portfolio holdings listing fidelity asset manager 85%

Portfolio Holdings ListingFidelity Asset Manager 85%

as of September 30, 2021The portfolio holdings listing (listing) provides information on a fund’s investments as ofthe date indicated. Top 10 holdings information (top 10 holdings) is also provided forcertain equity and high income funds. The listing and top 10 holdings are not part of afund’s annual/semiannual report or Form N-Q and have not been audited.

The information provided in this listing and top 10 holdings may differ from a fund’sholdings disclosed in its annual/semiannual report and Form N-Q as follows, whereapplicable:

With certain exceptions, the listing and top 10 holdings provide information onthe direct holdings of a fund as well as a fund’s pro rata share of any securitiesand other investments held indirectly through investment in underlying non-money market Fidelity Central Funds. A fund’s pro rata share of the underlyingholdings of any investment in high income and floating rate central funds isprovided at a fund’s fiscal quarter end. For certain funds, direct holdings in highincome or convertible securities are presented at a fund’s fiscal quarter end andare presented collectively for other periods.

For the annual/semiannual report, a fund’s investments include trades executedthrough the end of the last business day of the period. This listing and the top 10holdings include trades executed through the end of the prior business day.

The listing includes any investment in derivative instruments, and excludes the valueof any cash collateral held for securities on loan and a fund’s net other assets.Therefore, the holdings as a percent of fund net assets may not total to 100%.

The presentation of investment holdings by category is similar to that used in other marketing materials.

The fund’s holdings are consistent across all share classes.

The top 10 holdings is presented to illustrate examples of the securities that the fund hasbought and the diversity of the areas in which the fund may invest, may not be representativeof the fund’s current or future investments, and may change at any time. The top 10holdings do not include cash, cash equivalents, money market instruments, options,interest rate swaps, fixed income total return swaps and/or futures contracts. Depositaryreceipts, credit default swaps and equity total return swaps are normally combined withthe underlying security.

The most recent annual/semiannual report can be viewed at www.fidelity.com orwww.institutional.fidelity.com. Forms N-Q are available on the SEC’s web site at www.sec.gov.

Before investing, consider the fund’s investment objectives, risks, charges and expenses.Contact Fidelity for a prospectus containing this information. Read it carefully.

466719.7.0

DUMMY

TOP TEN HOLDINGS% of Net

Security Name Market Value AssetsMicrosoft Corp. $146,522,993 3.9%Apple, Inc. $133,929,177 3.5%iShares 20+ Year Treasury Bond ETF $111,125,390 2.9%Alphabet, Inc. Class A $103,801,452 2.7%Amazon.com, Inc. $73,583,093 1.9%Facebook, Inc. Class A $52,262,881 1.4%Salesforce.com, Inc. $31,300,804 0.8%UnitedHealth Group, Inc. $28,289,617 0.7%Adobe, Inc. $27,184,315 0.7%Wells Fargo & Co. $24,482,202 0.6%

Top Ten Holdings Total: $732,481,923 19.3%

466719.7.0 Fidelity Distributors Company, LLC

500 Salem Street

Not Part of Annual or Semiannual Report Smithfield, RI 02917

2

FULL HOLDINGS LISTING% of Net

Security Name Market Value Assets Ticker CUSIP ISIN SEDOL

Equities

Microsoft Corp. $146,522,993 3.855% MSFT 594918104 US5949181045 2588173Apple, Inc. $133,929,177 3.523% AAPL 037833100 US0378331005 2046251Alphabet, Inc. Class A $103,801,452 2.731% GOOGL 02079K305 US02079K3059 BYVY8G0Amazon.com, Inc. $73,583,093 1.936% AMZN 023135106 US0231351067 2000019Facebook, Inc. Class A $52,262,881 1.375% FB 30303M102 US30303M1027 B7TL820Salesforce.com, Inc. $31,300,804 0.823% CRM 79466L302 US79466L3024 2310525UnitedHealth Group, Inc. $28,289,617 0.744% UNH 91324P102 US91324P1021 2917766Adobe, Inc. $27,184,315 0.715% ADBE 00724F101 US00724F1012 2008154Wells Fargo & Co. $24,482,202 0.644% WFC 949746101 US9497461015 2649100Procter & Gamble Co. $21,467,382 0.565% PG 742718109 US7427181091 2704407Bank of America Corp. $21,228,816 0.558% BAC 060505104 US0605051046 2295677Exxon Mobil Corp. $19,909,675 0.524% XOM 30231G102 US30231G1022 2326618Tesla, Inc. $19,888,882 0.523% TSLA 88160R101 US88160R1014 B616C79Boston Scientific Corp. $19,881,137 0.523% BSX 101137107 US1011371077 2113434Capital One Financial Corp. $18,697,332 0.492% COF 14040H105 US14040H1059 2654461CME E-mini S&P 500 Index Contracts $18,631,737 0.490% ESZ1The Coca-Cola Co. $18,564,973 0.488% KO 191216100 US1912161007 2206657Analog Devices, Inc. $18,519,948 0.487% ADI 032654105 US0326541051 2032067Danaher Corp. $18,167,529 0.478% DHR 235851102 US2358511028 2250870Visa, Inc. Class A $17,599,090 0.463% V 92826C839 US92826C8394 B2PZN04Humana, Inc. $17,075,455 0.449% HUM 444859102 US4448591028 2445063PayPal Holdings, Inc. $16,714,440 0.440% PYPL 70450Y103 US70450Y1038 BYW36M8Prologis (REIT), Inc. $16,212,172 0.426% PLD 74340W103 US74340W1036 B44WZD7Bank of New York Mellon Corp. $15,661,447 0.412% BK 064058100 US0640581007 B1Z77F6Eli Lilly & Co. $15,410,077 0.405% LLY 532457108 US5324571083 2516152The Home Depot, Inc. $13,623,367 0.358% HD 437076102 US4370761029 2434209Cigna Corp. $13,613,326 0.358% CI 125523100 US1255231003 BHJ0775The Travelers Companies, Inc. $13,565,789 0.357% TRV 89417E109 US89417E1091 2769503MasterCard, Inc. Class A $13,348,824 0.351% MA 57636Q104 US57636Q1040 B121557Micron Technology, Inc. $12,882,972 0.339% MU 595112103 US5951121038 2588184JPMorgan Chase & Co. $12,571,451 0.331% JPM 46625H100 US46625H1005 2190385Caterpillar, Inc. $12,469,749 0.328% CAT 149123101 US1491231015 2180201Old Dominion Freight Lines, Inc. $12,136,457 0.319% ODFL 679580100 US6795801009 2656423The Walt Disney Co. $11,709,314 0.308% DIS 254687106 US2546871060 2270726PNC Financial Services Group, Inc. $11,679,447 0.307% PNC 693475105 US6934751057 2692665


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLComcast Corp. Class A $11,449,476 0.301% CMCSA 20030N101 US20030N1019 2044545NIKE, Inc. Class B $11,304,248 0.297% NKE 654106103 US6541061031 2640147American Tower Corp. $11,230,943 0.295% AMT 03027X100 US03027X1000 B7FBFL2T-Mobile U.S., Inc. $11,216,835 0.295% TMUS 872590104 US8725901040 B94Q9V0Trane Technologies PLC $11,178,830 0.294% TT IE00BK9ZQ967 BK9ZQ96Cognizant Technology Solutions Corp. Class A $11,123,199 0.293% CTSH 192446102 US1924461023 2257019BlackRock, Inc. Class A $11,051,165 0.291% BLK 09247X101 US09247X1019 2494504Autodesk, Inc. $10,957,124 0.288% ADSK 052769106 US0527691069 2065159Digital Realty Trust, Inc. $10,734,479 0.282% DLR 253868103 US2538681030 B03GQS4Roper Technologies, Inc. $10,593,471 0.279% ROP 776696106 US7766961061 2749602The Boeing Co. $10,555,951 0.278% BA 097023105 US0970231058 2108601Marsh & McLennan Companies, Inc. $10,406,471 0.274% MMC 571748102 US5717481023 2567741Intercontinental Exchange, Inc. $10,401,022 0.274% ICE 45866F104 US45866F1049 BFSSDS9AMETEK, Inc. $10,346,657 0.272% AME 031100100 US0311001004 2089212American Express Co. $10,268,689 0.270% AXP 025816109 US0258161092 2026082Deere & Co. $10,062,382 0.265% DE 244199105 US2441991054 2261203CubeSmart $9,988,310 0.263% CUBE 229663109 US2296631094 B6SW913Insulet Corp. $9,727,915 0.256% PODD 45784P101 US45784P1012 B1XGNW4Uber Technologies, Inc. $9,581,222 0.252% UBER 90353T100 US90353T1007 BK6N347Penumbra, Inc. $9,354,971 0.246% PEN 70975L107 US70975L1070 BZ0V201Thermo Fisher Scientific, Inc. $9,225,504 0.243% TMO 883556102 US8835561023 2886907IHS Markit Ltd. $9,204,953 0.242% INFO BMG475671050 BD0Q558Palo Alto Networks, Inc. $9,177,707 0.241% PANW 697435105 US6974351057 B87ZMX0Morgan Stanley $9,148,600 0.241% MS 617446448 US6174464486 2262314Philip Morris International, Inc. $8,951,975 0.235% PM 718172109 US7181721090 B2PKRQ3Workday, Inc. Class A $8,767,282 0.231% WDAY 98138H101 US98138H1014 B8K6ZD1Capri Holdings Ltd. $8,647,963 0.227% CPRI VGG1890L1076 BJ1N1M9CSX Corp. $8,645,805 0.227% CSX 126408103 US1264081035 2160753Snap, Inc. Class A $8,477,931 0.223% SNAP 83304A106 US83304A1060 BD8DJ71Fortune Brands Home & Security, Inc. $8,368,950 0.220% FBHS 34964C106 US34964C1062 B3MC7D6Fortive Corp. $8,298,665 0.218% FTV 34959J108 US34959J1088 BYT3MK1Mondelez International, Inc. $8,254,006 0.217% MDLZ 609207105 US6092071058 B8CKK03Lowe’s Companies, Inc. $8,244,884 0.217% LOW 548661107 US5486611073 2536763Centene Corp. $8,202,274 0.216% CNC 15135B101 US15135B1017 2807061Hartford Financial Services Group, Inc. $8,186,567 0.215% HIG 416515104 US4165151048 2476193Microchip Technology, Inc. $8,119,027 0.214% MCHP 595017104 US5950171042 2592174Altria Group, Inc. $7,991,726 0.210% MO 02209S103 US02209S1033 2692632CBRE Group, Inc. $7,829,523 0.206% CBRE 12504L109 US12504L1098 B6WVMH3AGCO Corp. $7,750,727 0.204% AGCO 001084102 US0010841023 2010278


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLNextEra Energy, Inc. $7,698,026 0.203% NEE 65339F101 US65339F1012 2328915Global Payments, Inc. $7,594,519 0.200% GPN 37940X102 US37940X1028 2712013Hess Corp. $7,438,682 0.196% HES 42809H107 US42809H1077 2023748Netflix, Inc. $7,295,417 0.192% NFLX 64110L106 US64110L1061 2857817Regeneron Pharmaceuticals, Inc. $7,222,852 0.190% REGN 75886F107 US75886F1075 2730190Essex Property Trust, Inc. $7,031,825 0.185% ESS 297178105 US2971781057 2316619Walmart, Inc. $7,013,639 0.185% WMT 931142103 US9311421039 2936921Caesars Entertainment, Inc. $6,992,013 0.184% CZR 12769G100 US12769G1004 BMWWGB0Ventas, Inc. $6,938,084 0.183% VTR 92276F100 US92276F1003 2927925OneMain Holdings, Inc. $6,921,274 0.182% OMF 68268W103 US68268W1036 BYSZB89The AZEK Co., Inc. $6,862,953 0.181% AZEK 05478C105 US05478C1053 BKPVG43Booking Holdings, Inc. $6,708,077 0.176% BKNG 09857L108 US09857L1089 BDRXDB4Electronic Arts, Inc. $6,687,379 0.176% EA 285512109 US2855121099 2310194State Street Corp. $6,671,781 0.176% STT 857477103 US8574771031 2842040M&T Bank Corp. $6,626,771 0.174% MTB 55261F104 US55261F1049 2340168MongoDB, Inc. Class A $6,500,583 0.171% MDB 60937P106 US60937P1066 BF2FJ99Anaplan, Inc. $6,472,128 0.170% PLAN 03272L108 US03272L1089 BD9PLW5Mid-America Apartment Communities, Inc. $6,453,984 0.170% MAA 59522J103 US59522J1034 2589132Intel Corp. $6,452,975 0.170% INTC 458140100 US4581401001 2463247HCA Holdings, Inc. $6,390,165 0.168% HCA 40412C101 US40412C1018 B4MGBG6Chart Industries, Inc. $6,364,737 0.167% GTLS 16115Q308 US16115Q3083 B19HNF4Tapestry, Inc. $6,287,416 0.165% TPR 876030107 US8760301072 BF09HX3Carlisle Companies, Inc. $6,272,965 0.165% CSL 142339100 US1423391002 2176318Kimberly-Clark Corp. $6,012,387 0.158% KMB 494368103 US4943681035 2491839Alnylam Pharmaceuticals, Inc. $5,965,031 0.157% ALNY 02043Q107 US02043Q1076 B00FWN1Starbucks Corp. $5,915,175 0.156% SBUX 855244109 US8552441094 2842255PVH Corp. $5,854,126 0.154% PVH 693656100 US6936561009 B3V9F12Zendesk, Inc. $5,818,984 0.153% ZEN 98936J101 US98936J1016 BMH0MR7Bio-Rad Laboratories, Inc. Class A $5,735,594 0.151% BIO 090572207 US0905722072 2098508Burlington Stores, Inc. $5,650,814 0.149% BURL 122017106 US1220171060 BF311Y5Raytheon Technologies Corp. $5,648,672 0.149% RTX 75513E101 US75513E1010 BM5M5Y3Monster Beverage Corp. $5,595,450 0.147% MNST 61174X109 US61174X1090 BZ07BW4PepsiCo, Inc. $5,592,686 0.147% PEP 713448108 US7134481081 2681511Exelon Corp. $5,569,081 0.147% EXC 30161N101 US30161N1019 2670519IDEX Corp. $5,520,556 0.145% IEX 45167R104 US45167R1041 2456612RLJ Lodging Trust $5,508,288 0.145% RLJ 74965L101 US74965L1017 B3PY1N7CME E-mini S&P 500 Index Contracts $5,483,853 0.144% ESZ1Cintas Corp. $5,412,683 0.142% CTAS 172908105 US1729081059 2197137Zynga, Inc. $5,402,225 0.142% ZNGA 98986T108 US98986T1088 B79PX49


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLArthur J. Gallagher & Co. $5,400,966 0.142% AJG 363576109 US3635761097 2359506Southern Co. $5,381,541 0.142% SO 842587107 US8425871071 2829601Honeywell International, Inc. $5,361,727 0.141% HON 438516106 US4385161066 2020459Activision Blizzard, Inc. $5,330,343 0.140% ATVI 00507V109 US00507V1098 2575818Union Pacific Corp. $5,090,166 0.134% UNP 907818108 US9078181081 2914734Citizens Financial Group, Inc. $5,024,703 0.132% CFG 174610105 US1746101054 BQRX1X3TransUnion Holding Co., Inc. $4,995,006 0.131% TRU 89400J107 US89400J1079 BYMWL86Equity Lifestyle Properties, Inc. $4,975,449 0.131% ELS 29472R108 US29472R1086 2563125Landstar System, Inc. $4,930,364 0.130% LSTR 515098101 US5150981018 2503994Ceridian HCM Holding, Inc. $4,815,130 0.127% CDAY 15677J108 US15677J1088 BFX1V56Hilton Worldwide Holdings, Inc. $4,762,343 0.125% HLT 43300A203 US43300A2033 BYVMW06Xilinx, Inc. $4,754,292 0.125% XLNX 983919101 US9839191015 2985677PTC, Inc. $4,749,093 0.125% PTC 69370C100 US69370C1009 B95N910Cisco Systems, Inc. $4,688,761 0.123% CSCO 17275R102 US17275R1023 2198163Alexandria Real Estate Equities, Inc. $4,664,552 0.123% ARE 015271109 US0152711091 2009210Akamai Technologies, Inc. $4,656,339 0.122% AKAM 00971T101 US00971T1016 2507457VICI Properties, Inc. $4,642,682 0.122% VICI 925652109 US9256521090 BYWH073Dollar General Corp. $4,592,068 0.121% DG 256677105 US2566771059 B5B1S13lululemon athletica, Inc. $4,530,434 0.119% LULU 550021109 US5500211090 B23FN39Marriott International, Inc. Class A $4,419,953 0.116% MAR 571903202 US5719032022 2210614Lamar Advertising Co. Class A $4,388,475 0.115% LAMR 512816109 US5128161099 BSPHGN6NortonLifeLock, Inc. $4,385,055 0.115% NLOK 668771108 US6687711084 BJN4XN5Otis Worldwide Corp. $4,365,269 0.115% OTIS 68902V107 US68902V1070 BK531S8L3Harris Technologies, Inc. $4,345,073 0.114% LHX 502431109 US5024311095 BK9DTN5U.S. Foods Holding Corp. $4,270,555 0.112% USFD 912008109 US9120081099 BYVFC94GoDaddy, Inc. $4,254,173 0.112% GDDY 380237107 US3802371076 BWFRFC6Invitation Homes, Inc. $4,235,261 0.111% INVH 46187W107 US46187W1071 BD81GW9Four Corners Property Trust, Inc. $4,174,508 0.110% FCPT 35086T109 US35086T1097 BZ16HK010X Genomics, Inc. $4,152,124 0.109% TXG 88025U109 US88025U1097 BKS3RS7Corning, Inc. $4,115,815 0.108% GLW 219350105 US2193501051 2224701Bruker Corp. $4,112,326 0.108% BRKR 116794108 US1167941087 2616137TE Connectivity Ltd. $4,051,460 0.107% TEL CH0102993182 B62B7C3JetBlue Airways Corp. $4,050,404 0.107% JBLU 477143101 US4771431016 2852760Lamb Weston Holdings, Inc. $3,888,872 0.102% LW 513272104 US5132721045 BDQZFJ3Cboe Global Markets, Inc. $3,875,646 0.102% CBOE 12503M108 US12503M1080 B5834C5Equinix, Inc. $3,842,592 0.101% EQIX 29444U700 US29444U7000 BVLZX12Keurig Dr. Pepper, Inc. $3,821,303 0.101% KDP 49271V100 US49271V1008 BD3W133CME Group, Inc. $3,794,623 0.100% CME 12572Q105 US12572Q1058 2965839Sempra Energy $3,786,537 0.100% SRE 816851109 US8168511090 2138158


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLSVB Financial Group $3,712,673 0.098% SIVB 78486Q101 US78486Q1013 2808053StepStone Group, Inc. Class A $3,654,613 0.096% STEP 85914M107 US85914M1071 BLFDXF6Tenable Holdings, Inc. $3,589,563 0.094% TENB 88025T102 US88025T1025 BF7J7N6Gartner, Inc. $3,574,420 0.094% IT 366651107 US3666511072 2372763Dominion Energy, Inc. $3,545,667 0.093% D 25746U109 US25746U1097 2542049Sherwin-Williams Co. $3,483,009 0.092% SHW 824348106 US8243481061 2804211Deckers Outdoor Corp. $3,417,613 0.090% DECK 243537107 US2435371073 2267278HubSpot, Inc. $3,399,967 0.089% HUBS 443573100 US4435731009 BR4T3B3Target Corp. $3,392,900 0.089% TGT 87612E106 US87612E1064 2259101Essent Group Ltd. $3,360,642 0.088% ESNT BMG3198U1027 BFWGXR8Goldman Sachs Group, Inc. $3,340,893 0.088% GS 38141G104 US38141G1040 2407966Halliburton Co. $3,312,154 0.087% HAL 406216101 US4062161017 2405302Royalty Pharma PLC $3,298,426 0.087% RPRX GB00BMVP7Y09 BMVP7Y0Cheniere Energy, Inc. $3,274,046 0.086% LNG 16411R208 US16411R2085 2654364Phillips 66 Co. $3,256,954 0.086% PSX 718546104 US7185461040 B78C4Y8Hologic, Inc. $3,238,698 0.085% HOLX 436440101 US4364401012 2433530Skyworks Solutions, Inc. $3,228,542 0.085% SWKS 83088M102 US83088M1027 2961053Ross Stores, Inc. $3,200,512 0.084% ROST 778296103 US7782961038 2746711Freeport-McMoRan, Inc. $3,149,655 0.083% FCX 35671D857 US35671D8570 2352118TJX Companies, Inc. $3,142,289 0.083% TJX 872540109 US8725401090 2989301SITE Centers Corp. $3,133,948 0.082% SITC 82981J109 US82981J1097 BGL0KF5Churchill Downs, Inc. $3,112,925 0.082% CHDN 171484108 US1714841087 2194105Twilio, Inc. Class A $3,110,699 0.082% TWLO 90138F102 US90138F1021 BD6P5Q0ITT, Inc. $3,093,100 0.081% ITT 45073V108 US45073V1089 BZBY209SBA Communications Corp. Class A $3,089,572 0.081% SBAC 78410G104 US78410G1040 BZ6TS23American Eagle Outfitters, Inc. $3,087,871 0.081% AEO 02553E106 US02553E1064 2048592Masimo Corp. $3,040,882 0.080% MASI 574795100 US5747951003 B1YWR63The AES Corp. $2,991,047 0.079% AES 00130H105 US00130H1059 2002479Mirati Therapeutics, Inc. $2,985,499 0.079% MRTX 60468T105 US60468T1051 BBPK0J0Arch Capital Group Ltd. $2,944,360 0.077% ACGL BMG0450A1053 2740542TreeHouse Foods, Inc. $2,924,074 0.077% THS 89469A104 US89469A1043 B095X84Public Service Enterprise Group, Inc. $2,900,964 0.076% PEG 744573106 US7445731067 2707677Lennar Corp. Class A $2,897,755 0.076% LEN 526057104 US5260571048 2511920TG Therapeutics, Inc. $2,891,371 0.076% TGTX 88322Q108 US88322Q1085 B828K63First Horizon National Corp. $2,861,568 0.075% FHN 320517105 US3205171057 2341484Spirit Realty Capital, Inc. $2,844,498 0.075% SRC 84860W300 US84860W3007 BHHZBZ8MGIC Investment Corp. $2,828,234 0.074% MTG 552848103 US5528481030 2548616Air Products & Chemicals, Inc. $2,813,701 0.074% APD 009158106 US0091581068 2011602Bristol-Myers Squibb Co. $2,804,017 0.074% BMY 110122108 US1101221083 2126335


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLOak Street Health, Inc. $2,799,251 0.074% OSH 67181A107 US67181A1079 BN2XDL9Marvell Technology, Inc. $2,789,629 0.073% MRVL 573874104 US5738741041 BNKJSM5FirstEnergy Corp. $2,763,881 0.073% FE 337932107 US3379321074 2100920AT&T, Inc. $2,737,500 0.072% T 00206R102 US00206R1023 2831811Expedia, Inc. $2,735,739 0.072% EXPE 30212P303 US30212P3038 B748CK2Duke Energy Corp. $2,720,236 0.072% DUK 26441C204 US26441C2044 B7VD3F2Ecolab, Inc. $2,715,096 0.071% ECL 278865100 US2788651006 2304227Penn National Gaming, Inc. $2,679,650 0.070% PENN 707569109 US7075691094 2682105American Electric Power Co., Inc. $2,638,921 0.069% AEP 025537101 US0255371017 2026242Edison International $2,619,063 0.069% EIX 281020107 US2810201077 2829515Charles River Laboratories International, Inc. $2,607,478 0.069% CRL 159864107 US1598641074 2604336Constellation Brands, Inc. Class A (sub. vtg.) $2,606,224 0.069% STZ 21036P108 US21036P1084 2170473Americold Realty Trust $2,577,205 0.068% COLD 03064D108 US03064D1081 B3SKZK7Reynolds Consumer Products, Inc. $2,569,454 0.068% REYN 76171L106 US76171L1061 BKV9674Signature Bank $2,542,130 0.067% SBNY 82669G104 US82669G1040 B00JQL9eBay, Inc. $2,531,840 0.067% EBAY 278642103 US2786421030 2293819Coupa Software, Inc. $2,527,444 0.066% COUP 22266L106 US22266L1061 BD87XR1Repay Holdings Corp. $2,525,256 0.066% RPAY 76029L100 US76029L1008 BK5TLP3Zentalis Pharmaceuticals, Inc. $2,514,714 0.066% ZNTL 98943L107 US98943L1070 BMQ5T49Zoom Video Communications, Inc. Class A $2,464,684 0.065% ZM 98980L101 US98980L1017 BGSP7M9PG&E Corp. $2,456,710 0.065% PCG 69331C108 US69331C1080 2689560Intuitive Surgical, Inc. $2,442,841 0.064% ISRG 46120E602 US46120E6023 2871301Newmont Corp. $2,403,856 0.063% NEM 651639106 US6516391066 2636607Guardant Health, Inc. $2,391,589 0.063% GH 40131M109 US40131M1099 BFXC911Tandem Diabetes Care, Inc. $2,388,645 0.063% TNDM 875372203 US8753722037 BF3W461MercadoLibre, Inc. $2,374,015 0.062% MELI 58733R102 US58733R1023 B23X1H3Olin Corp. $2,372,416 0.062% OLN 680665205 US6806652052 2658526Aspen Technology, Inc. $2,342,843 0.062% AZPN 045327103 US0453271035 2051868Comerica, Inc. $2,339,930 0.062% CMA 200340107 US2003401070 2212870Columbus McKinnon Corp. (NY Shares) $2,337,091 0.061% CMCO 199333105 US1993331057 2211071Murphy Oil Corp. $2,303,067 0.061% MUR 626717102 US6267171022 2611206CenterPoint Energy, Inc. $2,295,706 0.060% CNP 15189T107 US15189T1079 2440637Sarepta Therapeutics, Inc. $2,272,433 0.060% SRPT 803607100 US8036071004 B8DPDT7Herbalife Nutrition Ltd. $2,260,933 0.059% HLF KYG4412G1010 B0539H3Wintrust Financial Corp. $2,242,141 0.059% WTFC 97650W108 US97650W1080 2425258Douglas Emmett, Inc. $2,238,389 0.059% DEI 25960P109 US25960P1093 B1G3M58Evergy, Inc. $2,234,039 0.059% EVRG 30034W106 US30034W1062 BFMXGR0Floor & Decor Holdings, Inc. Class A $2,232,583 0.059% FND 339750101 US3397501012 BYQHP96Chipotle Mexican Grill, Inc. $2,221,376 0.058% CMG 169656105 US1696561059 B0X7DZ3


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLEnvista Holdings Corp. $2,201,490 0.058% NVST 29415F104 US29415F1049 BK63SF3Washington REIT (SBI) $2,178,292 0.057% WRE 939653101 US9396531017 2942304Health Catalyst, Inc. $2,172,438 0.057% HCAT 42225T107 US42225T1079 BKLCX50BJ’s Wholesale Club Holdings, Inc. $2,126,653 0.056% BJ 05550J101 US05550J1016 BFZNZF8Altice U.S.A., Inc. Class A $2,126,548 0.056% ATUS 02156K103 US02156K1034 BDRY7P9Ares Management Corp. $2,124,994 0.056% ARES 03990B101 US03990B1017 BF14BT1Western Digital Corp. $2,099,170 0.055% WDC 958102105 US9581021055 2954699Baker Hughes Co. Class A $2,097,879 0.055% BKR 05722G100 US05722G1004 BDHLTQ5D.R. Horton, Inc. $2,096,632 0.055% DHI 23331A109 US23331A1097 2250687Dollar Tree, Inc. $2,078,512 0.055% DLTR 256746108 US2567461080 2272476Inspire Medical Systems, Inc. $2,043,701 0.054% INSP 457730109 US4577301090 BDT5KT5News Corp. Class A $2,029,009 0.053% NWSA 65249B109 US65249B1098 BBGVT40Corteva, Inc. $2,020,724 0.053% CTVA 22052L104 US22052L1044 BK73B42Cano Health, Inc. $2,002,982 0.053% JWS.PIPEReinsurance Group of America, Inc. $1,988,911 0.052% RGA 759351604 US7593516047 2731193International Flavors & Fragrances, Inc. $1,930,636 0.051% IFF 459506101 US4595061015 2464165Healthcare Realty Trust, Inc. $1,926,524 0.051% HR 421946104 US4219461047 2417921Energizer Holdings, Inc. $1,918,109 0.050% ENR 29272W109 US29272W1099 BYZFPN5NiSource, Inc. $1,910,653 0.050% NI 65473P105 US65473P1057 2645409Terreno Realty Corp. $1,869,865 0.049% TRNO 88146M101 US88146M1018 B3N4753Li Auto, Inc. ADR $1,854,241 0.049% LI 50202M102 US50202M1027 BMXHCD8Blackbaud, Inc. $1,847,187 0.049% BLKB 09227Q100 US09227Q1004 2458878Ulta Beauty, Inc. $1,846,566 0.049% ULTA 90384S303 US90384S3031 B28TS42Cognex Corp. $1,838,279 0.048% CGNX 192422103 US1924221039 2208288Arvinas Holding Co. LLC $1,818,848 0.048% ARVN 04335A105 US04335A1051 BDZ30Q0Airbnb, Inc. Class A $1,792,646 0.047% ABNB 009066101 US0090661010 BMGYYH4UDR, Inc. $1,771,732 0.047% UDR 902653104 US9026531049 2727910Lazard Ltd. Class A $1,767,476 0.046% LAZ BMG540501027 B081VQ7Ally Financial, Inc. $1,766,449 0.046% ALLY 02005N100 US02005N1000 B72XK05Cinemark Holdings, Inc. $1,759,833 0.046% CNK 17243V102 US17243V1026 B1W7RQ0Moody’s Corp. $1,730,023 0.046% MCO 615369105 US6153691059 2252058Equifax, Inc. $1,720,616 0.045% EFX 294429105 US2944291051 2319146Snowflake Computing, Inc. $1,703,904 0.045% SNOW 833445109 US8334451098 BN134B7agilon health, Inc. $1,702,096 0.045% AGL 00857U107 US00857U1079 BLR4TK4ExlService Holdings, Inc. $1,697,055 0.045% EXLS 302081104 US3020811044 B07LST0Voya Financial, Inc. $1,681,966 0.044% VOYA 929089100 US9290891004 BKWQ2N2Carvana Co. Class A $1,675,338 0.044% CVNA 146869102 US1468691027 BYQHPG3Genpact Ltd. $1,662,096 0.044% G BMG3922B1072 B23DBK6Nucor Corp. $1,657,777 0.044% NUE 670346105 US6703461052 2651086


