortgage-Backed Security, TBA 01F022428 425000.00000000 PA USD 428391.56000000 0.092587006486 Long ABS-MBS USGSE US N 2 2035-02-15 Fixed 2.50000000 N N N N N N Freddie Mac N/A Freddie Mac Pool 3132D53U4 407055.95000000 PA USD 417315.80000000 0.090193235089 Long ABS-MBS USGSE US N 2 2034-10-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36179NF78 3280541.75000000 PA USD 3462203.42000000 0.748275830890 Long ABS-MBS USGA US N 2 2043-06-20 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PRZ69 108343.89000000 PA USD 113065.61000000 0.024436537373 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138WHBP6 3270222.07000000 PA USD 3396334.62000000 0.734039801094 Long ABS-MBS USGSE US N 2 2046-05-01 Fixed 3.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M9DT6 665940.70000000 PA USD 723414.36000000 0.156349415571 Long ABS-MBS USGSE US N 2 2040-08-01 Fixed 4.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FSD9 392662.96000000 PA USD 416697.95000000 0.090059700988 Long ABS-MBS USGA US N 2 2041-04-20 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 Federal Home Loan Banks 3130ADUJ9 5500000.00000000 PA USD 5510488.39000000 1.190965630391 Long DBT USGSE US N 2 2020-03-30 Fixed 2.38000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31381T4F4 424554.71000000 PA USD 430196.65000000 0.092977135273 Long ABS-MBS USGSE US N 2 2022-03-01 Fixed 2.67000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae II Pool 36202FPG5 463182.61000000 PA USD 500332.91000000 0.108135478634 Long ABS-MBS USGA US N 2 2041-01-20 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EH3F7 1808161.04000000 PA USD 1939089.00000000 0.419089596025 Long ABS-MBS USGSE US N 2 2041-10-01 Fixed 4.00000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 Federal Home Loan Banks 313376C94 4800000.00000000 PA USD 4889155.44000000 1.056678769389 Long DBT USGSE US N 2 2021-12-10 Fixed 2.63000000 N N N N N N COMM Mortgage Trust N/A COMM 2015-DC1 Mortgage Trust 12629NAF2 1536000.00000000 PA USD 1598946.05000000 0.345575501775 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.35000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137BLMZ8 904000.00000000 PA USD 940987.70000000 0.203372900912 Long ABS-MBS USGSE US N 2 2025-07-25 Fixed 3.01000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419ANB9 650722.45000000 PA USD 697744.71000000 0.150801509700 Long ABS-MBS USGSE US N 2 2040-09-01 Fixed 4.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31396VEQ7 606657.83000000 PA USD 670718.53000000 0.144960420993 Long ABS-MBS USGSE US N 2 2037-04-25 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3132L6HF1 1072914.21000000 PA USD 1136905.24000000 0.245715981964 Long ABS-MBS USGSE US N 2 2044-04-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128MBRY5 18105.63000000 PA USD 18706.97000000 0.004043082344 Long ABS-MBS USGSE US N 2 2022-06-01 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31418CRF3 927096.58000000 PA USD 951090.62000000 0.205556415264 Long ABS-MBS USGSE US N 2 2037-11-01 Fixed 3.00000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Ginnie Mae I Pool 36294UUL4 157171.79000000 PA USD 165510.10000000 0.035771210577 Long ABS-MBS USGA US N 2 2042-02-15 Fixed 3.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412QSX8 78572.02000000 PA USD 86607.43000000 0.018718208834 Long ABS-MBS USGSE US N 2 2039-11-01 Fixed 5.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128PR3G2 97043.84000000 PA USD 101255.25000000 0.021883999041 Long ABS-MBS USGSE US N 2 2025-07-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M4T37 74732.52000000 PA USD 83840.10000000 0.018120113950 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137BNPS7 934167.93000000 PA USD 959722.37000000 0.207421969976 Long ABS-MBS USGSE US N 2 2045-06-15 Fixed 3.00000000 N N N N N N University of California N/A UNIV OF CALIFORNIA CA REVENUES 91412F7Y7 1345000.00000000 PA USD 1782555.40000000 0.385258449962 Long DBT MUN US N 2 2043-05-15 Fixed 5.77000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412XZL1 11363.13000000 PA USD 12758.04000000 0.002757357619 Long ABS-MBS USGSE US N 2 2037-07-01 Fixed 6.