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLVulcan Materials Co. $1,655,228 0.044% VMC 929160109 US9291601097 2931205Five Below, Inc. $1,652,951 0.043% FIVE 33829M101 US33829M1018 B85KFY9PPG Industries, Inc. $1,641,570 0.043% PPG 693506107 US6935061076 2698470Albemarle Corp. U.S. $1,641,072 0.043% ALB 012653101 US0126531013 2046853Ball Corp. $1,640,697 0.043% BLL 058498106 US0584981064 2073022The Clorox Co. $1,630,665 0.043% CLX 189054109 US1890541097 2204026Martin Marietta Materials, Inc. $1,607,858 0.042% MLM 573284106 US5732841060 2572079ConocoPhillips Co. $1,600,429 0.042% COP 20825C104 US20825C1045 2685717Phreesia, Inc. $1,581,078 0.042% PHR 71944F106 US71944F1066 BKF9DQ8Ralph Lauren Corp. $1,529,612 0.040% RL 751212101 US7512121010 B4V9661Alignment Healthcare, Inc. $1,514,558 0.040% ALHC 01625V104 US01625V1044 BNNLSZ1Performance Food Group Co. $1,509,620 0.040% PFGC 71377A103 US71377A1034 BYVYD43Ollie’s Bargain Outlet Holdings, Inc. $1,507,443 0.040% OLLI 681116109 US6811161099 BZ22B38LyondellBasell Industries NV Class A $1,457,783 0.038% LYB NL0009434992 B3SPXZ3Valero Energy Corp. $1,452,805 0.038% VLO 91913Y100 US91913Y1001 2041364Vail Resorts, Inc. $1,438,773 0.038% MTN 91879Q109 US91879Q1094 2954194World Wrestling Entertainment, Inc. Class A $1,430,439 0.038% WWE 98156Q108 US98156Q1085 2503529Agios Pharmaceuticals, Inc. $1,417,506 0.037% AGIO 00847X104 US00847X1046 BCBVTX1Welltower, Inc. $1,402,014 0.037% WELL 95040Q104 US95040Q1040 BYVYHH4HEICO Corp. Class A $1,383,962 0.036% HEI.A 422806208 US4228062083 2237561Marriott Vacations Worldwide Corp. $1,383,039 0.036% VAC 57164Y107 US57164Y1073 B45K9N8Maravai LifeSciences Holdings, Inc. $1,378,287 0.036% MRVI 56600D107 US56600D1072 BMCWKZ2The Beauty Health Co. $1,367,441 0.036% VSP.PIPERegal Beloit Corp. $1,365,527 0.036% RRX 758750103 US7587501039 2730082Angi, Inc. $1,364,418 0.036% ANGI 00183L102 US00183L1026 BF4VWH4Evolent Health, Inc. $1,360,244 0.036% EVH 30050B101 US30050B1017 BYLY8H1Extra Space Storage, Inc. $1,351,683 0.036% EXR 30225T102 US30225T1025 B02HWR9DexCom, Inc. $1,343,753 0.035% DXCM 252131107 US2521311074 B0796X4DuPont de Nemours, Inc. $1,338,957 0.035% DD 26614N102 US26614N1028 BK0VN47Mimecast Ltd. $1,333,952 0.035% MIME GB00BYT5JK65 BYT5JK6Axon Enterprise, Inc. $1,328,584 0.035% AXON 05464C101 US05464C1018 BDT5S35Cytokinetics, Inc. $1,317,313 0.035% CYTK 23282W605 US23282W6057 BBBSBJ5Cano Health, Inc. $1,313,066 0.035% CANO 13781Y103 US13781Y1038 BN0WWW2Dick’s Sporting Goods, Inc. $1,306,674 0.034% DKS 253393102 US2533931026 2969637PTC Therapeutics, Inc. $1,306,186 0.034% PTCT 69366J200 US69366J2006 B17VCN9Outset Medical, Inc. $1,301,622 0.034% OM 690145107 US6901451079 BMGWSL0Avery Dennison Corp. $1,300,176 0.034% AVY 053611109 US0536111091 2066408Xencor, Inc. $1,289,775 0.034% XNCR 98401F105 US98401F1057 BGCYWN8Reddit, Inc. Series F $1,283,457 0.034% RED+FPP


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLTarga Resources Corp. $1,262,746 0.033% TRGP 87612G101 US87612G1013 B55PZY3Entergy Corp. $1,231,460 0.032% ETR 29364G103 US29364G1031 2317087ON Semiconductor Corp. $1,226,282 0.032% ON 682189105 US6821891057 2583576Planet Fitness, Inc. $1,218,968 0.032% PLNT 72703H101 US72703H1014 BYSFJV8Hamilton Lane, Inc. Class A $1,213,234 0.032% HLNE 407497106 US4074971064 BF0SR29Element Solutions, Inc. $1,210,426 0.032% ESI 28618M106 US28618M1062 BJ1C2K1Acceleron Pharma, Inc. $1,208,248 0.032% XLRN 00434H108 US00434H1086 BDGTXQ8Alteryx, Inc. Class A $1,205,395 0.032% AYX 02156B103 US02156B1035 BYWMQJ2Air Transport Services Group, Inc. $1,204,314 0.032% ATSG 00922R105 US00922R1059 2938002Twist Bioscience Corp. $1,201,592 0.032% TWST 90184D100 US90184D1000 BGKG6G7Domino’s Pizza, Inc. $1,197,108 0.031% DPZ 25754A201 US25754A2015 B01SD70Healthcare Trust of America, Inc. $1,188,229 0.031% HTA 42225P501 US42225P5017 BT9QF28Lyft, Inc. $1,181,377 0.031% LYFT 55087P104 US55087P1049 BJT1RW7Tyson Foods, Inc. Class A $1,168,685 0.031% TSN 902494103 US9024941034 2909730New Relic, Inc. $1,162,679 0.031% NEWR 64829B100 US64829B1008 BT6T3N7Teledyne Technologies, Inc. $1,153,588 0.030% TDY 879360105 US8793601050 2503477Exelixis, Inc. $1,150,223 0.030% EXEL 30161Q104 US30161Q1040 2576941Conagra Brands, Inc. $1,148,517 0.030% CAG 205887102 US2058871029 2215460Live Nation Entertainment, Inc. $1,143,135 0.030% LYV 538034109 US5380341090 B0T7YX2Noodles & Co. $1,127,740 0.030% NDLS 65540B105 US65540B1052 BBMT993Crown Holdings, Inc. $1,119,634 0.029% CCK 228368106 US2283681060 2427986CF Industries Holdings, Inc. $1,111,990 0.029% CF 125269100 US1252691001 B0G4K50McDonald’s Corp. $1,108,936 0.029% MCD 580135101 US5801351017 2550707Nektar Therapeutics $1,103,290 0.029% NKTR 640268108 US6402681083 2454445Bunge Ltd. $1,100,442 0.029% BG BMG169621056 2788713Bath & Body Works, Inc. $1,072,942 0.028% BBWI 070830104 US0708301041 BNNTGJ5NRG Energy, Inc. $1,058,297 0.028% NRG 629377508 US6293775085 2212922Relay Therapeutics, Inc. $1,051,460 0.028% RLAY 75943R102 US75943R1023 BN2R582Levi Strauss & Co. Class A $1,042,187 0.027% LEVI 52736R102 US52736R1023 BHRWS81Oceaneering International, Inc. $1,032,051 0.027% OII 675232102 US6752321025 2655583Wyndham Hotels & Resorts, Inc. $1,019,490 0.027% WH 98311A105 US98311A1051 BF108P4Surgery Partners, Inc. $1,003,228 0.026% SGRY 86881A100 US86881A1007 BYTC1B2Lam Research Corp. $998,946 0.026% LRCX 512807108 US5128071082 2502247ARAMARK Holdings Corp. $997,766 0.026% ARMK 03852U106 US03852U1060 BH3XG17Farfetch Ltd. Class A $997,273 0.026% FTCH 30744W107 KY30744W1070 BFD20M9Kohl’s Corp. $978,165 0.026% KSS 500255104 US5002551043 2496113Stevanato Group SpA $977,305 0.026% STVN IT0005452658 BNM0752First Cash Financial Services, Inc. $976,042 0.026% FCFS 33767D105 US33767D1054 BZCG9B4ResMed, Inc. $966,028 0.025% RMD 761152107 US7611521078 2732903


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLVirtu Financial, Inc. Class A $957,809 0.025% VIRT 928254101 US9282541013 BWTVWD4Reliance Steel & Aluminum Co. $951,132 0.025% RS 759509102 US7595091023 2729068Antero Resources Corp. $950,651 0.025% AR 03674X106 US03674X1063 BFD2WR8The Mosaic Co. $942,606 0.025% MOS 61945C103 US61945C1036 B3NPHP6Atara Biotherapeutics, Inc. $942,518 0.025% ATRA 046513107 US0465131078 BP4WT09Trimble, Inc. $934,401 0.025% TRMB 896239100 US8962391004 2903958Cerevel Therapeutics Holdings $931,987 0.025% CERE 15678U128 US15678U1280 BMVMJ12Erasca, Inc. $931,109 0.024% ERAS 29479A108 US29479A1088 BNLYBF3Twitter, Inc. $929,565 0.024% TWTR 90184L102 US90184L1026 BFLR866TuSimple Holdings, Inc. $922,465 0.024% TSP 90089L108 US90089L1089 BKVD041G-III Apparel Group Ltd. $909,918 0.024% GIII 36237H101 US36237H1014 2369721Nordstrom, Inc. $907,586 0.024% JWN 655664100 US6556641008 2641827Wayfair LLC Class A $899,565 0.024% W 94419L101 US94419L1017 BQXZP64Host Hotels & Resorts, Inc. $893,606 0.024% HST 44107P104 US44107P1049 2567503LifeStance Health Group, Inc. $890,741 0.023% LFST 53228F101 US53228F1012 BN0TRB7CareTrust (REIT), Inc. $885,494 0.023% CTRE 14174T107 US14174T1079 BMP8TL6Intellia Therapeutics, Inc. $882,952 0.023% NTLA 45826J105 US45826J1051 BYZM6C2NextEra Energy Partners LP $870,822 0.023% NEP 65341B106 US65341B1061 BNGY4Q0Phillips Edison & Co., Inc. $870,391 0.023% PECO 71844V201 US71844V2016 BN48ZR2The RealReal, Inc. $856,293 0.023% REAL 88339P101 US88339P1012 BKBDP79McCormick & Co., Inc. (non-vtg.) $855,454 0.023% MKC 579780206 US5797802064 2550161Marcus Corp. $852,668 0.022% MCS 566330106 US5663301068 2564827Prelude Therapeutics, Inc. $850,153 0.022% PRLD 74065P101 US74065P1012 BKX8YL9Range Resources Corp. $848,202 0.022% RRC 75281A109 US75281A1097 2523334Workiva, Inc. $847,367 0.022% WK 98139A105 US98139A1051 BSS6HY8Kymera Therapeutics, Inc. $824,782 0.022% KYMR 501575104 US5015751044 BMPRZV5Vistra Corp. $822,927 0.022% VST 92840M102 US92840M1027 BZ8VJQ8Denali Therapeutics, Inc. $819,065 0.022% DNLI 24823R105 US24823R1059 BD2B4V0Tempur Sealy International, Inc. $811,716 0.021% TPX 88023U101 US88023U1016 2216991Commercial Metals Co. $809,297 0.021% CMC 201723103 US2017231034 2213260Costco Wholesale Corp. $808,395 0.021% COST 22160K105 US22160K1051 2701271Avid Bioservices, Inc. $795,032 0.021% CDMO 05368M106 US05368M1062 BFMZ4W7Avantor, Inc. $789,644 0.021% AVTR 05352A100 US05352A1007 BJLT387Caris Life Sciences, Inc. Series D $765,807 0.020% CARI+DPPCleveland-Cliffs, Inc. $752,762 0.020% CLF 185899101 US1858991011 BYVZ186OGE Energy Corp. $750,602 0.020% OGE 670837103 US6708371033 2657802Copart, Inc. $749,927 0.020% CPRT 217204106 US2172041061 2208073Steel Dynamics, Inc. $746,203 0.020% STLD 858119100 US8581191009 2849472Take-Two Interactive Software, Inc. $744,457 0.020% TTWO 874054109 US8740541094 2122117


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLPurple Innovation, Inc. $742,525 0.020% PRPL 74640Y106 US74640Y1064 BYWFGP7Fate Therapeutics, Inc. $728,196 0.019% FATE 31189P102 US31189P1021 BCZS820Post Holdings, Inc. $726,021 0.019% POST 737446104 US7374461041 B6T0518Victoria’s Secret & Co. $724,781 0.019% VSCO 926400102 US9264001028 BNNTGH3Revolution Medicines, Inc. $724,264 0.019% RVMD 76155X100 US76155X1000 BL71K91BioAtla, Inc. $723,404 0.019% BCAB 09077B104 US09077B1044 BNC5F86Kura Oncology, Inc. $723,229 0.019% KURA 50127T109 US50127T1097 BYZD465Momentive Global, Inc. $716,229 0.019% MNTV 60878Y108 US60878Y1082 BN6MG91Aptargroup, Inc. $706,987 0.019% ATR 038336103 US0383361039 2045247Academy Sports & Outdoors, Inc. $700,657 0.018% ASO 00402L107 US00402L1070 BN7K304Liberty Broadband Corp. Class A $682,825 0.018% LBRDA 530307107 US5303071071 BRTLBY3Louisiana-Pacific Corp. $672,134 0.018% LPX 546347105 US5463471053 2535243Kontoor Brands, Inc. $671,205 0.018% KTB 50050N103 US50050N1037 BJTJGC4CoreCivic, Inc. $666,223 0.018% CXW 21871N101 US21871N1019 BZ8VC58Generation Bio Co. $660,026 0.017% GBIO 37148K100 US37148K1007 BMC2Z79FMC Corp. $658,492 0.017% FMC 302491303 US3024913036 2328603Darling Ingredients, Inc. $653,693 0.017% DAR 237266101 US2372661015 2250289Lexington Corporate Properties Trust $647,754 0.017% LXP 529043101 US5290431015 2139151Definitive Healthcare Corp. $638,973 0.017% DH 24477E103 US24477E1038 BMGSDK2Jones Lang LaSalle, Inc. $633,560 0.017% JLL 48020Q107 US48020Q1076 2040640Blueprint Medicines Corp. $628,850 0.017% BPMC 09627Y109 US09627Y1091 BWY52P3Vaxcyte, Inc. $623,396 0.016% PCVX 92243G108 US92243G1085 BKPVGH6Arcutis Biotherapeutics, Inc. $620,783 0.016% ARQT 03969K108 US03969K1088 BKX9VD3Century Therapeutics, Inc. $618,235 0.016% IPSC 15673T100 US15673T1007 BNK9MY5DXC Technology Co. $617,878 0.016% DXC 23355L106 US23355L1061 BYXD7B3Citrix Systems, Inc. $612,842 0.016% CTXS 177376100 US1773761002 2182553RPM International, Inc. $607,162 0.016% RPM 749685103 US7496851038 2756174Celldex Therapeutics, Inc. $606,469 0.016% CLDX 15117B202 US15117B2025 BJLV8T9Oncology Institute CA $596,977 0.016% DFPH.TMPHuntsman Corp. $593,617 0.016% HUN 447011107 US4470111075 B0650B9Revance Therapeutics, Inc. $586,783 0.015% RVNC 761330109 US7613301099 BJFSR99Packaging Corp. of America $584,979 0.015% PKG 695156109 US6951561090 2504566Shattuck Labs, Inc. $576,971 0.015% STTK 82024L103 US82024L1035 BM8FWT3Air Lease Corp. Class A $567,573 0.015% AL 00912X302 US00912X3026 B3XS562Alcoa Corp. $560,479 0.015% AA 013872106 US0138721065 BYNF418Livent Corp. $556,505 0.015% LTHM 53814L108 US53814L1089 BD9PM00Keros Therapeutics, Inc. $555,471 0.015% KROS 492327101 US4923271013 BM7V485NVIDIA Corp. $545,257 0.014% NVDA 67066G104 US67066G1040 2379504Plug Power, Inc. $544,644 0.014% PLUG 72919P202 US72919P2020 2508386


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLLindblad Expeditions Holdings $538,080 0.014% LIND 535219109 US5352191093 BYMBW46Pliant Therapeutics, Inc. $532,547 0.014% PLRX 729139105 US7291391057 BMDWW66Sysco Corp. $519,429 0.014% SYY 871829107 US8718291078 2868165Smartsheet, Inc. $517,584 0.014% SMAR 83200N103 US83200N1037 BFZND98Forma Therapeutics Holdings, Inc. $508,775 0.013% FMTX 34633R104 US34633R1041 BLB2Y98Summit Materials, Inc. $503,720 0.013% SUM 86614U100 US86614U1007 BW9JPS4Cyxtera Technologies, Inc. Class A $501,042 0.013% CYXT 23284C102 US23284C1027 BKWHPJ2Seer, Inc. Class A $459,223 0.012% SER.PIPEORIC Pharmaceuticals, Inc. $458,753 0.012% ORIC 68622P109 US68622P1093 BKVDFF7Advantage Solutions, Inc. Class A $458,271 0.012% ADV 00791N102 US00791N1028 BNC2MS6The Beauty Health Co. $455,814 0.012% SKIN 88331L108 US88331L1089 BNQQ6C6Whiting Petroleum Corp. $447,493 0.012% WLL 966387508 US9663875089 BKPM646Stoke Therapeutics, Inc. $446,511 0.012% STOK 86150R107 US86150R1077 BJQ05Z6Instil Bio, Inc. $439,227 0.012% TIL 45783C101 US45783C1018 BLFF921Sally Beauty Holdings, Inc. $438,440 0.012% SBH 79546E104 US79546E1047 B1GZ005Boston Beer Co., Inc. Class A $433,925 0.011% SAM 100557107 US1005571070 2113393Graphite Bio, Inc. $431,505 0.011% GRPH 38870X104 US38870X1046 BP7L2W6Atea Pharmaceuticals, Inc. $430,750 0.011% AVIR 04683R106 US04683R1068 BLN9Z50Eastman Chemical Co. $428,774 0.011% EMN 277432100 US2774321002 2298386Dlocal Ltd. $424,847 0.011% DLO KYG290181018 BKVF490Denbury, Inc. $424,767 0.011% DEN 24790A101 US24790A1016 BMZQZL2Repare Therapeutics, Inc. $404,365 0.011% RPTX 760273102 US7602731025 BLF0CW7Cyxtera Technologies, Inc. $403,030 0.011% SVA.PIPESovos Brands, Inc. $396,525 0.010% SOVO 84612U107 US84612U1079 BNZJHZ6Nuvalent, Inc. Class A $395,787 0.010% NUVL 670703107 US6707031075 BMVBZD3Poseida Therapeutics, Inc. $394,722 0.010% PSTX 73730P108 US73730P1084 BJ4SF41Pharvaris BV $393,593 0.010% PHVS NL00150005Y4 BMZ2X38Skechers U.S.A., Inc. Class A (sub. vtg.) $389,965 0.010% SKX 830566105 US8305661055 2428042Schlumberger Ltd. $387,830 0.010% SLB 806857108 AN8068571086 2779201Grocery Outlet Holding Corp. $383,319 0.010% GO 39874R101 US39874R1014 BK1KWF7Sunnova Energy International, Inc. $380,546 0.010% NOVA 86745K104 US86745K1043 BJ9N563DISH Network Corp. Class A $372,863 0.010% DISH 25470M109 US25470M1099 2303581Janux Therapeutics, Inc. $368,440 0.010% JANX 47103J105 US47103J1051 BMFX8Y7Grand Canyon Education, Inc. $365,078 0.010% LOPE 38526M106 US38526M1062 B3F1XM1Synopsys, Inc. $363,446 0.010% SNPS 871607107 US8716071076 2867719Crocs, Inc. $361,375 0.010% CROX 227046109 US2270461096 B0T7Z62Ruth’s Hospitality Group, Inc. $359,390 0.009% RUTH 783332109 US7833321091 B0G4KC7Element Biosciences, Inc. Series C $351,816 0.009% ELBI+CPPLiberty Oilfield Services, Inc. Class A $337,368 0.009% LBRT 53115L104 US53115L1044 BDCWFT8


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLRoyal Gold, Inc. $331,009 0.009% RGLD 780287108 US7802871084 2755706Ashland Global Holdings, Inc. $330,827 0.009% ASH 044186104 US0441861046 BYND5N1Inscripta, Inc. Series E $328,150 0.009% INS+EPPDoximity, Inc. $318,692 0.008% DOCS 26622P107 US26622P1075 BMD22Y4Genesis Energy LP $317,827 0.008% GEL 371927104 US3719271047 2372257Aristea Therapeutics, Inc. Series B $314,616 0.008% ART+BPPMolson Coors Beverage Co. Class B $305,265 0.008% TAP 60871R209 US60871R2094 B067BM3The Honest Co., Inc. $296,340 0.008% HNS.TMPInnospec, Inc. $291,573 0.008% IOSP 45768S105 US45768S1050 2245597Torrid Holdings, Inc. $277,044 0.007% CURV 89142B107 US89142B1070 BMBR9W8Taysha Gene Therapies, Inc. $261,448 0.007% TSHA 877619106 US8776191061 BNC1BX1Thriveworks TopCo LLC Series B $260,671 0.007% USEQC.PPTechTarget, Inc. $253,878 0.007% TTGT 87874R100 US87874R1005 B1XH822Thoughtworks Holding, Inc. $240,363 0.006% TWKS 88546E105 US88546E1055 BMYR6Y6Laird Superfood, Inc. $237,767 0.006% LSF 50736T102 US50736T1025 BN2BDY6PROCEPT BioRobotics Corp. $234,357 0.006% PRCT 74276L105 US74276L1052 BMYRFV6Marqeta, Inc. Class A $231,779 0.006% MQ 57142B104 US57142B1044 BN0TQD2ElevateBio LLC Series C $230,458 0.006% ELB+CPPPassage Bio, Inc. $227,257 0.006% PASG 702712100 US7027121000 BKTHM05Aledade, Inc. Series B1 $227,109 0.006% ALE+B1PPIAC $217,245 0.006% IAC 44891N208 US44891N2080 BNDYF48Flywire Corp. $213,140 0.006% FLYW 302492103 US3024921039 BMBP1Q0Kinnate Biopharma, Inc. $202,018 0.005% KNTE 49705R105 US49705R1059 BLGZBT1Scholar Rock Holding Corp. $201,339 0.005% SRRK 80706P103 US80706P1030 BFZQ0L8Imago BioSciences, Inc. $197,224 0.005% IMGO 45250K107 US45250K1079 BNLYJ60National Energy Services Reunited Corp. $195,573 0.005% NESR VGG6375R1073 BYZLFM2Globant SA $184,939 0.005% GLOB LU0974299876 BP40HF4Vimeo, Inc. $180,349 0.005% VMEO 92719V100 US92719V1008 BNDYF15The Scotts Miracle-Gro Co. Class A $156,699 0.004% SMG 810186106 US8101861065 2781518Jackson Financial, Inc. $152,018 0.004% JXN 46817M107 US46817M1071 BMFX6P4Gupshup, Inc. $150,314 0.004% GUPS+FPPClearway Energy, Inc. Class A $140,290 0.004% CWEN.A 18539C105 US18539C1053 BGJRH35Castlight Health, Inc. Class B $137,780 0.004% CSLT 14862Q100 US14862Q1004 BKF2K11Wugen, Inc. Series B $105,588 0.003% WUG+BPPTupperware Brands Corp. $104,366 0.003% TUP 899896104 US8998961044 2872069Estee Lauder Companies, Inc. Class A $102,653 0.003% EL 518439104 US5184391044 2320524Castlight Health, Inc. $94,958 0.002% CSTL.TMPWalgreens Boots Alliance, Inc. $68,128 0.002% WBA 931427108 US9314271084 BTN1Y44Coca-Cola Bottling Co. Consolidated $62,266 0.002% COKE 191098102 US1910981026 2206721


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLCircle Internet Financial Ltd. $31,199 0.001% CNCD.TMPSanderson Farms, Inc. $19,819 0.001% SAFM 800013104 US8000131040 2774336Mr. Cooper Group, Inc. $72 0.000% COOP 62482R107 US62482R1077 BGHKHS1

Equities Total: $2,316,962,845 61.0%

Commodities & Related Investments

Fidelity Commodity Strategy Central Fund $81,274,143 2.138% FCCSX 316167303 US3161673039

Commodities & Related Investments Total: $81,274,143 2.1%

International Equities

Taiwan Semiconductor Manufacturing Co. Ltd. $22,790,539 0.600% *TWSMC TW0002330008 6889106Roche Holding AG (participation certificate) $17,818,830 0.469% *RHLD CH0012032048 7110388Tencent Holdings Ltd. $16,307,484 0.429% *TENCENT KYG875721634 BMMV2K8ASML Holding NV (Netherlands) $14,684,362 0.386% *ASML NL0010273215 B929F46Nestle SA (Reg. S) $14,035,856 0.369% *NERG CH0038863350 7123870Capgemini SA $13,850,511 0.364% *CAPP FR0000125338 4163437Samsung Electronics Co. Ltd. $13,719,266 0.361% *SAMSNG KR7005930003 6771720LVMH Moet Hennessy Louis Vuitton SE $12,982,090 0.342% *LVMH FR0000121014 4061412AstraZeneca PLC (United Kingdom) $10,758,640 0.283% *AZN GB0009895292 0989529Lonza Group AG $10,013,855 0.263% *LNZG CH0013841017 7333378Alibaba Group Holding Ltd. $9,509,398 0.250% *ALBGH KYG017191142 BK6YZP5AIA Group Ltd. $9,312,656 0.245% *AIAHK HK0000069689 B4TX8S1Linde PLC $9,186,404 0.242% LIN IE00BZ12WP82 BZ12WP8Diageo PLC $9,008,621 0.237% *DGE GB0002374006 0237400Sea Ltd. ADR $8,735,263 0.230% SE 81141R100 US81141R1005 BYWD7L4Hoya Corp. $8,616,786 0.227% *HOYA JP3837800006 6441506HDFC Bank Ltd. $8,615,201 0.227% *HDRCBKD INE040A01034 BK1N461Sony Group Corp. $8,600,543 0.226% *SNY JP3435000009 6821506Reliance Industries Ltd. $7,598,743 0.200% *RELID INE002A01018 6099626Recruit Holdings Co. Ltd. $7,168,232 0.189% *RHCL JP3970300004 BQRRZ00Argenx SE ADR $6,893,142 0.181% ARGX 04016X101 US04016X1019 BDVLM39


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLCanadian Natural Resources Ltd. $6,741,835 0.177% CNQ.TO 136385101 CA1363851017 2171573Compass Group PLC $6,625,095 0.174% *CMPS GB00BD6K4575 BD6K457Waste Connections, Inc. (United States) $6,600,648 0.174% WCN 94106B101 CA94106B1013 BYVG1F6Deutsche Telekom AG $6,468,948 0.170% *DTEG DE0005557508 5842359Elastic NV $6,409,169 0.169% ESTC NL0013056914 BFXCLC6Meituan Class B $6,170,453 0.162% *MTND KYG596691041 BGJW376RELX PLC (London Stock Exchange) $6,159,948 0.162% *REDLS GB00B2B0DG97 B2B0DG9Societe Generale Series A $6,106,705 0.161% *SOCG FR0000130809 5966516Liberty Global PLC Class C $5,962,103 0.157% LBTYK GB00B8W67B19 B8W67B1Prudential PLC $5,830,256 0.153% *PRUL GB0007099541 0709954Sika AG $5,707,245 0.150% *SIKA CH0418792922 BF2DSG3Constellation Software, Inc. $5,684,547 0.150% CSU.TO 21037X100 CA21037X1006 B15C4L6Tokyo Electron Ltd. $5,655,707 0.149% *TTEL JP3571400005 6895675Legrand SA $5,611,207 0.148% *LEG FR0010307819 B11ZRK9The Toronto-Dominion Bank $5,459,240 0.144% TD.TO 891160509 CA8911605092 2897222Keyence Corp. $5,391,032 0.142% *KYCE JP3236200006 6490995KBC Groep NV $5,326,301 0.140% *KBCA BE0003565737 4497749BNP Paribas SA $5,092,496 0.134% *BNPPA FR0000131104 7309681Ascendis Pharma A/S sponsored ADR $5,014,657 0.132% ASND 04351P101 US04351P1012 BV9G6B8DSV A/S $4,890,351 0.129% *DSVB DK0060079531 B1WT5G2Pernod Ricard SA $4,869,034 0.128% *PRND FR0000120693 4682329MEG Energy Corp. $4,767,596 0.125% MEG.TO 552704108 CA5527041084 B4XF9J1Ferguson PLC $4,742,320 0.125% *FGNWCO JE00BJVNSS43 BJVNSS4Merck KGaA $4,726,615 0.124% *MER DE0006599905 4741844adidas AG $4,717,703 0.124% *ADSG DE000A1EWWW0 4031976Sonova Holding AG Class B $4,632,128 0.122% *PHHLB CH0012549785 7156036Flutter Entertainment PLC $4,590,568 0.121% *PAPP IE00BWT6H894 BWXC0Z1Shin-Etsu Chemical Co. Ltd. $4,479,075 0.118% *SHN JP3371200001 6804585FUJIFILM Holdings Corp. $4,436,488 0.117% *FUJH JP3814000000 6356525Persol Holdings Co. Ltd. $4,339,791 0.114% *TEMPHLD JP3547670004 B3CY709Cellnex Telecom SA $4,321,929 0.114% *CELLNEX ES0105066007 BX90C05Hitachi Ltd. $4,296,749 0.113% *HTCH JP3788600009 6429104Indutrade AB $4,157,995 0.109% *INDTR SE0001515552 B0LDBX7IMCD NV $4,072,805 0.107% *IMCDGP NL0010801007 BNCBD46Siemens Healthineers AG $3,912,921 0.103% *SIHAG DE000SHL1006 BD594Y4Swedish Match Co. AB $3,902,923 0.103% *SWMA SE0015812219 BP09MR2Teleperformance $3,850,744 0.101% *RCFFP FR0000051807 5999330Wolters Kluwer NV $3,786,884 0.100% *KLUW NL0000395903 5671519China Construction Bank Corp. (H Shares) $3,758,161 0.099% *CCBC CNE1000002H1 B0LMTQ3


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLBrenntag AG $3,751,252 0.099% *BREN DE000A1DAHH0 B4YVF56Hexagon AB (B Shares) $3,743,205 0.098% *HEXB SE0015961909 BNZFHC1Toyota Motor Corp. $3,698,069 0.097% *TYMT JP3633400001 6900643Amadeus IT Holding SA Class A $3,615,728 0.095% *AMDH ES0109067019 B3MSM28SAP SE $3,562,484 0.094% *SAPG DE0007164600 4846288Siemens AG $3,486,893 0.092% *SIEGN DE0007236101 5727973Airbus Group NV $3,452,910 0.091% *AIRNV NL0000235190 4012250Allianz SE $3,381,933 0.089% *ALV DE0008404005 5231485Deutsche Borse AG $3,357,869 0.088% *EBD DE0005810055 7021963POSCO $3,338,275 0.088% *PSCO KR7005490008 6693233Yandex NV Series A $3,240,155 0.085% YNDX NL0009805522 B5BSZB3OTP Bank PLC $3,214,597 0.085% *OTP HU0000061726 7320154Akzo Nobel NV $3,207,410 0.084% *AKZ NL0013267909 BJ2KSG2Olympus Corp. $3,144,512 0.083% *OLMC JP3201200007 6658801Nutrien Ltd. $3,095,472 0.081% NTR.TO 67077M108 CA67077M1086 BDRJLN0TCS Group Holding PLC GDR $3,047,722 0.080% TCSG 87238U203 US87238U2033 BF233S0Rentokil Initial PLC $3,030,701 0.080% *RTO GB00B082RF11 B082RF1SK Hynix, Inc. $3,006,238 0.079% *SHILT KR7000660001 6450267Dassault Systemes SA $2,996,806 0.079% *DAST FR0014003TT8 BM8H5Y5ING Groep NV (Certificaten Van Aandelen) $2,991,893 0.079% *ING NL0011821202 BZ57390Ping An Insurance Group Co. of China Ltd. (HShares) $2,986,269 0.079% *PAIZ CNE1000003X6 B01FLR7Sberbank of Russia sponsored ADR $2,969,535 0.078% *SBERL 80585Y308 US80585Y3080 B5SC091JD.com, Inc. sponsored ADR $2,936,999 0.077% JD 47215P106 US47215P1066 BMM27D9Tronox Holdings PLC $2,914,300 0.077% TROX GB00BJT16S69 BJT16S6Zurich Insurance Group Ltd. $2,905,415 0.076% *ZURZN CH0011075394 5983816Bilibili, Inc. ADR $2,886,967 0.076% BILI 090040106 US0900401060 BFNLRN6Recordati SpA $2,819,192 0.074% *RECI IT0003828271 B07DRZ5Lloyds Banking Group PLC $2,804,742 0.074% *LLBG GB0008706128 0870612Deutsche Post AG $2,793,529 0.073% *DPST DE0005552004 4617859Julius Baer Group Ltd. $2,786,120 0.073% *JUBR CH0102484968 B4R2R50Sanofi SA $2,775,982 0.073% *SASYN FR0000120578 5671735Atlas Copco AB (A Shares) $2,757,882 0.073% *ATC SE0011166610 BD97BN2Air Liquide SA $2,751,991 0.072% *AL FR0000120073 B1YXBJ7Dechra Pharmaceuticals PLC $2,726,856 0.072% *DECHRA GB0009633180 0963318Nordea Bank ABP $2,698,316 0.071% *NORDAB FI4000297767 BYZF9J9SMC Corp. $2,672,887 0.070% *SMCC JP3162600005 6763965Daimler AG (Germany) $2,667,779 0.070% *DCXF DE0007100000 5529027Innovent Biologics, Inc. $2,624,573 0.069% *INNBLS KYG4818G1010 BGR6KX5


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLNitori Holdings Co. Ltd. $2,618,161 0.069% *NITO JP3756100008 6644800Rede D’Oregon Sao Luiz SA $2,592,600 0.068% *RDOR3 BRRDORACNOR8 BNDQ8P6BAE Systems PLC $2,546,999 0.067% *BAES GB0002634946 0263494Shopify, Inc. Class A $2,537,400 0.067% SHOP 82509L107 CA82509L1076 BXDZ9Z0Total SA $2,527,756 0.066% *TLFN FR0000120271 B15C557Lukoil PJSC sponsored ADR $2,526,588 0.066% *LUKOY 69343P105 US69343P1057 BYZDW27Brookfield Asset Management, Inc. Class A $2,524,679 0.066% BAM 112585104 CA1125851040 2092555Edenred SA $2,524,363 0.066% *EDENRED FR0010908533 B62G1B5Jet2 PLC $2,523,297 0.066% *DTGL GB00B1722W11 B1722W1Hannover Reuck SE $2,507,435 0.066% *HNR DE0008402215 4511809Tata Consultancy Services Ltd. $2,500,698 0.066% *TCS INE467B01029 B01NPJ1Mondi PLC $2,493,886 0.066% *MONDI GB00B1CRLC47 B1CRLC4Canadian Pacific Railway Ltd. $2,482,441 0.065% CP.TO 13645T100 CA13645T1003 2793115Iberdrola SA $2,468,789 0.065% *IBE ES0144580Y14 B288C92ASSA ABLOY AB (B Shares) $2,467,392 0.065% *ASAB SE0007100581 BYPC1T4Misumi Group, Inc. $2,451,778 0.064% *MISU JP3885400006 6595179Tourmaline Oil Corp. $2,419,684 0.064% TOU.TO 89156V106 CA89156V1067 B3QJ0H8Pinduoduo, Inc. ADR $2,413,923 0.064% PDD 722304102 US7223041028 BYVW0F7Itochu Corp. $2,407,725 0.063% *ITC JP3143600009 6467803Al Rajhi Bank $2,394,897 0.063% *RJHI SA0007879113 B12LZH9Standard Chartered PLC (United Kingdom) $2,389,180 0.063% *SCB GB0004082847 0408284ASM International NV (Netherlands) $2,350,030 0.062% *ASMI NL0000334118 5165294Kingspan Group PLC (Ireland) $2,324,886 0.061% *KSPID IE0004927939 4491235CEMEX S.A.B. de CV sponsored ADR $2,314,704 0.061% CX 151290889 US1512908898 2488671Rio Tinto PLC $2,309,506 0.061% *RTP GB0007188757 0718875Safran SA $2,290,654 0.060% *SAG FR0000073272 B058TZ6ALTEN $2,281,229 0.060% *ALTN FR0000071946 5608915Chailease Holding Co. Ltd. $2,255,895 0.059% *CHLHOL KYG202881093 B58J1S8KB Financial Group, Inc. $2,221,264 0.058% *KBFI KR7105560007 B3DF0Y6FinecoBank SpA $2,218,561 0.058% *FINECOB IT0000072170 BNGN9Z1L’Oreal SA $2,207,966 0.058% *OREAF.E FR0000120321 4057808Impala Platinum Holdings Ltd. $2,183,885 0.057% *IPH ZAE000083648 B1FFT76Rheinmetall AG $2,172,349 0.057% *RHE DE0007030009 5334588Bank Ireland Group PLC $2,166,572 0.057% *BIRG IE00BD1RP616 BD1RP61Hermes International SCA $2,143,016 0.056% *RMS FR0000052292 5253973Axis Bank Ltd. $2,108,863 0.055% *AXSB INE238A01034 BPFJHC7Grupo Financiero Banorte S.A.B. de CV Series O $2,108,734 0.055% *GFNORTE MXP370711014 2421041PT Bank Rakyat Indonesia Tbk $2,082,381 0.055% *BRAKI ID1000118201 6709099Schibsted ASA (A Shares) $2,066,596 0.054% *SCHIB NO0003028904 4790534


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLReckitt Benckiser Group PLC $2,063,596 0.054% *RBGP GB00B24CGK77 B24CGK7Euronext NV $2,053,036 0.054% *EURNV NL0006294274 BNBNSG0Bajaj Finance Ltd. $2,050,462 0.054% *BAJAJ INE296A01024 BD2N0P2Swedbank AB (A Shares) $2,037,742 0.054% *FSPAA SE0000242455 4846523UCB SA $2,036,540 0.054% *UCB BE0003739530 5596991Yamato Holdings Co. Ltd. $2,026,149 0.053% *YTP JP3940000007 6985565Koninklijke Philips Electronics NV $2,024,528 0.053% *PHG NL0000009538 5986622National Australia Bank Ltd. $2,013,264 0.053% *NATI AU000000NAB4 6624608B&M European Value Retail SA $2,009,615 0.053% *BMVARS LU1072616219 BMTRW10Tsingtao Brewery Co. Ltd. (H Shares) $2,001,742 0.053% *TSING CNE1000004K1 6905808Parade Technologies Ltd. $1,993,310 0.052% *PRDTECH KYG6892A1085 B6RV676Delivery Hero AG $1,988,168 0.052% *DVRT DE000A2E4K43 BZCNB42MediaTek, Inc. $1,982,067 0.052% *MDTK TW0002454006 6372480JD Sports Fashion PLC $1,964,858 0.052% *JDSL GB00BYX91H57 BYX91H5Imperial Oil Ltd. $1,933,159 0.051% IMO.TO 453038408 CA4530384086 2454241London Stock Exchange Group PLC $1,932,628 0.051% *LSE GB00B0SWJX34 B0SWJX3Wix.com Ltd. $1,921,003 0.051% WIX IL0011301780 BFZCHN7HCL Technologies Ltd. $1,912,880 0.050% *HCLTP INE860A01027 6294896ICE E-mini MSCI EAFE Index Contracts $1,910,850 0.050% MFSZ1UniCredit SpA $1,875,378 0.049% *UCIT IT0005239360 BYMXPS7Compagnie de St. Gobain $1,874,512 0.049% *SGORD FR0000125007 7380482Prosus NV $1,850,685 0.049% *PRX NL0013654783 BJDS7L3BASF AG $1,847,212 0.049% *BASF DE000BASF111 5086577Aena SME SA $1,835,550 0.048% *AENA ES0105046009 BVRZ8L1Novatek PJSC GDR (Reg. S) $1,830,350 0.048% *NOVTGDR 669888109 US6698881090 B0DK750Hiscox Ltd. $1,826,443 0.048% *HISL BMG4593F1389 BVZHXQ9Sociedad Quimica y Minera de Chile SA (PN-B)sponsored ADR $1,813,800 0.048% SQM 833635105 US8336351056 2771122Moncler SpA $1,810,158 0.048% *MONCL IT0004965148 BGLP232Mondi PLC $1,808,570 0.048% *MNPJS GB00B1CRLC47 B1YCDP4Shriram Transport Finance Co. Ltd. $1,800,400 0.047% *SHTF INE721A01013 6802608St. James’s Place Capital PLC $1,787,052 0.047% *STJ GB0007669376 0766937PT Bank Central Asia Tbk $1,783,859 0.047% *BCA ID1000109507 B01C1P6Adyen BV $1,780,222 0.047% *ADYN NL0012969182 BZ1HM42Kuaishou Technology Class B $1,775,502 0.047% *KUAIS KYG532631028 BLC90T0Boskalis Westminster $1,769,758 0.047% *BOSK NL0000852580 B1XF882Kia Corp. $1,762,256 0.046% *KIAM KR7000270009 6490928Sampo Oyj (A Shares) $1,757,937 0.046% *VKSPA FI0009003305 5226038Tsuruha Holdings, Inc. $1,752,812 0.046% *TSURU JP3536150000 B0MKZN5


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLDaiichi Sankyo Kabushiki Kaisha $1,745,962 0.046% *DACHI JP3475350009 B0J7D91AddTech AB (B Shares) $1,742,182 0.046% *ATECH SE0014781795 BLN8T44Renesas Electronics Corp. $1,741,459 0.046% *RENC JP3164720009 6635677BeiGene Ltd. ADR $1,740,095 0.046% BGNE 07725L102 US07725L1026 BYYWPW6Amundi SA $1,722,259 0.045% *AMUND FR0004125920 BYZR014Z Holdings Corp. $1,701,974 0.045% *YHOO JP3933800009 6084848Commonwealth Bank of Australia $1,700,375 0.045% *CBAA AU000000CBA7 6215035XPeng, Inc. ADR $1,698,360 0.045% XPEV 98422D105 US98422D1054 BMXR2T4SoftBank Group Corp. $1,698,010 0.045% *SOFT JP3436100006 6770620JK Cement Ltd. $1,693,235 0.045% *JKCE INE823G01014 B0CJ800ICE MSCI Emerging Markets Index Contracts $1,691,043 0.044% MESZ1Larsen & Toubro Ltd. $1,680,519 0.044% *LSTBD INE018A01030 B0166K8Samsung SDI Co. Ltd. $1,674,162 0.044% *SSDI KR7006400006 6771645Wuxi Biologics (Cayman), Inc. $1,672,704 0.044% *WUXBI KYG970081173 BL6B9P1Legal & General Group PLC $1,666,175 0.044% *LGG GB0005603997 0560399Itau Unibanco Holding SA sponsored ADR $1,658,581 0.044% ITUB 465562106 US4655621062 2849739Zai Lab Ltd. $1,658,272 0.044% *ZAILAB KYG9887T1085 BMGWNM6FirstRand Ltd. $1,649,013 0.043% *FIRST ZAE000066304 6606996First Quantum Minerals Ltd. $1,641,105 0.043% FM.TO 335934105 CA3359341052 2347608Patria Investments Ltd. $1,629,900 0.043% PAX KYG694511059 BMXYHQ7Money Forward, Inc. $1,585,924 0.042% *MNFR JP3869960009 BD5ZWW6Kao Corp. $1,578,552 0.042% *KAO JP3205800000 6483809Mitsubishi UFJ Financial Group, Inc. $1,568,941 0.041% *MTBU JP3902900004 6335171Porsche Automobil Holding SE (Germany) $1,547,793 0.041% *PAH3+ DE000PAH0038 7101069UBS Group AG $1,534,868 0.040% *UBSG CH0244767585 BRJL176Royal Dutch Shell PLC Class A (United Kingdom) $1,530,230 0.040% *RDSA GB00B03MLX29 B03MLX2Smith & Nephew PLC $1,510,216 0.040% *SMU GB0009223206 0922320Intact Financial Corp. $1,501,060 0.039% IFC.TO 45823T106 CA45823T1066 B04YJV1Tokio Marine Holdings, Inc. $1,492,301 0.039% *TOKIO JP3910660004 6513126ICE MSCI Emerging Markets Index Contracts $1,466,459 0.039% MESZ1Barrick Gold Corp. (Canada) $1,460,264 0.038% ABX.TO 067901108 CA0679011084 2024644Pick ’n Pay Stores Ltd. $1,459,466 0.038% *PIKJ ZAE000005443 6688068Bankinter SA $1,437,223 0.038% *BKT ES0113679I37 5474008Lundin Mining Corp. $1,424,619 0.037% LUN.TO 550372106 CA5503721063 2866857Erste Group Bank AG $1,410,492 0.037% *EBO AT0000652011 5289837ORIX Corp. $1,401,529 0.037% *OL JP3200450009 6661144Royal Dutch Shell PLC Class B (United Kingdom) $1,396,142 0.037% *RDSB GB00B03MM408 B03MM40Heineken NV (Bearer) $1,386,652 0.036% *HEIN NL0000009165 7792559Natura & Co. Holding SA $1,381,415 0.036% *NTCO3 BRNTCOACNOR5 BJRFY31


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLSuzano Papel e Celulose SA $1,374,862 0.036% *SUZB3 BRSUZBACNOR0 B02GKC7Ambev SA sponsored ADR $1,367,847 0.036% ABEV 02319V103 US02319V1035 BG804F6GN Store Nord A/S $1,363,840 0.036% *GNHC100 DK0010272632 4501093Suzuki Motor Corp. $1,362,666 0.036% *SZK JP3397200001 6865504Hana Financial Group, Inc. $1,354,925 0.036% *HANAF KR7086790003 B0RNRF5Kakao Corp. $1,349,309 0.035% *DAUM KR7035720002 6194037United Microelectronics Corp. $1,341,053 0.035% *UMEL TW0002303005 6916628Investor AB (B Shares) $1,339,328 0.035% *INVE SE0015811963 BMV7PQ4Wal-Mart de Mexico SA de CV Series V $1,335,782 0.035% *WALMEXV MX01WA000038 BW1YVH8United Overseas Bank Ltd. $1,326,863 0.035% *UOB SG1M31001969 6916781Deliveroo PLC Class A $1,312,895 0.035% *DEROO GB00BNC5T391 BNC5T39Richter Gedeon PLC $1,304,004 0.034% *GRTER HU0000123096 BC9ZH86Anglo American PLC (United Kingdom) $1,298,675 0.034% *ANGAUK GB00B1XZS820 B1XZS82Samsung Biologics Co. Ltd. $1,286,279 0.034% *SAMBIO KR7207940008 BYNJCV6Wheaton Precious Metals Corp. $1,277,356 0.034% WPM.TO 962879102 CA9628791027 BF13KN5WuXi AppTec Co. Ltd. (H Shares) $1,276,843 0.034% *WUXIHK CNE100003F19 BGHH0L6Bridgepoint Group Holdings Ltd. $1,270,083 0.033% *BRIDGPO GB00BND88V85 BND88V8Adani Ports & Special Economic Zone Ltd. $1,254,351 0.033% *MSEZ INE742F01042 B28XXH2Restaurant Brands International, Inc. $1,253,285 0.033% QSR.TO 76131D103 CA76131D1033 BTF8CF0Shree Cement Ltd. $1,247,864 0.033% *SRCM INE070A01015 6100357TIS, Inc. $1,246,131 0.033% *ITHLG JP3104890003 B2Q4CR0Africa Oil Corp. $1,236,613 0.033% AOI.TO 00829Q101 CA00829Q1019 2489607China Resources Beer Holdings Co. Ltd. $1,233,824 0.032% *CHRS HK0291001490 6972459Hong Kong Exchanges and Clearing Ltd. $1,225,059 0.032% *HKEX HK0388045442 6267359Capitec Bank Holdings Ltd. $1,222,539 0.032% *CPIJ ZAE000035861 6440859WH Smith PLC $1,220,333 0.032% *SMITHS GB00B2PDGW16 B2PDGW1MMC Norilsk Nickel PJSC sponsored ADR $1,214,873 0.032% *MNOD 55315J102 US55315J1025 BYSW6D0Uni-President Enterprises Corp. $1,208,325 0.032% *PRET TW0001216000 6700393Symrise AG $1,200,072 0.032% *SYMR DE000SYM9999 B1JB4K8Great Wall Motor Co. Ltd. (H Shares) $1,185,207 0.031% *GRWALL CNE100000338 6718255TMX Group Ltd. $1,164,162 0.031% X.TO 87262K105 CA87262K1057 B8KH5G7Metalurgica Gerdau SA (PN) $1,160,649 0.031% *GOAU4 BRGOAUACNPR8 2648862Sartorius Stedim Biotech $1,123,523 0.030% *STED FR0013154002 BYZ2QP5Petroleo Brasileiro SA - Petrobras (PN) sponsoredADR (non-vtg.) $1,121,882 0.030% PBR.A 71654V101 US71654V1017 2683410Mitsubishi Estate Co. Ltd. $1,117,786 0.029% *MIES JP3899600005 6596729Ant International Co. Ltd. Class C $1,101,751 0.029% ANT.TMPEnel SpA $1,099,572 0.029% *ENEL IT0003128367 7144569Temenos Group AG $1,091,236 0.029% *TEMN CH0012453913 7147892


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLRelo Group, Inc. $1,088,496 0.029% *RLS JP3755200007 6173906Ferrari NV $1,086,267 0.029% RACE NL0011585146 BZ1GMK5Diploma PLC $1,078,973 0.028% *DPLM GB0001826634 0182663IndusInd Bank Ltd. $1,078,329 0.028% *IIB INE095A01012 6100454Barrick Gold Corp. $1,076,778 0.028% GOLD 067901108 CA0679011084 2024677Beazley PLC $1,075,662 0.028% *BEAZL GB00BYQ0JC66 BYQ0JC6Shenzhen Mindray Bio-Medical Electronics Co. Ltd.(A Shares) $1,072,125 0.028% *SZMID CNE100003G67 BHQK864Linde PLC $1,069,379 0.028% *L6N IE00BZ12WP82 BYWD9S5Li Ning Co. Ltd. $1,060,733 0.028% *LINING KYG5496K1242 B01JCK9Pharmaron Beijing Co. Ltd. (H Shares) $1,058,383 0.028% *PHABJ CNE100003PG4 BK72QD3Ferrari NV $1,055,477 0.028% *RACEM NL0011585146 BD6G507Titan Cement International Trading SA $1,035,480 0.027% *TITCF BE0974338700 BJ8PD77Vale SA sponsored ADR $1,033,588 0.027% VALE 91912E105 US91912E1055 2857334Credicorp Ltd. (United States) $1,015,828 0.027% BAP BMG2519Y1084 2232878Anta Sports Products Ltd. $1,006,890 0.026% *ANTAS KYG040111059 B1YVKN8Enbridge, Inc. $1,003,369 0.026% ENB.TO 29250N105 CA29250N1050 2466149Synlab AG $1,003,333 0.026% *SYNL DE000A2TSL71 BNDM6Y9DENSO Corp. $1,002,821 0.026% *DENS JP3551500006 6640381Arena (REIT) unit $998,011 0.026% *ARETN AU000000ARF6 B99K263CK Asset Holdings Ltd. $992,873 0.026% *CKPH KYG2177B1014 BYZQ077Shiseido Co. Ltd. $984,918 0.026% *SHIS JP3351600006 6805265Atacadao SA $981,247 0.026% *CRFB3 BRCRFBACNOR2 BF7LBH4China Petroleum & Chemical Corp. (H Shares) $960,270 0.025% *CHPC CNE1000002Q2 6291819PagSeguro Digital Ltd. $946,330 0.025% PAGS KYG687071012 BFWK4R7Anheuser-Busch InBev SA NV $936,842 0.025% *ABIV BE0974293251 BYYHL23S4 Capital PLC $933,014 0.025% *SFOR GB00BFZZM640 BFZZM64Lions Gate Entertainment Corp. Class B $927,427 0.024% LGF.B 535919500 CA5359195008 BD8NB53NICE Systems Ltd. $926,191 0.024% *NICES IL0002730112 6647133First Resources Ltd. $923,060 0.024% *FREL SG1W35938974 B2927P4SUSE SA $919,511 0.024% *SUSE LU2333210958 BL9YLY0Nordnet AB $915,667 0.024% *NOAB SE0015192067 BNDLH43Power Grid Corp. of India Ltd. $909,878 0.024% *PWGR INE752E01010 B233HS6LEG Immobilien AG $903,805 0.024% *LEGIM DE000LEG1110 B9G6L89JTOWER, Inc. $899,466 0.024% *JTOWER JP3386700003 BK7C5R0Petroleo Brasileiro SA - Petrobras sponsored ADR $895,387 0.024% PBR 71654V408 US71654V4086 2616580Azelis Group NV $880,493 0.023% *AZEL BE0974400328 BMHT025Dufry AG $874,851 0.023% *DUFRY CH0023405456 B0R80X9RHI Magnesita NV $870,445 0.023% *RHIM NL0012650360 BYZ2JR8


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLX5 Retail Group NV GDR (Reg. S) $868,674 0.023% *XFRGGDR 98387E205 US98387E2054 B07T3T9Zymeworks, Inc. $866,484 0.023% ZYME 98985W102 CA98985W1023 BYQHPK7PTT Global Chemical PCL (For. Reg.) $847,839 0.022% *PTTGP TH1074010014 B736PF3Harbour Energy PLC $846,442 0.022% *PMO GB00BMBVGQ36 BMBVGQ3China Merchants Bank Co. Ltd. (H Shares) $836,246 0.022% *CMERZ CNE1000002M1 B1DYPZ5ADC Therapeutics SA $835,984 0.022% ADCT CH0499880968 BK6H4Z7Jumo World Ltd. $835,211 0.022% JUM.TMPAMOREPACIFIC Group, Inc. $828,196 0.022% *PCC KR7002790004 6665931HeidelbergCement AG $823,826 0.022% *HEIC DE0006047004 5120679Schibsted ASA (B Shares) $806,176 0.021% *SCHSB NO0010736879 BWVFKQ3Adient PLC $797,763 0.021% ADNT IE00BD845X29 BD845X2Suez Environnement SA $796,180 0.021% *SUEZE FR0010613471 B3B8D04Fujitsu Ltd. $793,744 0.021% *FUJITS JP3818000006 6356945Medlive Technology Co. Ltd. $793,067 0.021% *MEDLI KYG5961B1041 BN7RMD1Rumo SA $792,066 0.021% *RAILN BRRAILACNOR9 BYXZ2W5Unilever PLC (Netherlands) $790,511 0.021% *UNANA GB00B10RZP78 BLRB262Ericsson (B Shares) $765,307 0.020% *ERIC SE0000108656 5959378Hang Seng Bank Ltd. $764,544 0.020% *HANG HK0011000095 6408374Aselsan A/S $762,890 0.020% *ASELS TRAASELS91H2 B03MP41Worldline SA $752,147 0.020% *WLN FR0011981968 BNFWR44Universal Music Group NV $750,071 0.020% *UMG NL0015000IY2 BNZGVV1Indraprastha Gas Ltd. $749,363 0.020% *INRGAS INE203G01027 BD9PXD0Piraeus Financial Holdings SA $742,085 0.020% *TPEIR GRS014003032 BNC0DB0ENN Energy Holdings Ltd. $740,053 0.019% *XGH KYG3066L1014 6333937Eagle Bulk Shipping, Inc. $736,720 0.019% EGLE MHY2187A1507 BKY4308Hyundai Motor Co. Series 2 $734,372 0.019% *HYDM2+ KR7005382007 6148272NTPC Ltd. $727,054 0.019% *NTLT INE733E01010 B037HF1ASE Technology Holding Co. Ltd. $725,279 0.019% *ASEHLTD TW0003711008 BFXZDY1Bidvest Group Ltd./The $718,134 0.019% *BVT ZAE000117321 6100089Bafang Electric Suzhou Co. Ltd. (A Shares) $713,326 0.019% *BAELC CNE100003PQ3 BL591D8Hyundai Mobis $711,230 0.019% *HYUP KR7012330007 6449544Fast Retailing Co. Ltd. $707,199 0.019% *FASTR JP3802300008 6332439Starling Bank Ltd. Series D $706,835 0.019% *STARLGDITC Ltd. $703,682 0.019% *ITCD INE154A01025 B0JGGP5LG Corp. $703,116 0.018% *LGCI KR7003550001 6537030RWE AG $702,772 0.018% *RWE DE0007037129 4768962Coway Co. Ltd. $700,484 0.018% *WCCL KR7021240007 6173401Manappuram General Finance & Leasing Ltd. $686,217 0.018% *MGFLTD INE522D01027 6570400S-Oil Corp. $677,102 0.018% *SOR KR7010950004 6406055