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EPS47 519367.06000000 PA USD 556489.78000000 0.120272497596 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31412FS38 92220.87000000 PA USD 102937.81000000 0.022247645780 Long ABS-MBS USGSE US N 2 2037-05-01 Fixed 6.00000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 31397QLS5 160333.73000000 PA USD 164037.97000000 0.035453043455 Long ABS-MBS USGSE US N 2 2040-04-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 Government National Mortgage Association 38379RD34 2204114.04000000 PA USD 124802.67000000 0.026973233592 Long ABS-MBS USGA US N 2 2059-02-16 Variable 0.66000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137A9RJ7 165404.47000000 PA USD 32412.05000000 0.007005120930 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31406LYC6 14035.42000000 PA USD 15768.52000000 0.003408003798 Long ABS-MBS USGSE US N 2 2035-02-01 Fixed 5.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138ER5E6 2401997.67000000 PA USD 2568177.91000000 0.555052729825 Long ABS-MBS USGSE US N 2 2044-05-01 Fixed 4.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31411VFL8 108227.98000000 PA USD 123972.35000000 0.026793778975 Long ABS-MBS USGSE US N 2 2037-04-01 Fixed 6.00000000 N N N N N N Dryden Senior Loan Fund N/A Dryden 55 CLO Ltd 26245MAC5 1537212.00000000 PA USD 1526469.96000000 0.329911457845 Long ABS-CBDO CORP KY Y 2 2031-04-15 Floating 3.02000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AK6V0 1241212.74000000 PA USD 1261991.26000000 0.272750455157 Long ABS-MBS USGSE US N 2 2040-06-25 Fixed 3.00000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 3137FMVC3 2276139.32000000 PA USD 2329227.08000000 0.503408990515 Long ABS-MBS USGSE US N 2 2049-08-25 Fixed 3.00000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137B1BS0 2326000.00000000 PA USD 2357136.77000000 0.509441029636 Long ABS-MBS USGSE US N 2 2022-11-25 Fixed 2.51000000 N N N N N N COMMONSPIRIT HEALTH 4SXHN5XW08IBO0UG2V58 CommonSpirit Health 20268JAA1 898000.00000000 PA USD 905521.50000000 0.195707695535 Long DBT CORP US N 2 2024-10-01 Fixed 2.76000000 N N N N N N Fannie Mae N/A Fannie Mae REMICS 3136AEEP8 350671.84000000 PA USD 349185.10000000 0.075468347506 Long ABS-MBS USGSE US N 2 2040-10-25 Fixed 2.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31417AYG8 216343.10000000 PA USD 231755.49000000 0.050088631662 Long ABS-MBS USGSE US N 2 2042-01-01 Fixed 4.00000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 3128M9ND0 429302.64000000 PA USD 482250.92000000 0.104227471377 Long ABS-MBS USGSE US N 2 2041-06-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A Freddie Mac REMICS 31396HE70 289594.64000000 PA USD 316524.10000000 0.068409421744 Long ABS-MBS USGSE US N 2 2036-02-15 Fixed 5.00000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 3138EHGM8 613037.93000000 PA USD 657370.68000000 0.142075589475 Long ABS-MBS USGSE US N 2 2041-11-01 Fixed 4.00000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 BAT Capital Corp 05526DAV7 1283000.00000000 PA USD 1301272.08000000 0.281240103124 Long DBT CORP US N 2 2022-08-15 Fixed 2.76000000 N N N N N N Freddie Mac N/A Freddie Mac Gold Pool 31292LLA1 789482.00000000 PA USD 832262.60000000 0.179874465185 Long ABS-MBS USGSE US N 2 2042-05-01 Fixed 3.50000000 N N N N N N FHLMC Multifamily Structured Pass Through Certs. N/A Freddie Mac Multifamily Structured Pass Through Certificates 3137FQKQ5 17080000.00000000 PA USD 929426.99000000 0.200874318700 Long ABS-MBS USGSE US N 2 2051-12-25 Variable 0.75600000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31419GP24 228464.51000000 PA USD 248059.10000000 0.053612282886 Long ABS-MBS USGSE US N 2 2040-10-01 Fixed 4.50000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 Fannie Mae Pool 31371LQW2 85125.33000000 PA USD 95792.31000000 0.020703309904 Long ABS-MBS USGSE US N 2 2034-07-01 Fixed 5.50000000 N N N N N N 2020-01-15 MFS VARIABLE INSURANCE TRUST II Kasey Phillips Kasey Phillips Assistant Treasurer