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLChina Gas Holdings Ltd. $676,332 0.018% *CGHL BMG2109G1033 6460794Hotel Chocolat Group Ltd. $671,501 0.018% *HOTC GB00BYZC3B04 BYZC3B0Grupo Aeroportuario del Pacifico S.A.B. de CVSeries B $664,844 0.017% *GAPB MX01GA000004 B0ZV104Elisa Corp. (A Shares) $660,892 0.017% *ELSC FI0009007884 5701513Bandai Namco Holdings, Inc. $659,251 0.017% *NAMB JP3778630008 B0JDQD4DBAPPSecurity Ltd. (A Shares) $655,616 0.017% *DBAP CNE100003NT2 BKMPC62Copa Holdings SA Class A $653,409 0.017% CPA PAP310761054 B0TNJH9CSL Ltd. $646,364 0.017% *CSL AU000000CSL8 6185495Wacker Chemie AG $643,179 0.017% *WCKGR DE000WCH8881 B11Y568uniQure B.V. $640,480 0.017% QURE NL0010696654 BJFSR88Olink Holding AB ADR $638,437 0.017% OLK 680710100 US6807101000 BMFPJN9Kunlun Energy Co. Ltd. $621,606 0.016% *CNPC BMG5320C1082 6340078Azul SA sponsored ADR $620,786 0.016% AZUL 05501U106 US05501U1060 BDCT500Equatorial Energia SA $619,318 0.016% *EQTL3 BREQTLACNOR0 B128R96Haier Smart Home Co. Ltd. $618,124 0.016% *HSMCO CNE1000048K8 BLD4QD0NatWest Group PLC $617,799 0.016% *RBS GB00B7T77214 B7T7721Silergy Corp. $617,403 0.016% *SILG KYG8190F1028 BH4DMW9dMed Biopharmaceutical Co. Ltd. Series C $611,470 0.016% *DME+CPPC&S Paper Co. Ltd. (A Shares) $602,741 0.016% *CSPAPC CNE100000X36 BFY8GH3Fortum Corp. $599,687 0.016% *FORTO FI0009007132 5579550Trip.com Group Ltd. ADR $589,594 0.016% TCOM 89677Q107 US89677Q1076 BK1K3N2Antin Infrastructure Partners SA $586,674 0.015% *ANINP FR0014005AL0 BNZJDK3Genco Shipping & Trading Ltd. $586,499 0.015% GNK MHY2685T1313 BD08758Corbion NV $577,040 0.015% *CSMNC NL0010583399 BFRSRR7T&D Holdings, Inc. $574,745 0.015% *TDHI JP3539220008 6744294Dip Corp. $567,881 0.015% *DPCP JP3548640006 6714071StoneCo Ltd. Class A $561,248 0.015% STNE KYG851581069 BGKG6M3Advance Residence Investment Corp. $560,796 0.015% *ADRI JP3047160001 B62WZW2Kingdee International Software Group Co. Ltd. $558,815 0.015% *KINGD KYG525681477 6327587Haitian International Holdings Ltd. $556,767 0.015% *HAII KYG4232C1087 B1L2RC2WPP PLC $555,605 0.015% *WPPUK JE00B8KF9B49 B8KF9B4ENGIE $554,142 0.015% *GDFS FR0010208488 B0C2CQ3Zhuzhou CRRC Times Electric Co. Ltd. (H Shares) $552,471 0.015% *ZCSR CNE1000004X4 B1L3XL6HKBN Ltd. $549,753 0.014% *HKBN KYG451581055 BW0DD81ORSTED A/S $544,727 0.014% *DONGAS DK0060094928 BYT16L4Zomato Ltd. $543,823 0.014% *ZOMAL INE758T01015 BL6P210Sberbank of Russia $543,005 0.014% *SBER RU0009029540 4767981Oberoi Realty Ltd. $540,085 0.014% *OBERL INE093I01010 B4MXNL6


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLNXP Semiconductors NV $539,221 0.014% NXPI NL0009538784 B505PN7Informa PLC $531,468 0.014% *TFIP GB00BMJ6DW54 BMJ6DW5Beijing Enlight Media Co. Ltd. (A Shares) $531,108 0.014% *BEIENLM CNE100001617 BD5CN79Gazprom OAO sponsored ADR (Reg. S) $530,341 0.014% *OGZD 368287207 US3682872078 5140989Greencore Group PLC $526,923 0.014% *GNCL IE0003864109 0386410CD Projekt RED SA $526,722 0.014% *OPTT PLOPTTC00011 7302215SSE PLC $526,363 0.014% *SSE GB0007908733 0790873China Resources Land Ltd. $525,034 0.014% *CRB KYG2108Y1052 6193766ByteDance Ltd. Series E1 $523,562 0.014% BY+E1PPAritzia, Inc. $512,907 0.013% ATZ.TO 04045U102 CA04045U1021 BDCG2C2Cenovus Energy, Inc. (Canada) $505,993 0.013% CVE.TO 15135U109 CA15135U1093 B57FG04Veolia Environnement SA $505,657 0.013% *VE FR0000124141 4031879Uzabase, Inc. $503,429 0.013% *UZAB JP3944390008 BYZ6P94Lifenet Insurance Co. $496,962 0.013% *LNIC JP3966660007 B4KN6D1Future PLC $495,220 0.013% *FUTP GB00BYZN9041 BYZN904NCSOFT Corp. $495,106 0.013% *NCSOFT KR7036570000 6264189Infosys Ltd. $493,340 0.013% *INFOSD INE009A01021 6205122Irish Residential Properties REIT PLC $486,543 0.013% *IRES IE00BJ34P519 BJ34P51Bajaj Auto Ltd. $484,584 0.013% *BJATA INE917I01010 B2QKXW0Linea Directa Aseguradora SA Compania de Seguros yReaseguros $484,439 0.013% *LDA ES0105546008 BNC0LH2Hanon Systems $482,568 0.013% *HLLA KR7018880005 B00LR01Daiichikosho Co. Ltd. $480,982 0.013% *DAKO JP3475200006 6253132Tatneft PAO $480,091 0.013% *TATN3 RU0009033591 B59BXN2Grainger Trust PLC $476,887 0.013% *GRAI GB00B04V1276 B04V127TC Energy Corp. $472,454 0.012% TRP.TO 87807B107 CA87807B1076 BJMY6G0Hansoh Pharmaceutical Group Co. Ltd. $471,462 0.012% *HANSOH KYG549581067 BJYKB72Micro Focus International PLC $462,951 0.012% *MCRF GB00BJ1F4N75 BJ1F4N7Supreme PLC $455,353 0.012% *SURPLC GB00BDT89C08 BDT89C0Fix Price Group Ltd. GDR (Reg. S) $453,281 0.012% *FIXPGDR 33835G205 US33835G2057 BN30342Torrent Pharmaceuticals Ltd. $451,962 0.012% *TORR INE685A01028 B0XPSB8NetEase, Inc. ADR $451,816 0.012% NTES 64110W102 US64110W1027 2606440Guangdong Investment Ltd. $449,631 0.012% *GDIV HK0270001396 6913168Longfor Properties Co. Ltd. $448,381 0.012% *LPCL KYG5635P1090 B56KLY9RLX Technology, Inc. ADR $447,121 0.012% RLX 74969N103 US74969N1037 BMBKL76Uni-President China Holdings Ltd. $442,197 0.012% *UPCH KYG9222R1065 B29MKF5Mahanagar Gas Ltd. $441,899 0.012% *MAHGL INE002S01010 BD04046Minebea Mitsumi, Inc. $441,546 0.012% *MINE JP3906000009 6642406Divi’s Laboratories Ltd. $441,201 0.012% *NDIVI INE361B01024 6602518


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFortis, Inc. $439,458 0.012% FTS.TO 349553107 CA3495531079 2347200Lynas Rare Earths Ltd. $438,217 0.012% *LYC AU000000LYC6 6121176China Communications Services Corp. Ltd. (HShares) $437,232 0.012% *CHCS CNE1000002G3 B1HVJ16Boardwalk (REIT) $435,969 0.011% BEIU.TO 096631106 CA0966311064 B011205Topicus.Com, Inc. $434,895 0.011% TOI.CV 89072T102 CA89072T1021 BNGJNT1LG Chemical Ltd. $431,395 0.011% *LGCHM KR7051910008 6346913Proya Cosmetics Co. Ltd. (A Shares) $429,581 0.011% *PROYAC CNE100002TP9 BKM3FN4Shanghai Jinjiang International Hotels Co. Ltd. (AShares) $429,209 0.011% *SHJIIA CNE000000MK0 BP3RD03THG PLC $429,011 0.011% *HUTGRP GB00BMTV7393 BMTV739Wing Tai Holdings Ltd. $422,613 0.011% *WTHS SG1K66001688 6972385Energias de Portugal SA $419,091 0.011% *EDP PTEDP0AM0009 4103596JDE Peet’s BV $416,858 0.011% *JDEPT NL0014332678 BMC4ZZ3Sinopharm Group Co. Ltd. (H Shares) $415,086 0.011% *SIGCL CNE100000FN7 B3ZVDV0ENEOS Holdings, Inc. $414,765 0.011% *JXHI JP3386450005 B627LW9Global-e Online Ltd. $408,305 0.011% GLBE IL0011741688 BN770J3China Overseas Land and Investment Ltd. $406,595 0.011% *COLI HK0688002218 6192150Apollo Hospitals Enterprise Ltd. $399,544 0.011% *APHS INE437A01024 6273583Localiza Rent A Car SA $396,649 0.010% *RENT3 BRRENTACNOR4 B08K3S0Flat Glass Group Co. Ltd. $393,500 0.010% *FLAT CNE100002375 BYQ9774Jacobio Pharmaceuticals Group Co. Ltd. $391,609 0.010% *JABPHM KYG4987A1094 BMQC6Q1Tech Mahindra Ltd. $391,175 0.010% *TECHM INE669C01036 BWFGD63Alibaba Group Holding Ltd. sponsored ADR $389,776 0.010% BABA 01609W102 US01609W1027 BP41ZD1Gemdale Corp. (A Shares) $387,709 0.010% *GEMCOA CNE000001790 BP3R3Q9Treasury Wine Estates Ltd. $382,219 0.010% *TRWE AU000000TWE9 B61JC67Compania de Minas Buenaventura SA sponsored ADR $380,135 0.010% BVN 204448104 US2044481040 2210476Meesho Series F $379,716 0.010% MEES+FPPShenZhen Topband Co. Ltd. (A Shares) $374,173 0.010% *SZTOPB CNE1000005H4 BD73L43China Merchants Shekou Industrial Zone HoldingsCo. Ltd. (A Shares) $373,431 0.010% *CHMERA CNE100002FC6 BD5CPM8Mahindra & Mahindra Ltd. $367,190 0.010% *MMLD INE101A01026 6100186Pop Mart International Group Ltd. $363,956 0.010% *POPM KYG7170M1033 BN6PP37Ocado Group PLC $361,185 0.010% *OCGR GB00B3MBS747 B3MBS74West Fraser Timber Co. Ltd. $358,485 0.009% WFG.TO 952845105 CA9528451052 2951098Transmissora Alianca de Energia Eletrica SA unit $357,188 0.009% *TAEE11 BRTAEECDAM10 B1G8KX7Grupo Aeroportuario del Sureste S.A.B. de CVSeries B sponsored ADR $355,533 0.009% ASR 40051E202 US40051E2028 2639361Xiaomi Corp. Class B $352,049 0.009% *XIAOMI KYG9830T1067 BG0ZMJ9


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLUniper SE $348,255 0.009% *UNGR DE000UNSE018 BZ6CZ43TravelSky Technology Ltd. (H Shares) $347,804 0.009% *TRSKY CNE1000004J3 6321954Canada Goose Holdings, Inc. $344,719 0.009% GOOS.TO 135086106 CA1350861060 BF0B2F6Akeso, Inc. $341,739 0.009% *AKESO KYG0146B1032 BLFJ7Y1Petronet LNG Ltd. $341,332 0.009% *PLNG INE347G01014 B00KT68Hon Hai Precision Industry Co. Ltd. (Foxconn) $339,098 0.009% *HONHAI TW0002317005 6438564dentalcorp Holdings Ltd. $335,464 0.009% DNTL.TO 24874B108 CA24874B1085 BMGHLS3KDDI Corp. $335,098 0.009% *DDI JP3496400007 6248990JEOL Ltd. $332,263 0.009% *IEOL JP3735000006 6470544CIFI Holdings Group Co. Ltd. $328,992 0.009% *CIHGC KYG2140A1076 B8Z00N3CLP Holdings Ltd. $326,805 0.009% *CLP HK0002007356 6097017Vivendi SA $325,449 0.009% *VNDI FR0000127771 4834777Poly Developments & Holdings (A Shares) $324,795 0.009% *PREGRA CNE000001ND1 BP3R336ARGAN SA $324,284 0.009% *ARGAN FR0010481960 B1YKDN6Idemitsu Kosan Co. Ltd. $317,757 0.008% *IDEM JP3142500002 B1FF8P7Equinor ASA $303,245 0.008% *STLA NO0010096985 7133608Kinepolis Group NV $303,115 0.008% *KIPO BE0974274061 BN3ZYS8Antengene Corp. $302,623 0.008% *ACHKL KYG039571008 BMW9BX8PT United Tractors Tbk $301,087 0.008% *UTR ID1000058407 6230845Sungrow Power Supply Co. Ltd. (A Shares) $299,444 0.008% *SUNPWRA CNE1000018M7 BD5CGB4Verbund AG $298,128 0.008% *VERB AT0000746409 4661607Square Enix Holdings Co. Ltd. $293,843 0.008% *SQENX JP3164630000 6309262Kerry Group PLC Class A $288,984 0.008% *KYG IE0004906560 4519579ENGIE Brasil Energia SA $283,395 0.007% *TBLE3 BREGIEACNOR9 BD1WX84Venus MedTech Hangzhou, Inc. (H Shares) $281,236 0.007% *VEMED CNE100003PJ8 BL6V047Allegro.eu SA $279,118 0.007% *ALLEG LU2237380790 BMBQDF6Ayala Land, Inc. $277,086 0.007% *AYLI PHY0488F1004 6055112Shenzhen H&T Intelligent Control Co. Ltd. (AShares) $276,632 0.007% *SHZHT CNE100000P51 BD73M73Capcom Co. Ltd. $271,095 0.007% *CAPC JP3218900003 6173694Corporacion Inmobiliaria Vesta S.A.B. de CV $267,745 0.007% *VESTA MX01VE0M0003 B8F6ZF8Max Healthcare Institute Ltd. $261,161 0.007% *MAXHEAL INE027H01010 BMB2291Studio Dragon Corp. $258,049 0.007% *SODNC KR7253450001 BDRY726Brookfield Renewable Corp. $256,226 0.007% BEPC.TO 11284V105 CA11284V1058 BMXWR83ZTE Corp. (H Shares) $252,952 0.007% *ZTEH CNE1000004Y2 B04KP88GVS SpA $252,416 0.007% *GVSSP IT0005411209 BMVB793Grupo Aeroportuario Norte S.A.B. de CV $249,430 0.007% *OMA MX01OM000018 B1KFX13Shimao Property Holdings Ltd. $247,602 0.007% *SPHK KYG810431042 B16YNS1Sun Pharmaceutical Industries Ltd. $247,523 0.007% *SUNDEM INE044A01036 6582483


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLOPT Machine Vision Tech Co. Ltd. (A Shares) $239,492 0.006% *OPTMV BL6JNM0Estun Automation Co. Ltd. (A Shares) $237,678 0.006% *ESTUNA CNE100001X35 BFCCQJ9Cranswick PLC $232,392 0.006% *CNWK GB0002318888 0231888Thungela Resources Ltd. $231,743 0.006% *THUNRL ZAE000296554 BMV3M27Deliveroo PLC $229,059 0.006% ROO.TMPDah Sing Banking Group Ltd. $229,027 0.006% *DSBL HK2356013600 B01G0P1Ubisoft Entertainment SA $223,227 0.006% *UBI FR0000054470 B1L3CS6Huanxi Media Group Ltd. $219,276 0.006% *HLDT BMG4643J1062 BYRMJ10Whitehaven Coal Ltd. $212,730 0.006% *WHC AU000000WHC8 B1XQXC4JD Health International, Inc. $211,437 0.006% *JDHEAL KYG5074A1004 BMW8R04Ibiden Co. Ltd. $211,088 0.006% *IBDN JP3148800000 6456102Beijing Sinohytec Co. Ltd. (A Shares) $207,079 0.005% *BEISINO BMX3731Kry International AB Series E $205,229 0.005% *KRY+EAmbrx Biopharma, Inc. ADR $201,819 0.005% AMAM 02290A102 US02290A1025 BNKCPN4E.ON AG $200,647 0.005% *EONA DE000ENAG999 4942904ESR Cayman Ltd. $197,746 0.005% *ESRCAY KYG319891092 BHNCRK0Embassy Office Parks (REIT) $195,001 0.005% *EMBOPK INE041025011 BJH4V15Fastighets AB Balder $186,821 0.005% *FASG SE0000455057 B0LC9F2KE Holdings, Inc. ADR $185,868 0.005% BEKE 482497104 US4824971042 BMBX7M2Companhia de Transmissao de Energia EletricaPaulista (PN) $183,269 0.005% *TRPL4 BRTRPLACNPR1 2440972Parkway Life REIT $181,953 0.005% *PREIT SG1V52937132 B23WXW9Mail.Ru Group Ltd. GDR (Reg. S) $174,157 0.005% *MIL.GDR 560317208 US5603172082 B53NQB3Li Auto, Inc. Class A $172,643 0.005% *LIAUT BMW5M00Sinopec Engineering Group Co. Ltd. (H Shares) $172,211 0.005% *SEGHK CNE100001NV2 B92NYC9Adecoagro SA $153,463 0.004% AGRO LU0584671464 B65BNQ6CTP BV $148,444 0.004% *CTPB NL00150006R6 BLF7T27China Tower Corp. Ltd. (H Shares) $148,376 0.004% *CHTWR CNE100003688 BFZ2PK0Gibson Energy, Inc. $147,705 0.004% GEI.TO 374825206 CA3748252069 B44WH97TME S&P/TSX 60 Index Contracts $146,052 0.004% PTZ1Cameco Corp. $142,278 0.004% CCO.TO 13321L108 CA13321L1085 2166160Lions Gate Entertainment Corp. Class A $140,841 0.004% LGF.A 535919401 CA5359194019 BD8NBC0Haier Smart Home Co. Ltd. (A Shares) $136,497 0.004% *QINHAI CNE000000CG9 BP3R3G9Six of October Development & Investment Co. $134,348 0.004% *OCDI EGS65851C015 6651996Auto1 Group SE $133,935 0.004% *AUTGR DE000A2LQ884 BL5C4C7Kerry Properties Ltd. $131,953 0.003% *KP BMG524401079 6486314Dr. Martens Ltd. $130,426 0.003% *DOCS GB00BL6NGV24 BL6NGV2XP, Inc. Class A $130,422 0.003% XP KYG982391099 BK4Y052Shenzhou International Group Holdings Ltd. $127,270 0.003% *SINGR KYG8087W1015 B0MP1B0


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLLOG Commercial Properties e Participacoes SA $127,039 0.003% *LOGG3 BRLOGGACNOR7 BGYQQL8Trican Well Service Ltd. $124,081 0.003% TCW.TO 895945103 CA8959451037 2869964Medlive Technology Co. Ltd. $121,908 0.003% *MEDLUTongdao Liepin Group $121,791 0.003% *LIEPWT KYG8919T1022 BLD9KX3Tencent Music Entertainment Group ADR $121,499 0.003% TME 88034P109 US88034P1093 BFZYWR2Oatly Group AB ADR $116,455 0.003% OTLY 67421J108 US67421J1088 BNNTQY0On Holding AG $115,020 0.003% ONON CH1134540470 BPF0FP9Advantage Energy Ltd. $113,471 0.003% AAV.TO 00791P107 CA00791P1071 BNW0WP7Housing Development Finance Corp. Ltd. $108,726 0.003% *BHDFD INE001A01036 6171900Netmarble Corp. $108,468 0.003% *NETGM KR7251270005 BF2S426NP3 Fastigheter AB $103,803 0.003% *NP3 SE0006342333 BT6SSF1iQIYI, Inc. ADR $97,102 0.003% IQ 46267X108 US46267X1081 BYWT1W1Reliance Industries Ltd. $96,939 0.003% *RLIN IN9002A01032 BMFB937Land & House PCL (For. Reg.) $94,487 0.002% *LNDHF TH0143010Z16 6581930Exclusive Networks SA $93,762 0.002% *EXCNT 156896144 FR0014005DA7 BNZJCC8Helios Towers PLC $80,383 0.002% *HELWRS GB00BJVQC708 BJVQC70Indus Towers Ltd. $79,138 0.002% *BHIN INE121J01017 B92P9G4XPeng, Inc. Class A $77,639 0.002% *XPENG KYG982AW1003 BP6FB33Tatneft PAO $75,656 0.002% *TATNP+ RU0006944147 B5B1TJ8Shangri-La Asia Ltd. $59,718 0.002% *SHLA BMG8063F1068 6771032Win Semiconductors Corp. $56,549 0.001% *WINSE TW0003105003 B56LHP5Big Yellow Group PLC $54,957 0.001% *BYG GB0002869419 0286941Chime Biologics Ltd. $46,075 0.001% *CHIMEBLSR Group OJSC $41,065 0.001% *LSR RU000A0JPFP0 B59F840Fortinova Fastigheter AB $37,680 0.001% *FORTNV SE0014608915 BLD50V9Kry International AB $33,765 0.001% *KRYITLVoltas Ltd. $30,114 0.001% *VOLT INE226A01021 B1FCQX2Archosaur Games, Inc. $27,560 0.001% *ARCHSR KYG0512W1033 BMQ69B9A.P. Moller - Maersk A/S Series B $9,630 0.000% *DSACB DK0010244508 4253048Eden Biologics, Inc. $0 0.000% *JHLB KYG7863U1076 BYMJYF5

International Equities Total: $973,233,432 25.6%

Bonds

iShares 20+ Year Treasury Bond ETF $111,125,390 2.923% TLT 464287432 US4642874329 2971546Fidelity High Income Central Fund $57,934,712 1.524% FHIC.IP 31606V690 US31606V6902


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLCBOT 5-Year U.S. Treasury Note Contracts (UnitedStates) $5,663,931 0.149% FVZ1CBOT Ultra Long Term U.S. Treasury Bond Contracts(United States) $3,200,394 0.084% WNZ1CBOT Ultra 10-Year U.S. Treasury Note Contracts(United States) $3,170,763 0.083% UXYZ1U.S. Treasury Inflation-Indexed Notes 0.125%1/15/23 $2,944,445 0.077% 912828UH1 US912828UH11 B96LV84U.S. Treasury Inflation-Indexed Notes 0.375%7/15/23 $2,929,277 0.077% 912828VM9 US912828VM96 BCDZ135U.S. Treasury Inflation-Indexed Notes 0.625%1/15/24 $2,818,301 0.074% 912828B25 US912828B253 BJ4GVF8U.S. Treasury Notes 1.25% 4/30/28 $2,815,454 0.074% 91282CBZ3 US91282CBZ32 BLPKDT1U.S. Treasury Inflation-Indexed Notes 0.125%1/15/31 $2,789,210 0.073% 91282CBF7 US91282CBF77 BMV7Z42U.S. Treasury Inflation-Indexed Notes 0.375%7/15/25 $2,767,192 0.073% 912828XL9 US912828XL95 BYST006U.S. Treasury Inflation-Indexed Notes 0.25%1/15/25 $2,696,453 0.071% 912828H45 US912828H458 BVFD6V3U.S. Treasury Inflation-Indexed Notes 0.125%7/15/30 $2,600,131 0.068% 912828ZZ6 US912828ZZ63 BLCGQJ3U.S. Treasury Inflation-Indexed Notes 0.125%7/15/24 $2,593,678 0.068% 912828WU0 US912828WU04 BP8S7P4U.S. Treasury Inflation-Indexed Notes 0.625%4/15/23 $2,521,570 0.066% 9128284H0 US9128284H06 BFWS4X7U.S. Treasury Inflation-Indexed Notes 0.5% 1/15/28 $2,517,216 0.066% 9128283R9 US9128283R96 BFWMB38U.S. Treasury Inflation-Indexed Notes 0.625%1/15/26 $2,414,546 0.064% 912828N71 US912828N712 BDHLRC7U.S. Treasury Inflation-Indexed Notes 0.125%1/15/30 $2,335,310 0.061% 912828Z37 US912828Z377 BJVB6M8German Federal Republic 0% 5/15/35 (Reg. S) $2,325,052 0.061% %DBR35S DE0001102515 BMQ5WP1U.S. Treasury Inflation-Indexed Notes 0.375%7/15/27 $2,308,051 0.061% 9128282L3 US9128282L36 BYZ6DQ7U.S. Treasury Inflation-Indexed Notes 0.125%10/15/25 $2,259,214 0.059% 91282CAQ4 US91282CAQ42 BMHMCY0U.S. Treasury Inflation-Indexed Notes 0.125%4/15/26 $2,222,199 0.058% 91282CCA7 US91282CCA71 BL6KFQ1U.S. Treasury Inflation-Indexed Notes 0.125%10/15/24 $2,220,377 0.058% 912828YL8 US912828YL86 BKDTS54


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLU.S. Treasury Inflation-Indexed Notes 0.75%7/15/28 $2,218,003 0.058% 912828Y38 US912828Y388 BF2LWR6U.S. Treasury Inflation-Indexed Notes 0.375%1/15/27 $2,187,582 0.058% 912828V49 US912828V491 BDFFCW6U.S. Treasury Inflation-Indexed Notes 0.125%7/15/26 $2,182,145 0.057% 912828S50 US912828S505 BD211D1U.S. Treasury Inflation-Indexed Notes 0.25%7/15/29 $2,117,465 0.056% 9128287D6 US9128287D64 BK53BD3TME 10 Year Canadian Note Contracts (Canada) $2,039,692 0.054% CNZ1U.S. Treasury Inflation-Indexed Notes 0.125%4/15/25 $1,836,005 0.048% 912828ZJ2 US912828ZJ22 BMF0417U.S. Treasury Bonds 2% 8/15/51 $1,824,252 0.048% 912810SZ2 US912810SZ21 BMWVP21U.S. Treasury Inflation-Indexed Notes 0.875%1/15/29 $1,821,129 0.048% 9128285W6 US9128285W63 BJB9TW3U.S. Treasury Inflation-Indexed Bonds 2.375%1/15/25 $1,804,794 0.047% %TII25 912810FR4 US912810FR42 B021PJ4Imperial Tobacco Finance PLC 3.5% 7/26/26 $1,744,278 0.046% %IMB26A 45262BAB9 US45262BAB99 BJMSS66CBOT Long Term U.S. Treasury Bond Contracts(United States) $1,703,435 0.045% USZ1Eurex Euro-Bund Contracts (Germany) $1,700,650 0.045% RXZ1 DE000C58EEG0Bayer AG 2.375% 11/12/79 (Reg. S) $1,675,404 0.044% %BAYN79S XS2077670003 BK8J9V2U.S. Treasury Inflation-Indexed Notes 0.5% 4/15/24 $1,596,668 0.042% 9128286N5 US9128286N55 BJN4R44U.S. Treasury Inflation-Indexed Bonds 3.875%4/15/29 $1,509,409 0.040% %TII29 912810FH6 US912810FH69 2407096Volkswagen International Finance NV 4.625% (Reg.S) $1,312,463 0.035% %VWPRP49 XS1048428442 BKWC0Q9U.S. Treasury Notes 0.75% 3/31/26 $1,311,251 0.034% 91282CBT7 US91282CBT71 BMDNPN7U.S. Treasury Inflation-Indexed Bonds 2% 1/15/26 $1,278,147 0.034% %TII26 912810FS2 US912810FS25 B0XM6G0U.S. Treasury Inflation-Indexed Bonds 3.625%4/15/28 $1,268,115 0.033% %TII28 912810FD5 US912810FD55 2235037U.S. Treasury Notes 1.25% 8/15/31 $1,266,566 0.033% 91282CCS8 US91282CCS89 BMWVP09U.S. Treasury Notes 1.125% 2/15/31 $1,262,488 0.033% 91282CBL4 US91282CBL46 BM9WFM7U.S. Treasury Bonds 3% 2/15/49 $1,232,132 0.032% 912810SF6 US912810SF66 BJ7G9G2SSE PLC 4.75% 9/16/77 (Reg. S) $1,225,364 0.032% %SSEL77S XS1572343744 BF08882EDF SA 5.25% (Reg. S) $1,224,145 0.032% %EDF49S USF2893TAF33 B9F4JJ1U.S. Treasury Notes 0.125% 7/15/31 $1,201,721 0.032% 91282CCM1 US91282CCM10 BNW0365Eurex Euro-Buxl 30 Year Bond Contracts (Germany) $1,196,346 0.031% UBZ1 DE000C58EEK2InterContinental Hotel Group PLC 3.375% 10/8/28(Reg. S) $1,185,001 0.031% %IHGL28S XS2240494711 BMH5RK0


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLBritish American Tobacco PLC 3% (Reg. S) $1,141,582 0.030% %BAT99S XS2391779134 BPBS9S8U.S. Treasury Inflation-Indexed Bonds 2.5% 1/15/29 $1,092,919 0.029% %TII129 912810PZ5 US912810PZ57 B4RNYM9U.S. Treasury Inflation-Indexed Bonds 2.375%1/15/27 $1,083,780 0.029% %TII27 912810PS1 US912810PS15 BYQLTT6Credit Suisse Group AG 7.5% (Reg. S) $1,051,360 0.028% %CSA49S XS0989394589 BH579X0U.S. Treasury Inflation-Indexed Bonds 1.75%1/15/28 $1,030,477 0.027% %TII128 912810PV4 US912810PV44 B2PB3T1Aroundtown SA 3.375% (Reg. S) $1,021,565 0.027% %TLGFS99 XS2055106210 BJSFXV1U.S. Treasury Notes 1.625% 5/15/26 $947,180 0.025% 912828R36 US912828R366 BYZ2XV0Grand City Properties SA 1.5% (Reg. S) $923,605 0.024% %GYCGS XS2271225281 BM8TVQ5Bayer AG 2.375% 4/2/75 (Reg. S) $902,886 0.024% %BAN75S DE000A14J611 BWSWCR2Petroleos Mexicanos 6.5% 3/13/27 $894,266 0.024% %PEMX327 71654QCG5 US71654QCG55 BG10BH4United Kingdom, Great Britain and Northern Ireland1.25% 10/22/41 (Reg. S) $881,965 0.023% %UKT41S GB00BJQWYH73 BJQWYH7ADLER Group SA 1.875% 1/14/26 (Reg. S) $877,952 0.023% %ADG26S XS2283224231 BNRQNF7Demeter Investments BV 5.75% 8/15/50 (Reg. S) $873,084 0.023% %DEMTR50 XS1261170515 BYNH2Q5Volkswagen International Finance NV 3.875% (Reg.S) $832,293 0.022% %VWS XS2187689380 BMTCWT3BAT International Finance PLC 2.25% 6/26/28 (Reg.S) $817,294 0.022% %BTS28S XS2197683894 BM984J5Credit Suisse Group AG 6.5% 8/8/23 (Reg. S) $810,071 0.021% %CS23S XS0957135212 BCW3H43Iliad SA 0.75% 2/11/24 (Reg. S) $803,524 0.021% %ILDF24S FR0014001YE4 BKPSW57UMBS 30YR 2% 10/01/2051 #TBA $777,868 0.020% 01F0206A2 US01F0206A20John Lewis PLC 6.125% 1/21/25 $760,868 0.020% %JOHLE25 XS0527985583 B434V14Cloverie PLC 4.5% 9/11/44 (Reg. S) $760,402 0.020% %SREN44S XS1108784510 BQQP8W8Heimstaden Bostad AB 3.248% (Reg. S) $755,435 0.020% %HEIB99S XS2010037765 BKRRMD0QBE Insurance Group Ltd. 6.75% 12/2/44 (Reg. S) $701,438 0.018% %QBEA44S XS1144495808 BSSWBW2Blackstone Property Partners Europe LP 1% 5/4/28(Reg. S) $672,816 0.018% %BPPE28S XS2338355014 BNKSW19Circle Internet Financial Ltd. 0% $630,093 0.017% %CIFPPSouthern Co. 1.875% 9/15/81 $622,587 0.016% %SO81 XS2387675395 BLH07S6Bank Ireland Group PLC 1.375% 8/11/31 (Reg. S) $618,082 0.016% %BKIR31S XS2340236327 BMHV4Z2NGG Finance PLC 2.125% 9/5/82 (Reg. S) $604,418 0.016% %NGGL82S XS2010045511 BKS11J0Whitbread PLC 3.375% 10/16/25 (Reg. S) $597,400 0.016% %WTBL25S XS1235295539 BWVFXN1Aviva PLC 6.125% $594,819 0.016% %AVL49 XS0177447983 B8383D0Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S) $590,006 0.016% %HTHR28S XS2317082787 BLH2QW9Volkswagen International Finance NV 2.7%(Reg. S) $577,394 0.015% %VW99S XS1629658755 BDD1BC9Peoples Republic of China 2.88% 11/5/23 $560,631 0.015% %CG1123 CND10003S3B5 BN7QSD0UniCredit SpA 2.731% 1/15/32 (Reg. S) $559,594 0.015% %UCGM32S XS2101558307 BKMG1F7


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLRolls-Royce PLC 3.375% 6/18/26 $559,308 0.015% %ROLLS26 XS0944831154 BBJNJX2Bank Ireland Group PLC 3.125% 9/19/27 (Reg. S) $542,481 0.014% %BKI27S XS1685476175 BDR5NL0M&G PLC 5.625% 10/20/51 (Reg. S) $541,156 0.014% %PRUF51S XS1888920276 BGNKKR5Telefonica Europe BV 2.625% (Reg. S) $536,194 0.014% %TELE99S XS1731823255 BD3JBW3U.S. Treasury Bonds 2.375% 5/15/51 $535,705 0.014% 912810SX7 US912810SX72 BMHV4V8AIB Group PLC 1.875% 11/19/29 (Reg. S) $513,939 0.014% %AIB29S XS2080767010 BKRRMG3AerCap Holdings NV 5.875% 10/10/79 $513,093 0.013% %AER79 00774YAA7 US00774YAA73 BKQQYG5Cellnex Finance Co. SA 1% 9/15/27 (Reg. S) $491,987 0.013% %CLXM27S XS2385393405 BMFSP41UMBS 30YR 2% 11/01/2051 #TBA $489,746 0.013% 01F0206B0 US01F0206B03CPI Property Group SA 3.75% (Reg. S) $475,257 0.013% %CPIPR99 XS2290533020 BMDH250Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) $475,256 0.013% %MKSL27S XS2024535036 BKLH753Heathrow Funding Ltd. 7.125% 2/14/24 $457,121 0.012% %BAA24 XS0746068732 B7FBK84Southern Water Services Finance Ltd. 1.625%3/30/27 (Reg. S) $455,366 0.012% %SWSF27S XS2325617939 BMW33V2Peoples Republic of China 3.28% 12/3/27 $450,032 0.012% %CGBC27 CND10003W0P5 BKX9SD2Enel SpA 2.5% (Reg. S) $449,518 0.012% %ENEL78S XS1713463716 BG1WHZ0QBE Insurance Group Ltd. 2.5% 9/13/38 (Reg. S) $428,150 0.011% %QBEA38S XS2384289554 BNYC972GNII II 3.5% 10/01/2051 #TBA $424,311 0.011% 21H0326A3 US21H0326A37Samhallsbyggnadsbolaget I Norden AB 1.75% 1/14/25(Reg. S) $424,055 0.011% %SBBN25S XS1993969515 BK62TH9U.S. Treasury Notes 2% 5/31/24 $420,982 0.011% 912828XT2 US912828XT22 BDZZ3J0UMBS 30YR 2.5% 10/01/2051 #TBA $407,406 0.011% 01F0226A8 US01F0226A83QBE Insurance Group Ltd. 5.875% $398,238 0.010% %QBE99A 74728GAE0 US74728GAE08 BMHCRJ0Enel SpA 3.375% (Reg. S) $391,453 0.010% %ENEL81S XS1713463559 BG1WHX8Petroleos Mexicanos 7.69% 1/23/50 $378,367 0.010% %PEMEX50 71654QDD1 US71654QDD16 BMYVTL6Bank Ireland Group PLC 2.375% 10/14/29 (Reg. S) $369,740 0.010% %BKIR29S XS2065555562 BKTPD28ASX 10 Year Treasury Bond Index Contracts(Australia) $364,746 0.010% XMZ1U.S. Treasury Notes 2.125% 11/30/24 $360,341 0.009% 9128283J7 US9128283J70 BF2W116HSBC Holdings PLC 6.375% $359,739 0.009% %HSBCH49 404280AT6 US404280AT69 BWGCL00Technip Energies NV 1.125% 5/28/28 $359,502 0.009% %TEFP28S XS2347284742 BNYBQM3NatWest Group PLC 2.105% 11/28/31 (Reg. S) $356,278 0.009% %NWG31S XS2346516250 BLFB2W0AT Securities BV 5.25% (Reg. S) $340,478 0.009% %ALATS XS1634523754 BD5BLD8GNII II 2% 10/01/2051 #TBA $340,017 0.009% 21H0206A8 US21H0206A81U.S. Treasury Notes 2.125% 7/31/24 $332,715 0.009% 9128282N9 US9128282N91 BD36HF9Alpha Trains Finance SA 2.064% 6/30/30 $331,672 0.009% %APHTR30 XS1208436219 BVZCM90Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29(Reg. S) $331,119 0.009% %CIMAU29 XS2346973741 BN0TLV5Lagardere S.C.A. 1.625% 6/21/24 (Reg. S) $330,817 0.009% %MMBFP24 FR0013262912 BD5BFS1


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) $320,984 0.008% %ESSG23S DE000A254YS5 BLJL2Z9Deutsche Annington Finance BV 4% (Reg. S) $315,260 0.008% %DTTSG49 XS1117300837 BTFRDM1Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg.S) $313,733 0.008% %SBBB99S XS2010032618 BL1NPK9Rolls-Royce PLC 5.75% 10/15/27 (Reg. S) $311,195 0.008% %ROLL27S XS2244321787 BMTLNX1Peoples Republic of China 2.68% 5/21/30 $305,814 0.008% %CGBC30 CND100036Q75 BL587Q0Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) $305,519 0.008% %VMLN30S XS2227898421 BN2BGF8GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) $302,744 0.008% %GTCA26S XS2356039268 BM9DFR5Heimstaden AB 4.375% 3/6/27 (Reg. S) $301,081 0.008% %HEIM27S SE0016589105 BMTPQT0Credit Suisse Group AG 4.194% 4/1/31 $300,302 0.008% %CS31A 225401AP3 US225401AP33 BL657B5South African Republic 8% 1/31/30 $298,537 0.008% %SAGB30 ZAG000106998 BH6XNR9Akelius Residential Property AB 3.875% 10/5/78(Reg. S) $297,468 0.008% %AKST78S XS1788973573 BD5GPN1SSE PLC 3.74% (Reg. S) $294,729 0.008% %SSEL99S XS2195190876 BKWGTY2Credit Agricole Assurances SA 4.75% 9/27/48 $291,357 0.008% %ACAFP48 FR0013203734 BD843H2Danske Bank A/S 2.25% 1/14/28 (Reg. S) $287,960 0.008% %DANN28S XS2100904361 BKY72K0Ministry of Finance of the Russian Federation 8.5%9/17/31 $285,613 0.008% %RFLB31 RU000A0JVW48 BDGSPL4QBE Insurance Group Ltd. 5.25% (Reg. S) $283,391 0.007% %QBU99S XS1707749229 BZ7MQL6CBOT 10-Year U.S. Treasury Note Contracts (UnitedStates) $282,998 0.007% TYZ1CTP BV 0.625% 11/27/23 (Reg. S) $278,784 0.007% %CTPB23S XS2264194205 BMWC450The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) $275,246 0.007% %BKGL31S XS2370445921 BNR5RW9Indonesian Republic 8.375% 9/15/26 $272,877 0.007% %INDO26 IDG000009507 B4NPD22EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81(Reg. S) $271,954 0.007% %ENBW81S XS2381272207 BM9C237Danone SA 1.75% (Reg. S) $268,523 0.007% %BNP99S FR0013292828 BDZRD96Stichting AK Rabobank Certificaten 19.4365% (Reg.S) $260,936 0.007% %RABA49S XS1002121454 BJBQCW5Bank of Nova Scotia 4.65% $259,211 0.007% %BNS99 064159KJ4 US064159KJ44 BF8F733MPT Operating Partnership LP/MPT Finance Corp.2.5% 3/24/26 $258,960 0.007% %MPW0326 XS2322419776 BLF8TF3UMBS 30YR 1.5% 10/01/2051 #TBA $257,131 0.007% 01F0126A9 US01F0126A92BNP Paribas SA 6.625% (Reg. S) $252,386 0.007% %BN1299S USF1R15XK938 BJ0M6G6Valeo SA 1% 8/3/28 (Reg. S) $248,248 0.007% %FRFP28S FR0014004UE6 BMVFFK2Vodafone Group PLC 6.25% 10/3/78 (Reg. S) $243,874 0.006% %VODF24 XS1888180640 BGNKT90Indonesian Republic 8.25% 5/15/29 $242,405 0.006% %INDO529 IDG000012907 BF4Y9X8Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) $241,232 0.006% %BBVS99S ES0813211002 BF2PHR3United Mexican States 8.5% 5/31/29 $237,251 0.006% %MBON529 MX0MGO0000H9 B4XH544


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOL1MDB Global Investments Ltd. 4.4% 3/9/23 $234,818 0.006% %OGIM23S XS0906085179 B92NBN9United Mexican States 5.75% 3/5/26 $228,862 0.006% %MBON26 MX0MGO0000Y4 BYNMJL4AIB Group PLC 6.25% (Reg. S) $225,910 0.006% %AIBK99S XS2010031057 BMY7D89Vodafone Group PLC 2.625% 8/27/80 (Reg. S) $219,429 0.006% %VOD80S XS2225157424 BMFC7N6Lloyds Banking Group PLC 1.985% 12/15/31 $218,103 0.006% %LLOY31 XS2351166421 BM91MQ7Barclays Bank PLC 7.625% 11/21/22 $217,905 0.006% %BAR1122 06740L8C2 US06740L8C27 B92RT04Brazil Government Bill 7/1/23 $216,181 0.006% BRSTNCLTN7Q5 BJLSRL5JPMorgan Chase & Co. 4.125% 12/15/26 $213,191 0.006% %JPM1226 46625HJZ4 US46625HJZ47 BTCB1T9Polish Government 2.75% 10/25/29 $212,557 0.006% %P102529 PL0000111498 BJHC614Iliad SA 1.5% 10/14/24 (Reg. S) $211,743 0.006% %ILD24S FR0013287273 BF92J93Brazilian Federative Republic 10% 1/1/25 $208,462 0.005% %BNTNF25 BRSTNCNTF170 BJ0X0K1Teva Pharmaceutical Finance Netherlands III BV1.25% 3/31/23 (Reg. S) $202,933 0.005% %TEVA23S XS1211040917 BWK1Q19CTP BV 0.5% 6/21/25 (Reg. S) $201,309 0.005% %CTPN25S XS2356029541 BNKCJ65Holding d’Infrastructures et des Metiers del’Environnement 0.625% 9/16/28 (Reg. S) $199,786 0.005% %SAUR28S XS2385390724 BNLXW35GNII II 2.5% 10/01/2051 #TBA $199,318 0.005% 21H0226A4 US21H0226A46Arab Republic of Egypt 7.5% 1/31/27 $195,043 0.005% %EGYP27A 038461AL3 US038461AL31 BDG6ZL8Malaysian Government 3.885% 8/15/29 $183,826 0.005% %MGS29 MYBMO1900020 BDVLNF8Indonesian Republic 8.375% 3/15/34 $182,226 0.005% %INDOG34 IDG000010802 BCV7LV1FHLG 30YR 3% 02/01/2050#SD7512 $181,600 0.005% 3132DVKZ7 US3132DVKZ75Colombian Republic 7% 6/30/32 $180,621 0.005% %COLTE32 COL17CT03490 BD446H7Fidelidade-Companhia de Seguros SA 4.25% 9/4/31(Reg. S) $180,529 0.005% %FIDE31S PTFIDBOM0009 BM8H6V9NatWest Group PLC 5.125% 5/28/24 $178,729 0.005% %RBS524 780099CH8 US780099CH81 BMSSMC5Czech Republic 2% 10/13/33 $173,031 0.005% %CZGB33 CZ0001005243 BFYN3F5Blackstone Property Partners Europe LP 1.75%3/12/29 (Reg. S) $168,823 0.004% %BPPE29S XS2051670300 BK4W8P2Alpha Bank SA 4.25% 2/13/30 (Reg. S) $167,726 0.004% %ALPH30S XS2111230285 BKLJ8Z6ADLER Group SA 2.25% 4/27/27 (Reg. S) $166,582 0.004% %ADJG27S XS2336188029 BNDMJG2CBOT 2-Year U.S. Treasury Note Contracts (UnitedStates) $166,466 0.004% TUZ1Morgan Stanley 3.125% 1/23/23 $164,846 0.004% %MS0123 61744YAN8 US61744YAN85 BZ1CRQ4Turkish Republic 3.25% 3/23/23 $164,188 0.004% %TURK323 900123CA6 US900123CA66 B84CN86FHLG 30YR 2.5% 11/01/2050#SD7530 $162,342 0.004% 3132DVLK9 US3132DVLK97Travis Perkins PLC 4.5% 9/7/23 (Reg. S) $161,570 0.004% %TPKL923 XS1407695680 BZ05HT7AerCap Ireland Capital Ltd./AerCap Global AviationTrust 6.5% 7/15/25 $161,536 0.004% %AER725 00774MAN5 US00774MAN56 BMBT2D6Argentine Republic 0.5% 7/9/30 $160,511 0.004% %ARGN730 040114HS2 US040114HS26 BNC1818


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLBank of Nova Scotia 4.9% $160,319 0.004% %BNS2199 064159VJ2 US064159VJ25 BMXXNJ9Petroleos Mexicanos 4.875% 1/18/24 $158,265 0.004% %PEMEX24 71654QBH4 US71654QBH48 BD7W5J3Kingdom of Thailand 3.3% 6/17/38 $157,718 0.004% %THA1738 TH062303I602 BGW4KT0Petroleos Mexicanos 6.75% 9/21/47 $157,433 0.004% %PEMEX47 71654QCC4 US71654QCC42 BD3NBC5GNII II 2.5% 03/20/2051#MA7255 $156,938 0.004% 36179WBY3 US36179WBY30Societe Generale 7.875% (Reg. S) $156,007 0.004% %SOCG99S USF8586CRW49 BH7XMN7Hungarian Republic 6.75% 10/22/28 $155,366 0.004% %HGB28 HU0000402532 B555B67NatWest Group PLC 6% 12/19/23 $155,275 0.004% %RBS1223 780097AZ4 US780097AZ42 BHB92X1United Mexican States 7.75% 11/13/42 $154,387 0.004% %MBONO42 MX0MGO0000R8 B7V21L1Polish Government 2.5% 7/25/26 $153,167 0.004% %POLGB26 PL0000108866 BYZTNT9International Finance Corp. 5.85% 11/25/22 $152,205 0.004% %IFC1122 45950VLJ3 US45950VLJ34 BZ7MRH9Morgan Stanley 5% 11/24/25 $151,929 0.004% %MS1125 6174467X1 US6174467X10 BGN2MV9ZF Finance GmbH 2% 5/6/27 (Reg. S) $150,967 0.004% %ZFF27S XS2338564870 BL6KF49Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) $150,660 0.004% %SREL26S XS2356076625 BNKGTN4AIA Group Ltd. 0.88% 9/9/33 (Reg. S) $148,890 0.004% %AIA33S XS2356311139 BMTPMF8FHLG 30YR 2% 05/51#SD7541 $148,486 0.004% 3132DVLW3 US3132DVLW36State of Qatar 3.75% 4/16/30 $148,216 0.004% %QATR30A 74727PBD2 US74727PBD24 BL6DKC1Brazilian Federative Republic 10% 1/1/23 $147,695 0.004% %BNT123 BRSTNCNTF147 B4Q5YM6Whitbread PLC 2.375% 5/31/27 (Reg. S) $145,532 0.004% %WTBL27S XS2289852522 BMYSDK4M&G PLC 6.5% 10/20/48 (Reg. S) $145,305 0.004% %PRUFI48 XS1888930150 BGS4PL1Uruguay Republic 9.875% 6/20/22 $142,778 0.004% %URUG22S USP96006AE41 BZ4BTC8South African Republic 8.75% 2/28/48 $142,405 0.004% %SAGB248 ZAG000096173 B8S1C48South African Republic 8.875% 2/28/35 $139,436 0.004% %SAGB35 ZAG000125972 BYY9RY3Saudi Arabian Oil Co. 3.5% 4/16/29 $132,435 0.003% %ARAM29A 80414L2D6 US80414L2D64 BK0L4P5The Real Good Food Co. LLC 1% $131,558 0.003% %RFCPPKingdom of Thailand 1.6% 6/17/35 $131,476 0.003% %THAIG35 TH062303F608 BKTHTT3Time Warner Cable LLC 6.55% 5/1/37 $129,383 0.003% %TWC37 88732JAJ7 US88732JAJ79 B28WMV6First Quantum Minerals Ltd. 7.25% 4/1/23 $128,899 0.003% %FMCN23A 335934AK1 US335934AK15 BF37080Ministry of Finance of the Russian Federation 7.7%3/16/39 $128,577 0.003% %RFLB39 RU000A100EF5 BJXXZL4BAT Capital Corp. 3.557% 8/15/27 $128,080 0.003% %BATSL27 05526DBB0 US05526DBB01 BHXH2M2JPMorgan Chase & Co. 3.875% 9/10/24 $127,034 0.003% %JPM924 46625HJY7 US46625HJY71 BQQLM57National Express Group PLC 4.25% (Reg. S) $126,604 0.003% %NEXLS XS2259808702 BMCF761Vietnamese Socialist Republic 5.5% 3/12/28 $125,520 0.003% %VIET28 XS0085134145 5831409Turkish Republic 5.125% 3/25/22 $125,156 0.003% %TURK22 900123BY5 US900123BY51 B80Z3J0Omega Healthcare Investors, Inc. 4.5% 4/1/27 $125,098 0.003% %OHI25 681936BF6 US681936BF65 BYY2WG9Indonesian Republic 6.5% 6/15/25 $124,768 0.003% %INDOG25 IDG000013707 BJBL4C4United Mexican States 8% 12/7/23 $124,352 0.003% %MEXI23 MX0MGO000003 B00L4V1GNII II 3% 06/20/2051#MA7419 $123,931 0.003% 36179WG44 US36179WG449


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLMorgan Stanley 3.737% 4/24/24 $123,290 0.003% %MS0224 61744YAQ1 US61744YAQ17 BD1ML80Cosan Overseas Ltd. 8.25% $122,692 0.003% %CSS1249 XS0556373347 B5WJZ04NatWest Group PLC 6.125% 12/15/22 $121,523 0.003% %RBS1222 780099CE5 US780099CE50 B9052M3Magnetite XXI Ltd. Series 2019-24A Class A, 3month U.S. LIBOR + 1.330% 1.4561% 1/15/33 $118,892 0.003% 55954WAA7 US55954WAA71Iliad SA 1.875% 2/11/28 (Reg. S) $118,860 0.003% %ILDF28S FR0014001YB0 BNKTZ79AT&T, Inc. 3.8% 12/1/57 $117,419 0.003% %AT57 00206RMN9 US00206RMN97 BNYDPS8GNII II 2% 11/01/2051 #TBA $117,284 0.003% 21H0206B6 US21H0206B64Petroleos Mexicanos 6.625% 6/15/35 $117,039 0.003% %PEM35 706451BG5 US706451BG56 B0Z2BX0Societe Generale 4.75% 11/24/25 $116,930 0.003% %SOC25A 83367TBR9 US83367TBR95 BDCBVW0Malaysian Government 3.828% 7/5/34 $115,748 0.003% %MGS5734 MYBMS1900047 BK74DQ1BNP Paribas SA 2.159% 9/15/29 $114,538 0.003% %BNP29A 09659W2R4 US09659W2R48 BNBYGS1Republic of Nigeria 7.625% 11/21/25 $113,158 0.003% %NGRA25A 65412JAJ2 US65412JAJ25 BFY66X3Czech Republic 1.2% 3/13/31 $112,365 0.003% %CZGB31 CZ0001005888 BN324D4Charter Communications Operating LLC/CharterCommunications Operating Capital Corp. 5.375%5/1/47 $111,565 0.003% %CHTR47 161175BL7 US161175BL78 BFF9P78Deutsche Annington Finance BV 5% 10/2/23 $110,204 0.003% %DAI23A 25155FAB2 US25155FAB22 BF5ZVC3Barclays PLC 2% 2/7/28 (Reg. S) $108,886 0.003% %BACR28S XS1678970291 BF0LKS5FirstEnergy Corp. 4.75% 3/15/23 $108,671 0.003% %FE31523 337932AF4 US337932AF44 B9DM5H7Eskom Holdings SOC Ltd. 6.75% 8/6/23 $108,405 0.003% %ESKO23A 29646AAA4 US29646AAA43 BCT4Z90Ford Motor Credit Co. LLC 4.063% 11/1/24 $108,307 0.003% %F1124 345397ZX4 US345397ZX44 BKVF4J0United Mexican States 6.75% 3/9/23 $104,060 0.003% %MBONO23 MX0MGO000128 BJM0CV5Turkish Republic 8% 3/12/25 $103,828 0.003% %TURKG25 TRT120325T12 BWY5FF4South African Republic 6.5% 2/28/41 $103,662 0.003% %SAGB41 ZAG000077488 B5VV9G5Petroleos Mexicanos 6.84% 1/23/30 $103,623 0.003% %PEMEX30 71654QDC3 US71654QDC33 BMBTPL5Citigroup, Inc. 4.45% 9/29/27 $102,501 0.003% %C27 172967KA8 US172967KA87 BYZ0SW0Anheuser-Busch InBev Worldwide, Inc. 5.8% 1/23/59(Reg. S) $102,498 0.003% %ABIBB59 03523TBW7 US03523TBW71 BJ521B1YPF SA 4% 2/12/26 $102,402 0.003% %YPFD26A 984245AU4 US984245AU46 BNK9QC1Bank of America Corp. 2.299% 7/21/32 $102,272 0.003% %BAC732 06051GKA6 US06051GKA66 BNZKS67Ally Financial, Inc. 5.8% 5/1/25 $101,797 0.003% %ALLY525 02005NBJ8 US02005NBJ81 BKPSFL4ZF Europe Finance BV 2% 2/23/26 (Reg. S) $101,018 0.003% %ZFFN26S XS2010039381 BKWD4L5Kosmos Energy Ltd. 7.125% 4/4/26 $100,519 0.003% %KOS26A 500688AC0 US500688AC04 BJYLV20FirstEnergy Corp. 7.375% 11/15/31 $100,499 0.003% %FE31 337932AC1 US337932AC13 2819486NatWest Group PLC 3.622% 8/14/30 (Reg. S) $100,113 0.003% %RBSS30S XS2172960481 BMQ5YQ6The Williams Companies, Inc. 4.55% 6/24/24 $99,884 0.003% %WMB24 969457BW9 US969457BW96 BNH5718Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) $98,706 0.003% %EBOX26S XS2347379377 BN0ZMX2Goldman Sachs Group, Inc. 3.8% 3/15/30 $97,770 0.003% %GS0930 38141GXH2 US38141GXH28 BLD6NP7


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLAnglian Water (Osprey) Financing PLC 2% 7/31/28(Reg. S) $97,630 0.003% %OSPR28S XS2356450846 BLD30Z7Anheuser-Busch InBev Worldwide, Inc. 5.55% 1/23/49 $95,430 0.003% %ABIB49 03523TBV9 US03523TBV98 BJ520Z8Freddie Mac floater Series 2021-F114 Class A/S,0.27% 5/25/31 $95,002 0.002% 3137H13Y0 US3137H13Y08Cigna Corp. 3.05% 10/15/27 $94,895 0.002% %CI10127 125523AZ3 US125523AZ36 BLCB784Deutsche Bank AG 4.5% 4/1/25 $94,328 0.002% %DB1225 251525AP6 US251525AP63 BWP2TZ2ICE Long Gilt Contracts (United Kingdom) $93,667 0.002% G_Z1 GB00JBW17R56Romanian Republic 4.75% 2/24/25 $93,133 0.002% %ROMGB25 RO1425DBN029 BP85164GNII II 4% 02/20/2049#MA5763 $93,119 0.002% 36179UML3 US36179UML34Dominican Republic 8.9% 2/15/23(Reg. S) $92,553 0.002% %DOMR23S USP3579EBZ99 BG0VM53FNMA 30YR 3% 04/01/2050#FM3830 $92,449 0.002% 3140X7HG7 US3140X7HG71Wells Fargo & Co. 4.478% 4/4/31 $91,807 0.002% %WFFC30 95000U2L6 US95000U2L65 BMFLT71Bayer U.S. Finance II LLC 4.25% 12/15/25 $91,745 0.002% %BAYN25A 07274NAJ2 US07274NAJ28 BYZMHL8YPF SA 8.75% 4/4/24 $91,641 0.002% %YPFD24A 984245AK6 US984245AK63 BLBWHX3Malaysian Government 4.065% 6/15/50 $91,589 0.002% %MGS50 MYBMZ2000016 BMVN6M5Peruvian Republic 2.783% 1/23/31 $91,330 0.002% %PERU131 715638DF6 US715638DF60 BMGFFR4Marks & Spencer PLC 3.75% 5/19/26 (Reg. S) $90,861 0.002% %MKSL26S XS2258453369 BM91ZM4Aeroporti di Roma SPA 1.75% 7/30/31 (Reg. S) $90,797 0.002% %ADRI31S XS2337326727 BM9CM71UMBS 30YR 2.5% 11/01/2051 #TBA $89,989 0.002% 01F0226B6 US01F0226B66Brazilian Federative Republic 8.25% 1/20/34 $89,944 0.002% %BRZ34 105756BB5 US105756BB58 2322252CF Hippolyta Issuer LLC sequential payer Series2020-1 Class A1, 1.69% 7/15/60 $89,603 0.002% 12530MAA3 US12530MAA36JPMorgan Chase & Co. 2.95% 10/1/26 $88,689 0.002% %JPM1026 46625HRV4 US46625HRV41 BDHBPY5Colombian Republic 5.75% 11/3/27 $87,909 0.002% %COLTE27 COL17CT03672 BJP4CY7Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) $87,673 0.002% %VWSD22S XS1197336263 BVVQDD7Cleco Corporate Holdings LLC 3.743% 5/1/26 $85,827 0.002% %CNL26 18551PAC3 US18551PAC32 BDFFY19Freddie Mac floater Series 2021-F115 Class A/S,U.S. 30-Day Avg. Secured Overnight Fin. Rate(SOFR) Indx + 0.210% 0.26% 6/25/31 $85,752 0.002% 3137H1LN4 US3137H1LN48Bank of America Corp. 3.705% 4/24/28 $83,970 0.002% %BAC428 06051GGL7 US06051GGL77 BYWC0Y5Amgen, Inc. 1.65% 8/15/28 $82,895 0.002% %AMGN28 031162DB3 US031162DB37 BKP4ZV2Chilean Republic 4.5% 3/1/26 $82,447 0.002% %BTPCL26 CL0002172501 BWWC438Capital One Financial Corp. 3.65% 5/11/27 $82,170 0.002% %COF527 14040HCE3 US14040HCE36 BMZ7WG9Gruma S.A.B. de CV 4.875% 12/1/24 (Reg. S) $82,061 0.002% %GRUM24S USP4948KAD74 BSRQV70Saudi Arabian Oil Co. 4.25% 4/16/39 $81,904 0.002% %ARAMC39 80414L2E4 US80414L2E48 BK0L4H7Option with an exercise rate of 2.5% on a creditdefault swap with Barclays Bank PLC to buyprotection on the 5-Year iTraxx Europe Crossover


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLSeries 35 Index expiring June 2026, paying 5%quarterly. $81,605 0.002% BPLC250Morgan Stanley 4.431% 1/23/30 $81,342 0.002% %MS130 6174468G7 US6174468G77 BJ2XKL0Anheuser-Busch InBev Finance, Inc. 4.9% 2/1/46 $81,194 0.002% %ABIBB46 035242AN6 US035242AN64 BYMLGZ5Indonesian Republic 8.5% 10/12/35 $80,978 0.002% %INDO35 455780AT3 US455780AT33 B0Q7457Goldman Sachs Group, Inc. 3.2% 2/23/23 $79,546 0.002% %GSG223 38141GWT7 US38141GWT74 BD1DDT8Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3month U.S. LIBOR + 1.250% 1.3839% 4/17/33 $79,048 0.002% 04015GAP4 US04015GAP46Verizon Communications, Inc. 2.987% 10/30/56 $78,571 0.002% %VZ56 92343VFW9 US92343VFW90 BMXT869TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) $78,495 0.002% %TZA24S XS1662406468 BD93Q57FHLG 30YR 2.5% 10/01/2050#SD7525 $77,715 0.002% 3132DVLE3 US3132DVLE38Brazilian Federative Republic 2.875% 6/6/25 $77,405 0.002% %BRAZL25 105756CD0 US105756CD06 BMFV937Angola Republic 9.5% 11/12/25 $77,405 0.002% %ANGO25A 035198AA8 US035198AA89 BZCQ4D1Ukraine Government 7.75% 9/1/24 $77,242 0.002% %UK24TMP 903724AR3 US903724AR33 BYSRKC2Ministry of Finance of the Russian Federation 5.1%3/28/35 $76,817 0.002% %RUSSI35 RU000A1006T7 BJVH4Y4Broadcom, Inc. 2.45% 2/15/31 $76,779 0.002% %AVGO31A 11135FBH3 US11135FBH38 BMCPJY3Hungarian Republic 3.25% 10/22/31 $76,723 0.002% %HGB1031 HU0000403001 BWT3GD8Berkshire Hathaway Energy Co. 4.05% 4/15/25 $76,582 0.002% %BRKH25 084659AT8 US084659AT88 BN6J6X6Freddie Mac floater Series 2021-F112 Class A/S,U.S. 30-Day Avg. Secured Overnight Fin. Rate(SOFR) Indx + 0.230% 0.28% 4/25/31 $76,314 0.002% 3137H0H92 US3137H0H924Broadcom, Inc. 2.6% 2/15/33 $76,157 0.002% %AVGO33A 11135FBF7 US11135FBF71 BMCGSY9Ares Capital Corp. 3.875% 1/15/26 $75,907 0.002% %ARCC26 04010LAZ6 US04010LAZ67 BN2W0W6Citigroup, Inc. 4.3% 11/20/26 $75,848 0.002% %C26 172967JC6 US172967JC62 BSNM7V8JDE Peet’s BV 2.25% 9/24/31 $75,119 0.002% %JDEP31A 47216QAC7 US47216QAC78 BP0TWK5Southern Gas Corridor CJSC 6.875% 3/24/26 $75,008 0.002% %SGCA26A 84302LAA0 US84302LAA08 BYSVN58Kingdom of Thailand 1.6% 12/17/29 $74,647 0.002% %THAIG29 TH0623039C03 BKY55V6GNII II 3% 04/20/2050#MA6599 $74,629 0.002% 36179VKL3 US36179VKL35Indonesian Republic 7.75% 1/17/38 $74,191 0.002% %IND38A 455780AZ9 US455780AZ92 B2NP7W6Illinois Gen. Oblig. Series 2010-1, 6.63% 2/1/35 $73,853 0.002% 452152BM2 US452152BM28Anheuser-Busch InBev Finance, Inc. 4.7% 2/1/36 $73,323 0.002% %ABIBB36 035242AM8 US035242AM81 BYMLCL3IHS Netherlands Holdco BV 7.125% 3/18/25 $72,868 0.002% %IHSH25A 44963LAB2 US44963LAB27 BK1X665FHLG 15YR 3% 02/01/2034#SB0179 $72,151 0.002% 3132CWFU3 US3132CWFU36Peruvian Republic 5.4% 8/12/34(Reg. S) $71,884 0.002% %PER34AS PEP01000C5G4 BJ5CSV0American International Group, Inc. 3.4% 6/30/30 $71,608 0.002% %AIG630 026874DR5 US026874DR53 BMZ7VQ2Societe Generale 1.038% 6/18/25 $70,888 0.002% %SCG25A 83368RBE1 US83368RBE18 BM9C947UMBS 30YR 1.5% 11/01/2051 #TBA $70,511 0.002% 01F0126B7 US01F0126B75Indonesian Republic 8.25% 5/15/36 $70,262 0.002% %INDOG36 IDG000011602 BYPGH98


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLUkraine Government 7.75% 9/1/23 $69,953 0.002% %UK23TMP 903724AQ5 US903724AQ59 BYSRK11NatWest Group PLC 6.1% 6/10/23 $69,924 0.002% %RBS23 780097AY7 US780097AY76 BBDY0Z0United Kingdom, Great Britain and Northern Ireland0.625% 7/31/35 (Reg. S) $69,646 0.002% %UKT35S GB00BMGR2916 BMGR291Colombian Republic 7.5% 8/26/26 $69,322 0.002% %COLTE26 COL17CT02625 B5V9HQ5Tullow Oil PLC 10.25% 5/15/26 $69,285 0.002% %TLWL26A 899415AG8 US899415AG89 BKPGFV8JPMorgan Chase & Co. 4.452% 12/5/29 $68,716 0.002% %JPM029 46647PAX4 US46647PAX42 BH31X98American International Group, Inc. 2.5% 6/30/25 $68,714 0.002% %AIIG25 026874DQ7 US026874DQ70 BMV76C7AT&T, Inc. 2.55% 12/1/33 $68,542 0.002% %T33 00206RMM1 US00206RMM15 BNLXVV6Ventas Realty LP 2.5% 9/1/31 $67,892 0.002% %VTR31 92277GAW7 US92277GAW78 BLDBLQ9Citigroup, Inc. 4.412% 3/31/31 $67,537 0.002% %C2031 172967MP3 US172967MP39 BMH3V24State of Qatar 4.817% 3/14/49 $67,034 0.002% %QATA49A 74727PBB6 US74727PBB67 BH3JGL5Molson Coors Beverage Co. 3% 7/15/26 $66,980 0.002% %TAP726 60871RAG5 US60871RAG56 BYT4Q68GNII II 3.5% 11/01/2051 #TBA $65,550 0.002% 21H0326B1 US21H0326B10Mortgage Repurchase Agreement Financing TrustSeries 2020-5 Class A1, 1 month U.S. LIBOR +1.000% 1.0848% 8/10/23 $65,395 0.002% 61916BBA7 US61916BBA70Brazilian Federative Republic 10% 1/1/29 $65,373 0.002% %BNTNF29 BRSTNCNTF1Q6 BF4LY56Credit Suisse Group AG 2.593% 9/11/25 $65,364 0.002% %CS25A 225401AM0 US225401AM02 BJDSY12Indonesian Republic 5.125% 1/15/45 $65,194 0.002% %IND45A 455780BU9 US455780BU96 BVG3087FNMA 30YR 3% 03/01/2050#FM2870 $64,858 0.002% 3140X6FL0 US3140X6FL02CF Hippolyta Issuer LLC sequential payer Series2021-1A Class A1, 1.53% 3/15/61 $64,494 0.002% 12530MAE5 US12530MAE57Ventas Realty LP 4.75% 11/15/30 $63,992 0.002% %VTR1130 92277GAV9 US92277GAV95 BM7SXV2Citigroup, Inc. 5.5% 9/13/25 $63,723 0.002% %CSE25 172967HB0 US172967HB08 BDT7Y00Romanian Republic 4.25% 6/28/23 $63,521 0.002% %ROM23 RO1823DBN025 BYWFVG3Illinois Gen. Oblig. Series 2010-3, 6.725% 4/1/35 $63,365 0.002% 452152FA4 US452152FA44Broadcom, Inc. 3.5% 2/15/41 $63,259 0.002% %AVGO41A 11135FBJ9 US11135FBJ93 BMCGSZ0Bank of America Corp. 3.864% 7/23/24 $63,226 0.002% %BAC724 06051GHL6 US06051GHL68 BFNNW71AusNet Services Holdings Pty Ltd. 1.625% 3/11/81(Reg. S) $63,015 0.002% %ANVA81S XS2308313860 BKQN541Deutsche Bank AG New York Branch 3.3% 11/16/22 $62,512 0.002% %DBB1122 251526BL2 US251526BL24 BZ1JRM1Volkswagen International Finance NV 2.5%(Reg. S) $62,511 0.002% %VWHF49S XS1206540806 BWDPNY0California Gen. Oblig. Series 2009, 7.55% 4/1/39 $62,370 0.002% 13063A5G5 US13063A5G50United Mexican States 5.75% 10/12/2110 $62,035 0.002% %MEX2110 91086QAZ1 US91086QAZ19 B4KRNP4Ministry of Finance of the Russian Federation 5.1%3/28/35(Reg. S) $61,993 0.002% %RUSS35S RU000A1006S9 BJ9SC78Islamic Republic of Pakistan 6% 4/8/26 $61,948 0.002% %PKST26A 695847AS2 US695847AS28 BNGCFR2FNMA 30YR 2.5% 02/51#CA8950 $61,840 0.002% 3140QG5L7 US3140QG5L75


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLState of Qatar 4.4% 4/16/50 $61,789 0.002% %QAT50A 74727PBE0 US74727PBE07 BL96P22UBS Group AG 7% (Reg. S) $61,464 0.002% %US49S CH0271428333 BVXZ4Q2Chilean Republic 5% 3/1/35 $61,271 0.002% %BTPCL35 CL0002187822 BZ8VHW0Polish Government 1.25% 10/25/30 $61,200 0.002% %POL1030 PL0000112736 BM9GGQ0FHLG 30YR 2.5% 08/01/2051#QC5848 $61,141 0.002% 3133AQP92 US3133AQP922The Oil and Gas Holding Co. 7.625% 11/7/24 $61,089 0.002% %OILG24A 67778M2C3 US67778M2C35 BFM8415Synchrony Financial 5.15% 3/19/29 $60,971 0.002% %SYF29 87165BAP8 US87165BAP85 BJQ1YC9Indonesian Republic 8.125% 5/15/24 $60,686 0.002% %INDG524 IDG000012808 BGPQZX2BX Commercial Mortgage Trust floater sequentialpayer Series 2020-BXLP Class A, 1 month U.S. LIBOR+ 0.800% 0.884% 12/15/36 $60,611 0.002% 05607QAA6 US05607QAA67Malaysian Government 4.762% 4/7/37 $60,494 0.002% %MGS37 MYBMX1700033 BYQJ0V9Ministry of Finance of the Russian Federation7.05% 1/19/28 $60,286 0.002% %RFL128 RU000A0JTK38 B98G057Retail Properties America, Inc. 4.75% 9/15/30 $60,238 0.002% %RPAI30 76131VAB9 US76131VAB99 BMB2Q77Discovery Communications LLC 4.65% 5/15/50 $60,051 0.002% %DISCA50 25470DBH1 US25470DBH17 BMDNBL7Morgan Stanley 3.622% 4/1/31 $59,754 0.002% %MSS31 6174468P7 US6174468P76 BKP3KT2Petrobras Global Finance BV 8.75% 5/23/26 $59,744 0.002% %PETBR26 71647NAQ2 US71647NAQ25 BD96MP8Emirate of Abu Dhabi 3.125% 9/30/49 $59,453 0.002% %ADGB49A 29135LAF7 US29135LAF76 BKS6G23Ares Capital Corp. 4.2% 6/10/24 $59,186 0.002% %ARCC624 04010LAX1 US04010LAX10 BKKDHD0Aeroporti di Roma SPA 1.625% 2/2/29 (Reg. S) $58,928 0.002% %ADRI29S XS2265521620 BMYDJB2Credit Suisse Group AG 3.8% 6/9/23 $58,837 0.002% %CS623 225433AT8 US225433AT80 BYVGMD1Saudi Arabian Oil Co. 1.625% 11/24/25 $58,329 0.002% %ARAM25A 80414L2H7 US80414L2H78 BLD4ZH7Morgan Stanley Capital I Trust sequential payerSeries 2019-MEAD Class A, 3.17% 11/10/36 $58,106 0.002% 61771LAA0 US61771LAA08Kingdom of Thailand 4.875% 6/22/29 $58,056 0.002% %THAI29 TH0623039607 B3YBKN2Discover Financial Services 3.95% 11/6/24 $57,997 0.002% %DFS1124 254709AK4 US254709AK45 BSHZYF6American International Group, Inc. 3.75% 7/10/25 $57,640 0.002% %AIG725 026874DD6 US026874DD67 BXSSDR4Georgia Bank Joint Stock Co. 6% 7/26/23 $57,635 0.002% %BGEO23A 47973XAA9 US47973XAA90 BD82K20FNMA 30YR 2.5% 06/01/2051#FM7507 $57,595 0.002% 3140XBKV1 US3140XBKV12Intesa Sanpaolo SpA 5.71% 1/15/26 $57,410 0.002% %ISPI26A 46115HAW7 US46115HAW79 BDFYVB5Credit Suisse Mortgage Trust floater Series2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980%1.064% 5/15/36 $57,280 0.002% 12653VAA4 US12653VAA44Goldman Sachs Group, Inc. 6.75% 10/1/37 $57,242 0.002% %GS37 38141GFD1 US38141GFD16 B283338Tinkoff Credit Systems 9.25% (Reg. S) $57,025 0.002% %AKBHS XS1631338495 BYW5YM0Qatar Petroleum 2.25% 7/12/31 $56,661 0.001% %QPET31A 74730DAC7 US74730DAC74 BP2PSC5Ally Financial, Inc. 3.05% 6/5/23 $56,439 0.001% %ALLY623 02005NBK5 US02005NBK54 BM8SHR5Regions Bank 6.45% 6/26/37 $56,302 0.001% %REBK37 75913MAA7 US75913MAA71 B1Z5FP6


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLBarbados Government 6.5% 10/1/29 $56,278 0.001% %BARB29A 067070AH5 US067070AH54 BKKL6N7Five Corners Funding Trust II 2.85% 5/15/30 $56,079 0.001% %PRU30A 33834DAA2 US33834DAA28 BMGLSX9Petroleos Mexicanos 4.875% 1/24/22 $55,861 0.001% %PEM0122 71654QBB7 US71654QBB77 B7WC8Q4AIMCO CLO Ltd. / AIMCO CLO LLC Series 2021-14AClass A, 3 month U.S. LIBOR + 0.990% 1.1879%4/20/34 $55,803 0.001% 00144GAC5 US00144GAC50Sultanate of Oman 5.625% 1/17/28 $55,753 0.001% %OMAN28A 682051AH0 US682051AH04 BFWMB49South African Republic 10.5% 12/21/26 $55,483 0.001% %SAGB26 ZAG000016320 6148788Hudson Pacific Properties LP 4.65% 4/1/29 $55,376 0.001% %HPP29 44409MAB2 US44409MAB28 BJ5RNY3Uruguay Republic 5.1% 6/18/50 $55,364 0.001% %URUGU50 760942BA9 US760942BA98 BNB7S17NiSource, Inc. 2.95% 9/1/29 $55,215 0.001% %NI29 65473PAH8 US65473PAH82 BK20BW6Ukraine Government 7.75% 9/1/22 $54,866 0.001% %UK22TMP 903724AP7 US903724AP76 BZ09DS0FNMA 30YR 2.5% 05/01/2051#FM7352 $54,505 0.001% 3140XBE22 US3140XBE222CHC Commercial Mortgage Trust floater Series2019-CHC Class A, 1 month U.S. LIBOR + 1.120%1.204% 6/15/34 $54,461 0.001% 162665AA1 US162665AA10Colombian Republic 5% 6/15/45 $54,148 0.001% %COLOM45 195325CU7 US195325CU73 BVHFBK1New Jersey Econ. Dev. Auth. State Pension Fdg.Rev. Series 1997, 7.425% 2/15/29 (Nat’l. Pub. Fin.Guarantee Corp. Insured) $53,946 0.001% 645913AA2 US645913AA22 B86K6S9Ecuador Republic 5% 7/31/30 $53,791 0.001% %ECU30A XS2214238102 BMGR2B3Synchrony Financial 3.95% 12/1/27 $53,692 0.001% %SYF27 87165BAM5 US87165BAM54 BD2BV19Delek Overriding Royalty Levia 7.494% 12/30/23(Reg. S) $53,565 0.001% %DORL23A IL0011691354 BNHNJ50Anheuser-Busch InBev Finance, Inc. 3.65% 2/1/26 $53,500 0.001% %ABIBB26 035242AP1 US035242AP13 BYMLCJ1Czech Republic 0.95% 5/15/30 (Reg. S) $53,205 0.001% %CZGB30S CZ0001004477 BYN6FX0United Mexican States 6.05% 1/11/40 $53,056 0.001% %MEX40 91086QAV0 US91086QAV05 B5VXTJ4Peruvian Republic 6.35% 8/12/28 $53,026 0.001% %PERUG28 PEP01000C5D1 BYYHJ96FHLG 30YR 2.5% 02/01/2051#SD7535 $52,958 0.001% 3132DVLQ6 US3132DVLQ67T-Mobile U.S.A., Inc. 3.875% 4/15/30 $52,941 0.001% %TMUS30 87264ABF1 US87264ABF12 BN0ZLW4Colombian Republic 10% 7/24/24 $52,935 0.001% %COLTS24 COL17CT02385 B5KRFR7DP World Crescent Ltd. 3.7495% 1/30/30 $52,909 0.001% %DPW30A 26139PAC7 US26139PAC77 BKTDQV2Rabobank Nederland 4.375% 8/4/25 $52,506 0.001% %RABOB25 21684AAC0 US21684AAC09 BYW41H1Provincia de Cordoba 5% 12/10/25 $52,459 0.001% %PDCA21A 74408DAC8 US74408DAC83 BYQLS77Barclays PLC 5.088% 6/20/30 $52,407 0.001% %BACR630 06738EBK0 US06738EBK01 BJMRXR9Emirate of Abu Dhabi 3.125% 4/16/30 $52,342 0.001% %ADGB30A 29135LAH3 US29135LAH33 BLGWDQ3Sysco Corp. 6.6% 4/1/50 $52,200 0.001% %SYY450 871829BN6 US871829BN62 BM5M5Q5Dominican Republic 4.875% 9/23/32 $52,172 0.001% %DOMR32A 25714PEF1 US25714PEF18 BNDPBP4PT Adaro Indonesia 4.25% 10/31/24 $51,975 0.001% %ADRO24A 69368KAB2 US69368KAB26 BGXFHP7


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLSociete Generale 1.488% 12/14/26 $51,553 0.001% %SOC26A 83368RAZ5 US83368RAZ55 BMFYJJ2The Williams Companies, Inc. 3.5% 11/15/30 $51,337 0.001% %WMB30 969457BX7 US969457BX79 BMF6PH8The AES Corp. 3.3% 7/15/25 $51,294 0.001% %AES725A 00130HCB9 US00130HCB96 BLFLCW0BAMLL Commercial Mortgage Securities Trustsequential payer Series 2019-BPR Class AMP, 3.287%11/5/32 $51,275 0.001% 05492PAQ1 US05492PAQ19Freddie Mac floater Series 2021-F113 Class A/S,U.S. 30-Day Avg. Secured Overnight Fin. Rate(SOFR) Indx + 0.230% 0.28% 5/25/28 $51,082 0.001% 3137H13L8 US3137H13L86Goldman Sachs Group, Inc. 2.383% 7/21/32 $51,049 0.001% %GS032 38141GYJ7 US38141GYJ74 BNW0354FHLG 30YR 2% 10/01/2051#RA6076 $51,035 0.001% 3133KMXD2 US3133KMXD28Petroleos Mexicanos 6.49% 1/23/27 $50,963 0.001% %PEME27 71654QDB5 US71654QDB59 BN2YTH0Morgan Stanley BAML Trust sequential payer Series2017-C33 Class A4, 3.337% 5/15/50 $50,942 0.001% 61767CAU2 US61767CAU27UMBS 30YR 3.5% 10/01/2051 #TBA $50,815 0.001% 01F0326A7 US01F0326A74Sabine Pass Liquefaction LLC 4.5% 5/15/30 $50,608 0.001% %SPLLL30 785592AX4 US785592AX43 BM8JPB8MC Brazil Downstream Trading SARL 7.25% 6/30/31 $50,487 0.001% %MCBR31A 55292WAA8 US55292WAA80 BNNTMV9FNMA 30YR 2% 10/01/2051#CB1801 $50,445 0.001% 3140QMAB0 US3140QMAB06NatWest Markets PLC 2.375% 5/21/23 $50,383 0.001% %RBS23A 63906YAA6 US63906YAA64 BLBCZ06Alfa Bond Issuance PLC 8% (Reg. S) $50,379 0.001% %ALFA49S XS1513741311 BD2ZK69Occidental Petroleum Corp. 7.5% 5/1/31 $50,166 0.001% %OXY31 674599DD4 US674599DD43 BKTC909Pine Street Trust II 5.568% 2/15/49 $50,070 0.001% %EQH49A 72284LAA7 US72284LAA70 BK1VHS8Citigroup, Inc. 3.875% 3/26/25 $49,932 0.001% %C325 172967JL6 US172967JL61 BWFRDT9Blackbird Capital Aircraft Series 2021-1A Class A,2.443% 7/15/46 $49,606 0.001% 09229CAA7 US09229CAA71Teachers Insurance & Annuity Association ofAmerica 4.9% 9/15/44 $49,420 0.001% %TIAG44A 878091BD8 US878091BD86 BQVC9R6Columbia Cent CLO Ltd. / Columbia Cent CLO Corp.Series 2021-30A Class A1, 3 month U.S. LIBOR +1.310% 1.4443% 1/20/34 $49,149 0.001% 19736WAC4 US19736WAC47Metinvest BV 7.75% 4/23/23 $48,936 0.001% %METI23A 591555AD9 US591555AD93 BFXXBK7Bank of America Corp. 3.5% 4/19/26 $48,634 0.001% %BA1226 06051GFX2 US06051GFX25 BYM7C88SABIC Capital II BV 4% 10/10/23 $48,326 0.001% %SABI23A 78520LAA8 US78520LAA89 BFY5JX1Dominican Republic 6.875% 1/29/26 $48,197 0.001% %DOMR26A 25714PDJ4 US25714PDJ49 BZ82Z52Freddie Mac floater Series 2021-F108 Class A/S,U.S. 30-Day Avg. Secured Overnight Fin. Rate(SOFR) Indx + 0.250% 0.3% 2/25/31 $48,155 0.001% 3137FYUP9 US3137FYUP91Lincoln National Corp. 3.4% 1/15/31 $48,099 0.001% %LNC31 534187BK4 US534187BK40 BMWRFD0UMBS 15YR 1.5% 10/01/2036 #TBA $48,059 0.001% 01F0124A1 US01F0124A11


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44

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLVentas Realty LP 3% 1/15/30 $47,832 0.001% %VTR30 92277GAU1 US92277GAU13 BKFV9M2Nostrum Oil & Gas Finance BV 8% 7/25/22 $47,787 0.001% %ZHAI22A 66978CAB8 US66978CAB81 BDC3R40FNMA 30YR 2.5% 08/01/2051#CB1384 $47,778 0.001% 3140QLRE8 US3140QLRE88Sultanate of Oman 6.75% 1/17/48 $47,723 0.001% %OMAN48A 682051AJ6 US682051AJ69 BFWV2D2Turkish Republic 6.375% 10/14/25 $47,624 0.001% %TUREY25 900123CZ1 US900123CZ18 BJJRLW3Voya CLO Ltd./Voya CLO LLC Series 2020-3A ClassA1, 3 month U.S. LIBOR + 1.300% 1.4343% 10/20/31 $47,597 0.001% 92918NAC1 US92918NAC11Indonesian Republic 4.1% 4/24/28 $47,561 0.001% %IND428 455780CF1 US455780CF11 BZ57H43Unum Group 5.75% 8/15/42 $47,558 0.001% %UNM42 91529YAJ5 US91529YAJ55 B89QQ28Embraer Netherlands Finance BV 5.05% 6/15/25 $47,539 0.001% %EMBRB25 29082HAA0 US29082HAA05 BZ0D371Petkim Petrokimya Holding A/S 5.875% 1/26/23 $47,295 0.001% %PETK23A 71638YAA4 US71638YAA47 BDT7392Barclays PLC 2.852% 5/7/26 $47,015 0.001% %BACR526 06738EBL8 US06738EBL83 BKY6M29D.R. Horton, Inc. 2.6% 10/15/25 $46,983 0.001% %DHI25 23331ABN8 US23331ABN81 BLBMX57Romanian Republic 3.65% 9/24/31 $46,797 0.001% %ROM0931 RO1631DBN055 BYVQH36Azul Investments LLP 5.875% 10/26/24 $46,776 0.001% %AZUL27A 05502FAA6 US05502FAA66 BD5ZQ80Citigroup, Inc. 3.142% 1/24/23 $46,696 0.001% %C123 172967LV1 US172967LV16 BFMTXR7Rockland Park CLO Ltd. Series 2021-1A Class A, 3month U.S. LIBOR + 1.120% 1.12% 4/20/34 $46,554 0.001% 773663AA7 US773663AA73Brazilian Federative Republic 3.875% 6/12/30 $46,549 0.001% %BRAZ630 105756CC2 US105756CC23 BMBT2V4Peruvian Republic 6.95% 8/12/31 $46,509 0.001% %PERU31 PEP01000C4G7 B6797W2The AES Corp. 3.95% 7/15/30 $46,316 0.001% %AES730A 00130HCC7 US00130HCC79 BLFLDY9Occidental Petroleum Corp. 6.6% 3/15/46 $46,288 0.001% %OXY346 674599DL6 US674599DL68 BKVKRK7Citizens Financial Group, Inc. 2.638% 9/30/32 $46,279 0.001% %CFG32 174610AW5 US174610AW56 BMB63B2Emirate of Abu Dhabi 3.875% 4/16/50 $46,261 0.001% %ADGB50A 29135LAJ9 US29135LAJ98 BLGWDR4Thunderbolt Aircraft Lease Ltd. Series 2018-AClass A, 4.147% 9/15/38 $46,179 0.001% 886065AA9 US886065AA93B2W Digital Lux SARL 4.375% 12/20/30 $46,034 0.001% %BTOW30A 05609AAA9 US05609AAA97 BLH34P1Adecoagro SA 6% 9/21/27 $45,981 0.001% %AGRO27A 00676LAA4 US00676LAA44 BZ01ZS0Bermuda Government 3.717% 1/25/27 $45,979 0.001% %BERM27 085209AD6 US085209AD62 BYM4ZL3Province of Santa Fe 7% 3/23/23 $45,745 0.001% %PRSF23A 74409AAC3 US74409AAC36 BDT7CR3Dominican Republic 9.75% 6/5/26 (Reg. S) $45,430 0.001% %DOM26S USP3579ECD78 BJ0LZH7Upstart Securitization Trust Series 2021-4 ClassA, 0.84% 9/20/31 $45,394 0.001% 91682NAA1 US91682NAA19Kazakhstan Republic 7.2% 5/27/25 $45,104 0.001% %MEUKA25 KZKD00000865 BGGJZK7Itau Unibanco Holding SA 6.125% $45,093 0.001% %ITAU99A 46556UAB0 US46556UAB08 BYX59M4Verizon Communications, Inc. 4.862% 8/21/46 $44,917 0.001% %VZ46 92343VCK8 US92343VCK89 BWC4YL2JD.com, Inc. 3.375% 1/14/30 $44,547 0.001% %JD30 47215PAE6 US47215PAE60 BL3BPR8SUEK Securities DAC 3.375% 9/15/26 $44,526 0.001% %SUEK26A 78486MAA8 US78486MAA80 BNYDNN9FNMA 30YR 2.5% 06/01/2050#CA5966 $44,451 0.001% 3140QDTY0 US3140QDTY09


500 Salem Street


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLThunderbolt III Aircraft Lease Ltd. Series 2019-1Class A, 3.671% 11/15/39 $44,321 0.001% 88607AAA7 US88607AAA79Energy Transfer LP 6% 6/15/48 $44,148 0.001% %ETP48 29278NAE3 US29278NAE31 BDFT2Z1Blackbird Capital Aircraft Series 2016-1A Class A,4.213% 12/16/41 $43,916 0.001% 09228YAB8 US09228YAB83Antofagasta PLC 2.375% 10/14/30 $43,809 0.001% %ANTO30A 03718NAA4 US03718NAA46 BMDZ1H9Bank of America Corp. 3.3% 1/11/23 $43,757 0.001% %BAC123 06051GEU9 US06051GEU94 B799RR2MHC Commercial Mortgage Trust floater sequentialpayer Series 2021-MHC Class A, 1 month U.S. LIBOR+ 0.800% 0.8847% 4/15/38 $43,745 0.001% 55316VAA2 US55316VAA26FNMA 30YR 3.5% 09/01/2048#FM2863 $43,737 0.001% 3140X6FD8 US3140X6FD85BNP Paribas SA 2.219% 6/9/26 $43,666 0.001% %BNP626A 09659W2L7 US09659W2L77 BMB1C98Peoples Republic of China 3.81% 9/14/50 $43,658 0.001% %CBG50 CND10003N750 BMC3TQ9FHLG 30YR 2.5% 05/01/2051#SD7540 $43,610 0.001% 3132DVLV5 US3132DVLV52Cigna Corp. 4.375% 10/15/28 $43,538 0.001% %CI28 125523AH3 US125523AH38 BKPHS12Toyota Motor Credit Corp. 2.9% 3/30/23 $43,476 0.001% %TOY0323 89236TGW9 US89236TGW99 BL66P36Brazilian Federative Republic 7.125% 1/20/37 $43,407 0.001% %BRZ37DT 105756BK5 US105756BK57 B0WG975AIA Group Ltd. 3.375% 4/7/30 $43,175 0.001% %AIA30A 00131LAJ4 US00131LAJ44 BM6JN50Centene Corp. 4.625% 12/15/29 $43,150 0.001% %CNC1229 15135BAT8 US15135BAT89 BMVQRX2Vedanta Resources PLC 6.375% 7/30/22 $43,110 0.001% %VEDL22A 92241TAK8 US92241TAK88 BD31JP8Natura Cosmeticos SA 4.125% 5/3/28 $43,054 0.001% %NATU28A 63883KAB1 US63883KAB17 BMF4F27Capital One Financial Corp. 3.8% 1/31/28 $43,042 0.001% %COF128 14040HBW4 US14040HBW43 BFXS0V6The Oil and Gas Holding Co. 7.5% 10/25/27 $43,002 0.001% %OILG27A 67778M2A7 US67778M2A78 BF2K808Ford Motor Credit Co. LLC 5.584% 3/18/24 $42,865 0.001% %F1824 345397ZQ9 US345397ZQ92 BJH4V60Corporacion Nacional del Cobre de Chile (Codelco)3.7% 1/30/50 $42,773 0.001% %CDEL50A 21987BBA5 US21987BBA52 BKPGX69Petrobras Global Finance BV 6.875% 1/20/40 $42,756 0.001% %PBR40 71645WAQ4 US71645WAQ42 B57YS94Capital One Financial Corp. 2.6% 5/11/23 $42,507 0.001% %COF2023 14040HCD5 US14040HCD52 BMTQ2R3Anheuser-Busch InBev Worldwide, Inc. 4.75% 4/15/58 $42,477 0.001% %ABIBB58 035240AP5 US035240AP56 BFYT245Turkish Republic 6.25% 9/26/22 $42,412 0.001% %TURY22 900123BZ2 US900123BZ27 B71BPC7Babson CLO Ltd. Series 2020-1A Class A1, 3 monthU.S. LIBOR + 1.400% 1.5261% 10/15/32 $42,375 0.001% 06762LAA6 US06762LAA61Turkish Republic 4.75% 1/26/26 $42,233 0.001% %TUKY26 900123DB3 US900123DB31 BMDJ3V9Sabra Health Care LP 3.2% 12/1/31 $42,204 0.001% %SBRA31 78574MAA1 US78574MAA18 BP0TWJ4Centene Corp. 2.45% 7/15/28 $42,204 0.001% %CNC628 15135BAY7 US15135BAY74 BLH04G3Omega Healthcare Investors, Inc. 4.75% 1/15/28 $42,182 0.001% %OHI28 681936BK5 US681936BK50 BDVPZZ4Argentine Republic 1.125% 7/9/35 $41,973 0.001% %ARGE735 040114HT0 US040114HT09 BNC1788Kingdom of Saudi Arabia 2.25% 2/2/33 $41,905 0.001% %KSAM33A 80413TAV1 US80413TAV17 BMFGVY7Petroleos Mexicanos 3.5% 1/30/23 $41,777 0.001% %PEME123 71654QBG6 US71654QBG64 BD5JSL9


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLBarclays PLC 4.375% 1/12/26 $41,634 0.001% %BACR126 06738EAN5 US06738EAN58 BD0SY79Liberty Mutual Group, Inc. 4.569% 2/1/29 $41,608 0.001% %LIBM29A 53079EBG8 US53079EBG89 BHWZ164Omega Healthcare Investors, Inc. 5.25% 1/15/26 $41,523 0.001% %OHI26 681936BH2 US681936BH22 BDG12R8Park Aerospace Holdings Ltd. 5.5% 2/15/24 $41,462 0.001% %AVOL24A 70014LAB6 US70014LAB62 BYYHBM3Emirates NBD Bank PJSC 6.125% (Reg. S) $41,410 0.001% %EBIU99S XS1964681610 BFY8SB1Synchrony Financial 4.25% 8/15/24 $41,389 0.001% %SYF824 87165BAD5 US87165BAD55 BPYKS06Morgan Stanley BAML Trust sequential payer Series2016-C28 Class A3, 3.272% 1/15/49 $41,218 0.001% 61766LBR9 US61766LBR96Tengizchevroil Finance Co. International Ltd.3.25% 8/15/30 $41,195 0.001% %TENG30A 88034QAC1 US88034QAC15 BLCBBZ9Pine Street Trust I 4.572% 2/15/29 $41,139 0.001% %EQH29A 722844AA5 US722844AA56 BJLJG99Cameroon Republic 5.95% 7/7/32 $41,054 0.001% %REPC32A XS2360598713 BMFBBF3LCPR Senior Secured Financing DAC 5.125% 7/15/29 $41,047 0.001% %LILA29A 50201DAD5 US50201DAD57 BMWLMK8United Mexican States 3.75% 1/11/28 $41,008 0.001% %MEX28 91087BAE0 US91087BAE02 BYWP538United Mexican States 3.25% 4/16/30 $40,939 0.001% %MEX430 91087BAH3 US91087BAH33 BKWHS26Freddie Mac floater Series 2021-F109 Class A/S,U.S. 30-Day Avg. Secured Overnight Fin. Rate(SOFR) Indx + 0.240% 0.29% 3/25/31 $40,841 0.001% 3137FYUT1 US3137FYUT14Ministry of Finance of the Russian Federation4.375% 3/21/29(Reg. S) $40,835 0.001% %RUS329S RU000A0ZYYN4 BD4B195Toyota Motor Credit Corp. 3% 4/1/25 $40,833 0.001% %TOYOA25 89236TGX7 US89236TGX72 BL66P14Turkish Republic 4.25% 3/13/25 $40,637 0.001% %TRKY25 900123CX6 US900123CX69 BKTVYS9Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S.LIBOR + 1.270% 1.4043% 7/20/32 $40,508 0.001% 92917RAC3 US92917RAC34Dominican Republic 5.95% 1/25/27 $40,502 0.001% %DOMR27A 25714PDT2 US25714PDT21 BD85Y27Ovintiv Exploration, Inc. 5.625% 7/1/24 $40,482 0.001% %NFX24 651290AQ1 US651290AQ17 B8HLLX1Tanger Properties LP 3.875% 7/15/27 $40,456 0.001% %SKT27 875484AK3 US875484AK30 BD97M39Banco Mercantil del Norte SA 6.875% $40,433 0.001% %BANO99A 05962GAH2 US05962GAH20 BYVX8T0Israeli State 3.375% 1/15/50 $40,427 0.001% %ISRAE50 46513JXN6 US46513JXN61 BL2FJH9Asian Infrastructure Investment Bank 2.375%2/10/25 (Reg. S) $40,421 0.001% %AII25S XS2297639465BX Commercial Mortgage Trust floater Series2021-VINO Class A, 1 month U.S. LIBOR + 0.650%0.7363% 5/15/38 $40,375 0.001% 05608KAA8 US05608KAA88BX Trust floater Series 2019-XL Class E, 1 monthU.S. LIBOR + 1.800% 1.884% 10/15/36 $40,264 0.001% 056054AH2 US056054AH24Micron Technology, Inc. 2.497% 4/24/23 $40,127 0.001% %MU23 595112BR3 US595112BR36 BMVM7D0LIFE Mortgage Trust floater Series 2021-BMR ClassA, 1 month U.S. LIBOR + 0.700% 0.784% 3/15/38 $40,127 0.001% 53218CAA8 US53218CAA80


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLSasol Financing U.S.A. LLC 4.375% 9/18/26 $40,021 0.001% %SASOL26 80386WAC9 US80386WAC91 BNDK007Ministry of Finance of the Russian Federation5.25% 6/23/47 $39,961 0.001% %RUSS47A RU000A0JXU22 BF4TXT7Ford Motor Credit Co. LLC 5.596% 1/7/22 $39,870 0.001% %F122 345397ZM8 US345397ZM88 BJ4TNB7Arab Republic of Egypt 8.5% 1/31/47 $39,858 0.001% %EGYP47A 038461AM1 US038461AM14 BDG6ZJ6VTR Comunicaciones SpA 5.125% 1/15/28 $39,772 0.001% %VTR128A 918367AA1 US918367AA16 BMB3MW7ENN Clean Energy International Investment Ltd.3.375% 5/12/26 $39,647 0.001% %VEYO26A 268733AA0 US268733AA05 BNXLXC3Madison Park Funding L Ltd. / Madison Park FundingL LLC Series 2021-50A Class A, 3 month U.S. LIBOR+ 1.140% 1.3358% 4/19/34 $39,615 0.001% 55821FAA5 US55821FAA57Brandywine Operating Partnership LP 4.55% 10/1/29 $39,544 0.001% %BDN29 105340AP8 US105340AP80 BGGG8Y3Air Lease Corp. 4.25% 2/1/24 $39,484 0.001% %AL224 00914AAA0 US00914AAA07 BHXD2B9Air Lease Corp. 3.375% 7/1/25 $39,467 0.001% %AL25 00914AAH5 US00914AAH59 BL57W28UMBS 30YR 3% 10/01/2051 #TBA $39,428 0.001% 01F0306A1 US01F0306A11Brazil Government Bill 1/1/24 $39,410 0.001% BRSTNCLTN7S1 BL1GQH2Gran Colombia Gold Corp. 6.875% 8/9/26 $39,361 0.001% %GCMC26A 38501DAR6 US38501DAR61 BMCH1T8AerCap Ireland Capital Ltd./AerCap Global AviationTrust 4.875% 1/16/24 $39,298 0.001% %AER24 00774MAK1 US00774MAK18 BJ791D2FNMA 30YR 4% 11/01/2049#CA4628 $39,123 0.001% 3140QCEA0 US3140QCEA05Alibaba Group Holding Ltd. 2.125% 2/9/31 $39,116 0.001% %BABA31 01609WAX0 US01609WAX02 BNKTZD5InterContinental Hotel Group PLC 3.75% 8/14/25(Reg. S) $39,062 0.001% %IHGL25S XS1275957121 BZ56PF7The AES Corp. 1.375% 1/15/26 $39,037 0.001% %AES126 00130HCE3 US00130HCE36 BL55SH9Liquid Telecommunications Financing PLC 5.5%9/4/26 $38,991 0.001% %LIQT26A 536333AB3 US536333AB32 BNRKDB5Anheuser-Busch InBev Worldwide, Inc. 5.45% 1/23/39 $38,971 0.001% %ABIB139 03523TBU1 US03523TBU16 BJ52177Qatar Petroleum 3.3% 7/12/51 $38,930 0.001% %QPET51A 74730DAD5 US74730DAD57 BP2Q0C2FNMA 30YR 3.5% 06/01/2049#FM4216 $38,917 0.001% 3140X7VJ5 US3140X7VJ54Ares XLI CLO Ltd. / Ares XLI CLO LLC Series2021-41A Class AR2, 3 month U.S. LIBOR + 1.070%1.1961% 4/15/34 $38,857 0.001% 04016DAS4 US04016DAS45BX Trust floater, sequential payer Series 2019-IMCClass A, 1 month U.S. LIBOR + 1.000% 1.084%4/15/34 $38,779 0.001% 05608BAA8 US05608BAA89NAK Naftogaz Ukraine 7.375% 7/19/22 (Reg. S) $38,742 0.001% %NAFT22S XS2027393938 BJJZMG8Republic of Kenya 7% 5/22/27 $38,683 0.001% %KENI27A 491798AJ3 US491798AJ30 BK5XNB5Jordanian Kingdom 4.95% 7/7/25 $38,667 0.001% %JORD25A 418097AK7 US418097AK79 BMHKZ78JBS U.S.A. Food Co. 5.75% 1/15/28 $38,655 0.001% %JBSS27A 46650CAB5 US46650CAB54 BJMSSJ9


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNII II 3% 11/20/2050#MA6996 $38,619 0.001% 36179VXZ8 US36179VXZ83NBM U.S. Holdings, Inc. 6.625% 8/6/29 $38,499 0.001% %MRFGB29 62877VAB7 US62877VAB71 BK971X1Romanian Republic 3% 2/14/31 $38,492 0.001% %ROMA31A 77586RAH3 US77586RAH30 BMW0XS0AerCap Ireland Capital Ltd./AerCap Global AviationTrust 2.875% 8/14/24 $38,489 0.001% %AER824 00774MAM7 US00774MAM73 BK20BV5NagaCorp Ltd. 7.95% 7/6/24 (Reg. S) $38,462 0.001% %NAGL24S XS2197693265 BMG6PP5BX Trust floater sequential payer Series 2021-SOARClass A, 0.754% 6/15/38 $38,277 0.001% 05608WAA2 US05608WAA27Republic of Kenya 6.875% 6/24/24 $38,244 0.001% %KENI24A 491798AE4 US491798AE43 BNG7Y70Freddie Mac floater Series 2021-F110 Class A/S,U.S. 30-Day Avg. Secured Overnight Fin. Rate(SOFR) Indx + 0.240% 0.29% 3/25/31 $38,235 0.001% 3137FYZC3 US3137FYZC34Brixmor Operating Partnership LP 4.125% 6/15/26 $38,222 0.001% %BRX26 11120VAC7 US11120VAC72 BD203J8Eaton Vance CLO, Ltd. Series 2020-2A Class A1, 3month U.S. LIBOR + 1.370% 1.4961% 10/15/32 $38,161 0.001% 27829PAA4 US27829PAA49Republic of Benin 4.875% 1/19/32 $38,148 0.001% %BENI32A XS2278994681 BMT9HR7FNMA 30YR 2% 10/01/2051#CB1799 $38,139 0.001% 3140QL7M2 US3140QL7M23U.S. Treasury Bonds 3% 5/15/47 $38,075 0.001% 912810RX8 US912810RX81 BF0T9Z9CAS Capital No 1 Ltd. 4% (Reg. S) $38,071 0.001% %CAC99S XS2277590209 BN91Z32Turkish Republic 12.4% 3/8/28 $38,027 0.001% %TURKG28 TRT080328T15 BZ2YS99Ukraine Government 7.253% 3/15/33 $38,012 0.001% %UKRA33A 903724BY7 US903724BY74 BMQ6696EnfraGen Energia Sur SA 5.375% 12/30/30 $38,002 0.001% %ENFG30A 29280LAA1 US29280LAA17 BN47HT5SBA Tower Trust Series 2019, 2.836% 1/15/50 $37,985 0.001% 78403DAN0 US78403DAN03 BJYPQ61VLS Commercial Mortgage Trust sequential payerSeries 2020-LAB Class A, 2.13% 10/10/42 $37,977 0.001% 92858TAA4 US92858TAA43Affiliated Managers Group, Inc. 3.5% 8/1/25 $37,971 0.001% %AMG825 008252AN8 US008252AN84 BVXC612Upstart Securitization Trust Series 2021-2 ClassA, 0.91% 6/20/31 $37,961 0.001% 91680FAA0 US91680FAA03CEMEX S.A.B. de CV 5.125% $37,958 0.001% %CEME99A 151290CA9 US151290CA97 BMJ1JS8Usiminas International SARL 5.875% 7/18/26 $37,952 0.001% %USIM26A 91734JAA8 US91734JAA88 BK77D48FNMA 30YR 2.5% 05/01/2051#FM7401 $37,949 0.001% 3140XBGK0 US3140XBGK03Oleoducto Central SA 4% 7/14/27 $37,943 0.001% %OCEN27A 680617AC1 US680617AC18 BN4CG48WP Carey, Inc. 4% 2/1/25 $37,856 0.001% %WPC25 92936UAC3 US92936UAC36 BVL8SC7Occidental Petroleum Corp. 5.55% 3/15/26 $37,717 0.001% %OXY326 674599DC6 US674599DC69 BK8VN94Retail Properties America, Inc. 4% 3/15/25 $37,663 0.001% %RPAI25 76131VAA1 US76131VAA17 BXVMCZ4JBS U.S.A. Food Co. 7% 1/15/26 $37,605 0.001% %JBSS26A 46650CAA7 US46650CAA71 BGL1L44Milos CLO, Ltd. Series 2020-1A Class AR, 3 monthU.S. LIBOR + 1.070% 1.2043% 10/20/30 $37,601 0.001% 60162PAE2 US60162PAE25GE Capital Funding LLC 4.4% 5/15/30 $37,569 0.001% %GE0530 36166NAJ2 US36166NAJ28 BMBV5J9


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLCharter Communications Operating LLC/CharterCommunications Operating Capital Corp. 4.464%7/23/22 $37,518 0.001% %CHR22 161175BB9 US161175BB96 BDFF420FHLG 30YR 2% 06/01/2050#RA2677 $37,483 0.001% 3133KH6N1 US3133KH6N11The Walt Disney Co. 3.8% 5/13/60 $37,463 0.001% %DIS60 254687GA8 US254687GA88 BMDWGW0Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3month U.S. LIBOR + 0.990% 1.1161% 4/15/29 $37,451 0.001% 11014PAJ4 US11014PAJ49GENM Capital Labuan Ltd. 3.882% 4/19/31 $37,285 0.001% %GENM31A 37231BAA6 US37231BAA61 BM8F5K5GEMS MENASA Cayman Ltd. 7.125% 7/31/26 $37,167 0.001% %GMSD26A 36166LAA5 US36166LAA52 BK9DL84WF-RBS Commercial Mortgage Trust sequential payerSeries 2014-C24 Class A4, 3.343% 11/15/47 $37,159 0.001% 92939KAD0 US92939KAD00Barings CLO Ltd. Series 2021-4A Class A, 3 monthU.S. LIBOR + 1.220% 1.3543% 1/20/32 $37,096 0.001% 06762BAC4 US06762BAC46AIMCO CLO Ltd. Series 2021-12A Class A, 3 monthU.S. LIBOR + 1.210% 1.3439% 1/17/32 $37,053 0.001% 00140LAB0 US00140LAB09Energean Israel Finance Ltd. 4.875% 3/30/26 (Reg.S) $37,042 0.001% %ENGA26S IL0011736654 BLH2QQ3Galaxy Pipeline Assets BidCo Ltd. 2.625% 3/31/36 $36,972 0.001% %ADGL36A 36321PAB6 US36321PAB67 BNC1DV3Omega Healthcare Investors, Inc. 3.625% 10/1/29 $36,802 0.001% %OHI29 681936BL3 US681936BL34 BKXCFB8Columbia Cent CLO 31 Ltd. Series 2021-31A ClassA1, 3 month U.S. LIBOR + 1.200% 1.3343% 4/20/34 $36,791 0.001% 19737LAC7 US19737LAC72El Salvador Republic 7.75% 1/24/23 $36,768 0.001% %ELSA23 283875AK8 US283875AK83 2044017Kingdom of Saudi Arabia 2.9% 10/22/25 $36,723 0.001% %KS1025A 80413TAS8 US80413TAS87 BMF0514Turkish Republic 7.25% 12/23/23 $36,661 0.001% %TUR1223 900123CR9 US900123CR91 BGK3KK0The Walt Disney Co. 3.6% 1/13/51 $36,622 0.001% %DIS51 254687FZ4 US254687FZ49 BMDHPZ1FNMA 30YR 4.5% 05/01/2048#BJ2763 $36,601 0.001% 3140H4B94 US3140H4B940Brazilian Federative Republic 10% 1/1/31 $36,599 0.001% %BNTNF31 BRSTNCNTF204 BK6FNL0T-Mobile U.S.A., Inc. 3.75% 4/15/27 $36,492 0.001% %TMU427 87264ABD6 US87264ABD63 BN79ZV6Ivory Coast 5.875% 10/17/31 $36,205 0.001% %IVYC31A XS2064786838 BHR40G9Gabonese Republic 6.375% 12/12/24 $36,082 0.001% %GAB24A 362420AB7 US362420AB78 BH58VZ9Emirate of Abu Dhabi 1.7% 3/2/31 $36,031 0.001% %ADGB31A 29135LAM2 US29135LAM28 BN15FQ5State of Qatar 4% 3/14/29 $36,002 0.001% %QATA29A 74727PBA8 US74727PBA84 BH3W937Flatiron CLO Ltd. / Flatiron CLO LLC Series2020-1A Class A, 3 month U.S. LIBOR + 1.300%1.4309% 11/20/33 $35,978 0.001% 33883MAA2 US33883MAA27FNMA 30YR 3.5% 04/01/2050#CA5555 $35,954 0.001% 3140QDE59 US3140QDE594Korean Republic 1% 9/16/30 $35,919 0.001% %KRA30 50064FAS3 US50064FAS39 BM96RQ7Prosus NV 4.027% 8/3/50 $35,904 0.001% %PRXN50A 74365PAD0 US74365PAD06 BN2Y9J2Peachtree Corners Funding Trust 3.976% 2/15/25 $35,900 0.001% %VOYA25A 70466WAA7 US70466WAA71 BWC0GQ9


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLRegency Centers LP 3.7% 6/15/30 $35,788 0.001% %REG30 75884RBA0 US75884RBA05 BM8RKP1Ukraine Government 11.15% 8/26/22 $35,774 0.001% %UKRG822 UA4000219778Flatiron CLO Ltd. Series 2019-1A Class A, 3 monthU.S. LIBOR + 1.320% 1.4448% 11/16/32 $35,751 0.001% 33883JAB7 US33883JAB70Termocandelaria Power Ltd. 7.875% 1/30/29 $35,749 0.001% %TERM29A 880879AA9 US880879AA92 BJP13G7Hess Corp. 7.875% 10/1/29 $35,687 0.001% %AHC29 023551AF1 US023551AF16 2517638MDC GMTN BV 2.875% 11/7/29 $35,645 0.001% %MUBA29A 55276VAJ1 US55276VAJ17 BJ0LR04The Williams Companies, Inc. 3.7% 1/15/23 $35,606 0.001% %WMB23 969457BU3 US969457BU31 B956HF9Cable Onda SA 4.5% 1/30/30 $35,431 0.001% %CONA30A 12686LAA7 US12686LAA70 BKFVX31Colombian Republic 3.25% 4/22/32 $35,420 0.001% %COLOM32 195325DZ5 US195325DZ51 BN7N9J4Ares CLO Ltd. Series 2020-58A Class A, 3 monthU.S. LIBOR + 1.220% 1.3461% 1/15/33 $35,396 0.001% 04018AAC3 US04018AAC36Brandywine Operating Partnership LP 3.95% 2/15/23 $35,386 0.001% %BDN23 105340AM5 US105340AM59 B95BD01Banco Do Brasil SA 6.25% $35,314 0.001% %BANR49A 05958AAK4 US05958AAK43 B946460The Coca-Cola Co. 3.375% 3/25/27 $35,237 0.001% %KO2027 191216CR9 US191216CR95 BLTZ808FNMA 15YR 2.5% 08/01/2035#FM4035 $35,199 0.001% 3140X7PV5 US3140X7PV56BETHP Series 2021-1A Class A, 3 month U.S. LIBOR +1.130% 1.13% 1/15/35 $35,165 0.001% 087598AA6 US087598AA60Castlelake Aircraft Securitization Trust Series2019-1A Class A, 3.967% 4/15/39 $35,039 0.001% 14855MAA6 US14855MAA62Brixmor Operating Partnership LP 4.125% 5/15/29 $35,004 0.001% %BRX029 11120VAH6 US11120VAH69 BJCX1Y0T.C. Ziraat Bankasi A/S 5.125% 5/3/22 $34,994 0.001% %TCZI22A 90015JAA0 US90015JAA07 BF0YBL4Cent CLO Ltd. / Cent CLO Series 2020-29A ClassA1N, 3 month U.S. LIBOR + 1.700% 1.8343% 7/20/31 $34,960 0.001% 197363AA2 US197363AA29Republic of Paraguay 4.95% 4/28/31 $34,867 0.001% %PARG31A 699149AJ9 US699149AJ91 BLF0C94DB Master Finance LLC Series 2017-1A Class A2II,4.03% 11/20/47 $34,835 0.001% 233046AF8 US233046AF89 BFBM5P9Synchrony Financial 4.375% 3/19/24 $34,830 0.001% %SYF24 87165BAN3 US87165BAN38 BJQ1Y74CF Hippolyta Issuer LLC sequential payer Series2020-1 Class A2, 1.99% 7/15/60 $34,766 0.001% 12530MAB1 US12530MAB19Energy Transfer LP 5% 5/15/50 $34,757 0.001% %ETP50 29278NAR4 US29278NAR44 BL3BQC0Turkish Republic 4.875% 4/16/43 $34,717 0.001% %TURKE43 900123CB4 US900123CB40 B8T2WV7GNII II 2.5% 04/20/2051#MA7312 $34,575 0.001% 36179WDR6 US36179WDR60Turkish Republic 5.75% 5/11/47 $34,529 0.001% %TURKE47 900123CM0 US900123CM05 BD3N0C8Ares LV CLO Ltd. Series 2021-55A Class A1R, 3month U.S. LIBOR + 1.130% 1.2561% 7/15/34 $34,427 0.001% 04018BAL1 US04018BAL18Morgan Stanley 3.125% 7/27/26 $34,402 0.001% %MS726 61761J3R8 US61761J3R84 BYV6G28Indonesian Republic 5.95% 1/8/46 $34,279 0.001% %INDO46A 455780BW5 US455780BW52 BYV6156Indonesia Asahan Aluminium Tbk PT 5.45% 5/15/30 $34,240 0.001% %IDASAL 74445PAF9 US74445PAF99 BMDWYX7


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLCredit Suisse Group AG 3.75% 3/26/25 $34,113 0.001% %CS25 225433AC5 US225433AC55 BYYCFP9Bank of America Corp. 4.2% 8/26/24 $34,092 0.001% %BAC0824 06051GFH7 US06051GFH74 BQ8NSJ7Ivory Coast 6.375% 3/3/28 $34,035 0.001% %IVY28A 221625AM8 US221625AM84 BW1YMJ7Sultanate of Oman 6% 8/1/29 $33,979 0.001% %OMAN29A 68205LAB9 US68205LAB99 BK77CY1Leviathan Bond Ltd. 6.125% 6/30/25 (Reg. S) $33,964 0.001% %LVIA25S IL0011677742 BMF1186GeoPark Ltd. 6.5% 9/21/24 $33,920 0.001% %GEOP24A 37255BAA7 US37255BAA70 BF0GV54BAMLL Commercial Mortgage Securities Trust floatersequential payer Series 2020-JGDN Class A, 1 monthU.S. LIBOR + 2.750% 2.834% 11/15/30 $33,912 0.001% 05493DAA2 US05493DAA28Ministry of Finance of the Russian Federation4.25% 6/23/27(Reg. S) $33,877 0.001% %RUSS27S RU000A0JXTS9 BF4TVM6Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series2021-29A Class A, 3 month U.S. LIBOR + 0.990%1.1161% 1/15/34 $33,851 0.001% 55955KAA2 US55955KAA25FHLG 30YR 3% 06/01/2050#SD7518 $33,836 0.001% 3132DVK79 US3132DVK796CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR+ 1.050% 1.1843% 4/20/34 $33,833 0.001% 15032DAR2 US15032DAR26Freddie Mac floater Series 2021-F111 Class A/S,U.S. 30-Day Avg. Secured Overnight Fin. Rate(SOFR) Indx + 0.240% 0.29% 3/25/31 $33,815 0.001% 3137H0H27 US3137H0H270Oracle Corp. 2.8% 4/1/27 $33,733 0.001% %ORCL427 68389XBU8 US68389XBU81 BM5J9Z3FHLG 30YR 3% 04/01/2050#RA2457 $33,689 0.001% 3133KHWS1 US3133KHWS11Discover Financial Services 4.5% 1/30/26 $33,568 0.001% %DFS126 254709AP3 US254709AP32 BHWF829Arab Republic of Egypt 7.6003% 3/1/29 $33,541 0.001% %EGYPT29 03846JW71 US03846JW719 BHL9394Investment Energy Resources Ltd. 6.25% 4/26/29 $33,492 0.001% %CMIE29A 46143NAB6 US46143NAB64 BMD06S0Kazakhstan Republic 8.05% 5/20/24 $33,488 0.001% %MEUKA24 KZKD00000105 BGGJZG3Oracle Corp. 2.95% 4/1/30 $33,421 0.001% %ORL2030 68389XBV6 US68389XBV64 BM5JB13Oracle Corp. 2.5% 4/1/25 $33,311 0.001% %ORCL425 68389XBT1 US68389XBT19 BM5JB35Brandywine Operating Partnership LP 4.1% 10/1/24 $33,264 0.001% %BDN1024 105340AN3 US105340AN33 BYZZ5W4Ghana Republic 7.75% 4/7/29 $33,155 0.001% %GHAN29A 37443GAL5 US37443GAL59 BMTRDT5HSBC Holdings PLC 2.099% 6/4/26 $33,133 0.001% %HSBC626 404280CG2 US404280CG21 BMXNKB0Oracle Corp. 3.6% 4/1/40 $33,018 0.001% %ORCLL40 68389XBW4 US68389XBW48 BM5M628Moroccan Kingdom 2.375% 12/15/27 $32,946 0.001% %MORO27A 617726AK0 US617726AK00 BMQBRQ5Bank of America Corp. 4.183% 11/25/27 $32,889 0.001% %BAC1127 06051GGC7 US06051GGC78 BZ013F3Qatar Petroleum 1.375% 9/12/26 $32,825 0.001% %QPET26A 74730DAB9 US74730DAB91 BP2PSF8Republic of Nigeria 6.125% 9/28/28 $32,802 0.001% %NGER28A 65412JAR4 US65412JAR41 BP6QPT0Magnetite XXI Ltd. Series 2021-21A Class AR, 3month U.S. LIBOR + 1.020% 1.1543% 4/20/34 $32,688 0.001% 55954PAN4 US55954PAN42Citigroup, Inc. 3.352% 4/24/25 $32,643 0.001% %C425 172967MF5 US172967MF56 BJ9MV40


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLBarclays PLC 7.125% $32,615 0.001% %BARCP99 XS1998799792 BJF8Q70Bank of America Corp. 3.419% 12/20/28 $32,593 0.001% %BAC228 06051GHD4 US06051GHD43 BF50RK8Goldman Sachs Group, Inc. 4.25% 10/21/25 $32,591 0.001% %GS2025 38141GVR2 US38141GVR28 BYNMJP8AutoZone, Inc. 4% 4/15/30 $32,540 0.001% %AZO30 053332AZ5 US053332AZ56 BK8TZ58Freddie Mac floater Series 2021-F104 Class A/S,U.S. 30-Day Avg. Secured Overnight Fin. Rate(SOFR) Indx + 0.250% 0.3% 1/25/31 $32,533 0.001% 3137FXZA9 US3137FXZA94Lenovo Group Ltd. 3.421% 11/2/30 $32,464 0.001% %LENO30A 526250AB1 US526250AB16 BNKD946Oracle Corp. 3.85% 4/1/60 $32,420 0.001% %ORCL60 68389XBY0 US68389XBY04 BM5M639FHLG 30YR 2.5% 07/01/2051#RA5574 $32,360 0.001% 3133KMFP5 US3133KMFP59Citgo Holding, Inc. 9.25% 8/1/24 $32,241 0.001% %CITH24A 17302WAB4 US17302WAB46 BK6YKJ4Ares CLO Series 2019-54A Class A, 3 month U.S.LIBOR + 1.320% 1.4461% 10/15/32 $32,128 0.001% 04017WAC6 US04017WAC64Petroleos Mexicanos 4.5% 1/23/26 $32,121 0.001% %PEMX126 71654QBW1 US71654QBW15 BZ8TPF3FHLG 30YR 3.5% 05/01/2046#G60553 $32,078 0.001% 31335ATJ7 US31335ATJ78Colombian Republic 3.125% 4/15/31 $32,075 0.001% %COLOM31 195325DS1 US195325DS19 BM8HHM7Turkish Republic 11% 2/24/27 $32,060 0.001% %TURKG27 TRT240227T17 BD6K3M7Meituan 2.125% 10/28/25 $31,959 0.001% %MTDP25A 58533EAB9 US58533EAB92 BMYVTD8Discover Bank 4.682% 8/9/28 $31,955 0.001% %DFS28 25466AAN1 US25466AAN19 BGB5RZ9AASET Trust Series 2019-2 Class A, 3.376% 10/16/39 $31,939 0.001% 00038RAA4 US00038RAA41Brixmor Operating Partnership LP 4.05% 7/1/30 $31,928 0.001% %BRX30 11120VAJ2 US11120VAJ26 BMC8VY6Oracle Corp. 3.6% 4/1/50 $31,877 0.001% %ORCL50 68389XBX2 US68389XBX21 BM5JB02Turkish Republic 5.125% 2/17/28 $31,763 0.001% %TURKE28 900123CP3 US900123CP36 BFWJ979UBS Group AG 1.494% 8/10/27 $31,703 0.001% %UBS27A 902613AH1 US902613AH15 BMWVNK5Turk Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 $31,547 0.001% %SISE26A 90016AAB6 US90016AAB61 BHNF691YPF SA 8.5% 3/23/25 $31,453 0.001% %YPFR25A 984245AT7 US984245AT72 BMYGH62United Mexican States 2.659% 5/24/31 $31,220 0.001% %MEX231 91087BAM2 US91087BAM28 BN8ZSV4Dell International LLC/EMC Corp. 5.45% 6/15/23 $31,158 0.001% %DELL623 24703TAA4 US24703TAA43 BL982D8Guara Norte SARL 5.198% 6/15/34 $31,111 0.001% %GUAN34A 400666AA1 US400666AA13 BLH1VW1Dryden Senior Loan Fund Series 2020-85A Class A1,3 month U.S. LIBOR + 1.350% 1.4761% 10/15/32 $31,052 0.001% 26246BAA2 US26246BAA26Telefonica Celular del Paraguay SA 5.875% 4/15/27 $31,047 0.001% %TCDP27A 87936VAB3 US87936VAB36 BJ5RY17Moody’s Corp. 3.75% 3/24/25 $30,913 0.001% %MCO25 615369AS4 US615369AS40 BMF34F0Avolon Holdings Funding Ltd. 5.25% 5/15/24 $30,843 0.001% %AVO24A 05401AAD3 US05401AAD37 BJLBBR8CBRE Group, Inc. 2.5% 4/1/31 $30,717 0.001% %CBG31 12505BAE0 US12505BAE02 BLF7SZ3HTA Group Ltd. 7% 12/18/25 $30,635 0.001% %HTWS25A 40435WAB6 US40435WAB63 BMTCWL5Georgia Republic 2.75% 4/22/26 $30,616 0.001% %GEOR26A 37311PAB6 US37311PAB67 BMD6893VimpelCom Holdings BV 7.25% 4/26/23 $30,553 0.001% %VIP423A 36251BAB1 US36251BAB18 BZ00DS3The AES Corp. 2.45% 1/15/31 $30,551 0.001% %AES31 00130HCG8 US00130HCG83 BP6T4P8


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLState of Qatar 9.75% 6/15/30 $30,521 0.001% %QTR30 74727PAE1 US74727PAE16 4066172Illinois Gen. Oblig. Series 2003, 5.1% 6/1/33 $30,497 0.001% 452151LF8 US452151LF83Enterprise Fleet Financing LLC Series 2021-1 ClassA2, 0.44% 12/21/26 $30,478 0.001% 29374EAB2 US29374EAB20Qtel International Finance Ltd. 3.25% 2/21/23 $30,369 0.001% %QTEL23A 74735K2A9 US74735K2A99 B94W435Unum Group 4% 6/15/29 $30,261 0.001% %UNM29 91529YAN6 US91529YAN67 BKDY1V6Time Warner Cable LLC 7.3% 7/1/38 $30,227 0.001% %TWC38 88732JAN8 US88732JAN81 B3B14R7Indonesian Republic 6.75% 1/15/44 $30,227 0.001% %INDO44A 455780BR6 US455780BR67 BJ04CH5Gazprom PJSC Via Gaz Finance PLC 4.5985% $30,213 0.001% %GAZP99A XS2243624470 BMDCHJ4Illinois Gen. Oblig. Series 2010-3, 7.35% 7/1/35 $30,153 0.001% 452152GS4 US452152GS43Castlelake Aircraft Structured Trust Series 2018-1Class A, 4.125% 6/15/43 $30,116 0.001% 14856CAA7 US14856CAA71Hess Corp. 4.3% 4/1/27 $30,021 0.001% %HES27 42809HAG2 US42809HAG20 BD7XTG1Petrobras Global Finance BV 6.75% 6/3/50 $30,001 0.001% %PETBR50 71647NBG3 US71647NBG34 BMX3612Broadcom, Inc. 3.75% 2/15/51 $29,983 0.001% %AVGO51A 11135FBG5 US11135FBG54 BMCGST4Goldman Sachs Group, Inc. 3.691% 6/5/28 $29,979 0.001% %GS0628 38141GWL4 US38141GWL49 BF6Q761Cigna Corp. 4.9% 12/15/48 $29,965 0.001% %CI48 125523AK6 US125523AK66 BKPHS34NBK Tier 1 Financing 2 Ltd. 4.5% $29,903 0.001% %NTBA99A 62878WAA6 US62878WAA62 BKTNPW6Avolon Holdings Funding Ltd. 4.375% 5/1/26 $29,832 0.001% %AVOL26A 05401AAG6 US05401AAG67 BJV0CQ1Celtic Resources Holdings DAC 4.125% 10/9/24 $29,787 0.001% %NORD24A 15119CAA7 US15119CAA71 BKKFS77CIM Retail Portfolio Trust floater Series2021-RETL Class A, 1 month U.S. LIBOR + 1.400%1.484% 8/15/36 $29,704 0.001% 12566BAA4 US12566BAA44Colombian Republic 3% 1/30/30 $29,696 0.001% %COLOM30 195325DR3 US195325DR36 BKLWBB2Marsh & McLennan Companies, Inc. 4.375% 3/15/29 $29,648 0.001% %MMC29 571748BG6 US571748BG65 BJ2NYK7Lanark Master Issuer PLC Series 2020-1A Class 1A,2.277% 12/22/69 $29,614 0.001% 513770BE6 US513770BE60 BKX9W18FHLG 30YR 3% 04/01/2050#RA2400 $29,565 0.001% 3133KHUZ7 US3133KHUZ71CVS Health Corp. 3.875% 7/20/25 $29,538 0.001% %CVS25 126650CL2 US126650CL25 BYPFB82Sapphire Aviation Finance Series 2020-1A Class A,3.228% 3/15/40 $29,489 0.001% 80307AAA7 US80307AAA79Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLCSeries 2021-26A Class AR, 3 month U.S. LIBOR +1.080% 1.2143% 4/20/33 $29,482 0.001% 87190GAC5 US87190GAC50Bank of America Corp. 4.25% 10/22/26 $29,472 0.001% %BAC1026 06051GFL8 US06051GFL86 BRS6105Qtel International Finance Ltd. 2.625% 4/8/31 $29,455 0.001% %QTEL31A 74735KAA0 US74735KAA07 BL652H6CBRE Group, Inc. 4.875% 3/1/26 $29,432 0.001% %CBG26 12505BAD2 US12505BAD29 BZ4V360Intesa Sanpaolo SpA 5.017% 6/26/24 $29,405 0.001% %ISP24A 46115HAT4 US46115HAT41 BNH5752Project Silver Series 2019-1 Class A, 3.967%


500 Salem Street


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOL7/15/44 $29,263 0.001% 827304AA4 US827304AA49 BGMG267GNII II 3% 07/50#MA6766 $29,217 0.001% 36179VQT0 US36179VQT07DP World Crescent Ltd. 3.875% 7/18/29 (Reg. S) $29,184 0.001% %DPWD29S XS2026710553 BKFH1X5Kingdom of Saudi Arabia 4.5% 10/26/46 $29,162 0.001% %KSA46A 80413TAC3 US80413TAC36 BYQ6M92Petroleos Mexicanos 6.95% 1/28/60 $29,151 0.001% %PEMEX60 71654QDF6 US71654QDF63 BMZB959Dryden Senior Loan Fund Series 2021-85A Class AR,3 month U.S. LIBOR + 1.150% 1.15% 10/15/35 $29,146 0.001% 26246BAL8 US26246BAL80Viatris, Inc. 2.7% 6/22/30 $29,126 0.001% %UPJOH0A 91533BAD2 US91533BAD29 BL57WV7Massachusetts Mutual Life Insurance Co. 3.729%10/15/70 $29,061 0.001% %MASSM 575767AN8 US575767AN80 BGPZ056Ecuador Republic 1% 7/31/35 $28,777 0.001% %ECU735A XS2214238524 BMGR2F7German Federal Republic 2.5% 7/4/44 $28,764 0.001% %DBR0744 DE0001135481 B7X7Y93Cigna Corp. 4.8% 8/15/38 $28,708 0.001% %CI38 125523AJ9 US125523AJ93 BKPHS23BX Trust floater Series 2019-XL Class D, 1 monthU.S. LIBOR + 1.450% 1.534% 10/15/36 $28,656 0.001% 056054AG4 US056054AG41Volkswagen Group of America Finance LLC 3.125%5/12/23 $28,527 0.001% %VW523A 928668BD3 US928668BD33 BMV76B6Brandywine Operating Partnership LP 3.95% 11/15/27 $28,492 0.001% %BDN27 105340AQ6 US105340AQ63 BGGG8Z4Cascade Funding Mortgage Trust Series 2021-HB6Class A, 0.8983% 6/25/36 $28,436 0.001% 12527LAA0 US12527LAA08Omega Healthcare Investors, Inc. 3.25% 4/15/33 $28,428 0.001% %OHI33 681936BN9 US681936BN99 BMD1XR1The Williams Companies, Inc. 4.3% 3/4/24 $28,377 0.001% %WPZ24 96950FAM6 US96950FAM68 BK74GJ5Sable International Finance Ltd. 5.75% 9/7/27 $28,311 0.001% %CWCLN27 785712AG5 US785712AG56 BK0MXM8Cedar Funding Ltd. Series 2021-10A Class AR, 3month U.S. LIBOR + 1.100% 1.1% 10/20/32 $28,256 0.001% 15033XAJ5 US15033XAJ54GS Mortgage Securities Trust floater Series2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.15%10/15/36 $28,227 0.001% 36262MAA6 US36262MAA62Metalsa SA de CV 3.75% 5/4/31 $28,153 0.001% %METL31A 59132VAB4 US59132VAB45 BN2WDB6Planet Fitness Master Issuer LLC Series 2019-1AClass A2, 3.858% 12/5/49 $28,045 0.001% 72703PAC7 US72703PAC77BX Commercial Mortgage Trust floater sequentialpayer Series 2020-FOX Class A, 1 month U.S. LIBOR+ 1.000% 1.084% 11/15/32 $27,993 0.001% 12433AAA7 US12433AAA79Tupy Overseas SA 4.5% 2/16/31 $27,979 0.001% %TUPY31A 89990BAB6 US89990BAB62 BKPSM24Energy Transfer LP 4.95% 6/15/28 $27,973 0.001% %ETP28 29278NAF0 US29278NAF06 BDD88Q3Time Warner Cable LLC 4.5% 9/15/42 $27,961 0.001% %TWC942 88732JBD9 US88732JBD90 B8N2417Petroleos Mexicanos 3 month U.S. LIBOR + 3.650%3.7641% 3/11/22 $27,940 0.001% 71654QCF7 US71654QCF72 BF2LHD7


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGhana Republic 10.75% 10/14/30 $27,883 0.001% %GHAN30A 374422AD5 US374422AD53 BYX44L5Millicom International Cellular SA 4.5% 4/27/31 $27,839 0.001% %TIGO31A 600814AR8 US600814AR85 BMF75D7Alexandria Real Estate Equities, Inc. 4.9%12/15/30 $27,837 0.001% %ARE1230 015271AU3 US015271AU38 BMF8DN6Boston Properties, Inc. 4.5% 12/1/28 $27,821 0.001% %BXP28 10112RBA1 US10112RBA14 BGKYSR6Rwanda Republic 5.5% 8/9/31 $27,804 0.001% %RWAN31A 78347YAL7 US78347YAL74 BMW5MW2NatWest Group PLC 3.073% 5/22/28 $27,746 0.001% %RBS28 780097BP5 US780097BP50 BMGLSV7Charter Communications Operating LLC/CharterCommunications Operating Capital Corp. 4.908%7/23/25 $27,661 0.001% %CHTR25 161175AY0 US161175AY09 BZ06JV6JSW Steel Ltd. 3.95% 4/5/27 $27,589 0.001% %JSTL27A 46635UAC3 US46635UAC36 BK80SG3Bank of America Corp. 3.95% 4/21/25 $27,386 0.001% %BAC0425 06051GFP9 US06051GFP90 BWX8CH5General Electric Co. 4.35% 5/1/50 $27,357 0.001% %GE50 369604BY8 US369604BY81 BLB4M56Cedar Funding Ltd. Series 2019-10A Class A, 3month U.S. LIBOR + 1.340% 1.4743% 10/20/32 $27,295 0.001% 15033XAA4 US15033XAA46Allegro CLO, Ltd. Series 2021-1A Class A, 3 monthU.S. LIBOR + 1.140% 1.2907% 7/20/34 $27,264 0.001% 01750WAC3 US01750WAC38Baidu, Inc. 1.72% 4/9/26 $27,199 0.001% %BIDU26 056752AS7 US056752AS75 BNG1LQ0Bermuda Government 4.75% 2/15/29 $27,183 0.001% %BERM29A 085209AF1 US085209AF11 BGRCBM9Hasbro, Inc. 3% 11/19/24 $27,113 0.001% %HAS24 418056AX5 US418056AX57 BL3LYQ0Indonesian Republic 5.25% 1/17/42 $27,080 0.001% %INDO42A 455780BJ4 US455780BJ42 B7H0NW4Nationstar HECM Loan Trust Series 2020-1A ClassA1, 1.2686% 9/25/30 $27,013 0.001% 63862XAA0 US63862XAA00SA Global Sukuk Ltd. 1.602% 6/17/26 $26,994 0.001% %ARAM26A 78397PAB7 US78397PAB76 BNHV1L4VimpelCom Holdings BV 3.375% 11/25/27 $26,920 0.001% %VIP27A 91823N2A0 US91823N2A05 BLH34R3FHLG 30YR 4% 04/46#G60551 $26,919 0.001% 31335ATG3 US31335ATG30GNII II 4% 03/20/2049#MA5817 $26,911 0.001% 36179UPA4 US36179UPA42Wells Fargo Commercial Mortgage Trust sequentialpayer Series 2016-LC24 Class A3, 2.684% 10/15/49 $26,821 0.001% 95000HBE1 US95000HBE18Wells Fargo & Co. 2.406% 10/30/25 $26,798 0.001% %WCF25 95000U2H5 US95000U2H53 BKRKNB4GNII II 4% 04/20/2047#MA4383 $26,722 0.001% 36179S2Q9 US36179S2Q92AIMCO CLO Ltd. Series 2020-11A Class A1, 3 monthU.S. LIBOR + 1.380% 1.5061% 10/15/31 $26,674 0.001% 00140NAA8 US00140NAA81Centene Corp. 4.25% 12/15/27 $26,666 0.001% %CNC27 15135BAR2 US15135BAR24 BMCTMH9Peoples Republic of China 1.2% 10/21/30 $26,599 0.001% %CHIN30A 16955EAC4 US16955EAC49 BMTMJW5AerCap Ireland Capital Ltd./AerCap Global AviationTrust 4.125% 7/3/23 $26,565 0.001% %AER23 00774MAF2 US00774MAF23 BF2XNZ7State of Qatar 5.103% 4/23/48 $26,519 0.001% %QATA48A 74727PAY7 US74727PAY79 BDRV8P7MPLX LP 5.5% 2/15/49 $26,481 0.001% %MPLX49 55336VAT7 US55336VAT70 BH4Q9M7


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLCascade Funding Mortgage Trust Series 2021-HB5Class A, 0.8006% 2/25/31 $26,426 0.001% 12526PAA2 US12526PAA21Bayer AG 3.75% 7/1/74 (Reg. S) $26,288 0.001% %BAYN74S DE000A11QR73 BNLPXY9GNMA II 3.5% 04/20/43#783976 $26,178 0.001% 3622A2MZ2 US3622A2MZ22New Residential Mortgage Loan Trust Series 2019-5AClass A1B, 3.5% 8/25/59 $26,127 0.001% 64830MAG8 US64830MAG87Dominican Republic 6% 7/19/28 $26,091 0.001% %DOMR28A 25714PDZ8 US25714PDZ80 BF4P3P1Saudi Arabian Oil Co. 4.375% 4/16/49 $26,067 0.001% %ARAM49A 80414L2F1 US80414L2F13 BK0L4L1Republic of Nigeria 6.375% 7/12/23 $26,014 0.001% %NGER23A 65412ACD2 US65412ACD28 BC5ZG94Dryden Senior Loan Fund Series 2020-78A Class A, 3month U.S. LIBOR + 1.180% 1.3139% 4/17/33 $25,960 0.001% 26253LAA0 US26253LAA08FHLG 30YR 3.5% 09/01/2046#G61420 $25,934 0.001% 31335BSH0 US31335BSH05U.S. Treasury Notes 2.625% 2/15/29 $25,922 0.001% 9128286B1 US9128286B18 BJ7G9F1Occidental Petroleum Corp. 6.45% 9/15/36 $25,916 0.001% %OXY936 674599DF9 US674599DF90 BK8VN61Wells Fargo Commercial Mortgage Trust floaterSeries 2021-FCMT Class A, 1 month U.S. LIBOR +1.200% 1.284% 5/15/31 $25,874 0.001% 95003EAA4 US95003EAA47Uruguay Republic 8.5% 3/15/28 (Reg. S) $25,862 0.001% %UR1528S USP80557BV53 BDH4834Cimpor Financial Operations BV 5.75% 7/17/24 $25,790 0.001% %CIMP24A 17186LAA1 US17186LAA17 BP4RGM5PepsiCo, Inc. 2.75% 3/19/30 $25,722 0.001% %PEP30 713448ES3 US713448ES36 BLRBSW0Indonesian Republic 4.35% 1/11/48 $25,692 0.001% %INDON48 455780CE4 US455780CE46 BF133W5Ministry of Finance of the Russian Federation5.25% 6/23/47(Reg. S) $25,689 0.001% %RUSS47S RU000A0JXU14 BD57MZ5Belarus Republic 6.875% 2/28/23 $25,673 0.001% %BELR23A 07737JAB9 US07737JAB98 BYVS680Pacific LifeCorp 5.125% 1/30/43 $25,438 0.001% %PAC43A 694476AD4 US694476AD42 B8KL7G3UBS Group AG 4.125% 9/24/25 $25,329 0.001% %UBS25A 90351DAB3 US90351DAB38 BYTX397Mongolia Government 5.125% 4/7/26 $25,269 0.001% %MNGL26A 60937LAC9 US60937LAC90 BMCFZG7Indonesian Republic 7.5% 4/15/40 $25,078 0.001% %INDOG40 IDG000014101 BK71WR6Angola Republic 8.25% 5/9/28 $25,049 0.001% %ANGO28A 035198AB6 US035198AB62 BFY6P69Westpac Banking Corp. 4.11% 7/24/34 $24,972 0.001% %WST34 961214EF6 US961214EF61 BKBQ7Z0Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3month U.S. LIBOR + 1.000% 1.1343% 1/20/29 $24,958 0.001% 873549AJ8 US873549AJ80Duquesne Light Holdings, Inc. 2.775% 1/7/32 $24,903 0.001% %DQE32A 266233AJ4 US266233AJ47 BKVBJR1Credit Suisse Mortgage Trust Series 2018-SITEClass A, 4.284% 4/15/36 $24,899 0.001% 12690CAA1 US12690CAA18Arab Republic of Egypt 7.903% 2/21/48 $24,835 0.001% %EGYP48A 03846JW55 US03846JW552 BF0V3R5Leviathan Bond Ltd. 5.75% 6/30/23 (Reg. S) $24,821 0.001% %LVIA23S IL0011677668 BMF1197Flatiron CLO Ltd. Series 2021-1A Class A1, 3 monthU.S. LIBOR + 1.110% 1.2613% 7/19/34 $24,781 0.001% 33883PAC1 US33883PAC14


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGuatemalan Republic 5.375% 4/24/32 $24,733 0.001% %GUAT32A 401494AS8 US401494AS84 BMWWJK0Madison Park Funding XLV Ltd./Madison Park FundingXLV LLC Series 2021-45A Class AR, 3 month U.S.LIBOR + 1.120% 1.2461% 7/15/34 $24,726 0.001% 55820BAJ6 US55820BAJ61UBS Commercial Mortgage Trust Series 2012-C1 ClassA/S, 4.171% 5/10/45 $24,725 0.001% 90269GAE1 US90269GAE17Turkish Republic 4.875% 10/9/26 $24,723 0.001% %TURKY26 900123CK4 US900123CK49 BDCRD11JPMorgan Chase & Co. 2.956% 5/13/31 $24,722 0.001% %JPM0531 46647PBP0 US46647PBP09 BMV5T55Philippine Republic 6.25% 1/14/36 $24,690 0.001% %PHIL136 718286BM8 US718286BM88 B3LJ4G0Dominican Republic 7.45% 4/30/44 $24,577 0.001% %DOMR44A 25714PCF3 US25714PCF36 BLZGSS3Prosus NV 3.68% 1/21/30 $24,575 0.001% %PRXN30A 74365PAA6 US74365PAA66 BL0CJK5United Mexican States 4.5% 4/22/29 $24,527 0.001% %MEX429 91087BAF7 US91087BAF76 BH4KQ39Petroleos Mexicanos 5.375% 3/13/22 $24,500 0.001% %PEMX322 71654QCE0 US71654QCE08 BFYPLW4Alexandria Real Estate Equities, Inc. 2% 5/18/32 $24,498 0.001% %ARE32 015271AW9 US015271AW93 BLH1NS1Lowe’s Companies, Inc. 4.5% 4/15/30 $24,495 0.001% %LOW430 548661DU8 US548661DU82 BMH1W14Corporate Office Properties LP 5% 7/1/25 $24,321 0.001% %OFC725 22003BAK2 US22003BAK26 BZBX057FHLG 30YR 3.5% 08/01/2047#Q50031 $24,277 0.001% 3132XSA91 US3132XSA916Sasol Financing U.S.A. LLC 5.875% 3/27/24 $24,253 0.001% %SASOL24 80386WAA3 US80386WAA36 BG8F4P1Republic of Paraguay 5.4% 3/30/50 $24,194 0.001% %PARG50A 699149AH3 US699149AH36 BJDQ2F6MHP SA 7.75% 5/10/24 $24,113 0.001% %MHPS24A 55302TAD7 US55302TAD72 BD45XD5FHLG 30YR 4% 06/01/2047#Q48754 $24,070 0.001% 3132WNWQ1 US3132WNWQ12Kingdom of Saudi Arabia 4% 4/17/25 $24,059 0.001% %KSA25A 80413TAG4 US80413TAG40 BF3RKY6Ovintiv, Inc. 8.125% 9/15/30 $23,879 0.001% %ECACN30 012873AH8 US012873AH83 2687519Sun Communities Operating LP 2.7% 7/15/31 $23,820 0.001% %SUI31 866677AE7 US866677AE75 BMDRCH2Medco Platinum Road Pte Ltd. 6.75% 1/30/25 $23,789 0.001% %MEDC25A 58406HAA8 US58406HAA86 BG063F5Indonesian Republic 3.85% 10/15/30 $23,758 0.001% %INDON30 455780CS3 US455780CS32 BKPQKH9Air Lease Corp. 4.25% 9/15/24 $23,709 0.001% %AL924 00912XAN4 US00912XAN49 BQY7DD2Republic of Uzbekistan 3.9% 10/19/31 $23,676 0.001% %UZBE31A 91822Q2E6 US91822Q2E63 BNNTCN1Unum Group 3.875% 11/5/25 $23,664 0.001% %UNM25 91529YAL0 US91529YAL02 BYZKLT8United Mexican States 7.75% 11/23/34 $23,640 0.001% %MBONO34 MX0MGO0000U2 BLT1SS4The Third Pakistan International Sukuk Co. Ltd.5.5% 10/13/21 $23,633 0.001% %PKST21A 88429JAA4 US88429JAA43 BD6CCN7BX Commercial Mortgage Trust floater Series2020-BXLP Class D, 1 month U.S. LIBOR + 1.250%1.334% 12/15/36 $23,607 0.001% 05607QAR9 US05607QAR92FNMA 30YR 3% 07/46#AS7533 $23,561 0.001% 3138WHLP5 US3138WHLP59Tanger Properties LP 2.75% 9/1/31 $23,500 0.001% %SKT31 875484AL1 US875484AL13 BKP4QW0Turkish Republic 16.2% 6/14/23 $23,480 0.001% %TURGB23 TRT140623T19 BG106F7Centene Corp. 3.375% 2/15/30 $23,470 0.001% %CNC30 15135BAV3 US15135BAV36 BMVX1F3


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLBanco Mercantil del Norte SA 6.75% $23,423 0.001% %BNRT99S 05971PAA6 US05971PAA66 BK5VM56Indika Energy Capital IV Pte Ltd. 8.25% 10/22/25 $23,388 0.001% %INDY25A 45569GAA0 US45569GAA04 BN2CZQ5Societe Generale 4.25% 4/14/25 $23,346 0.001% %SOCG25A 83367TBJ7 US83367TBJ79 BVYP870Babson CLO Ltd. Series 2021-1A Class AR, 3 monthU.S. LIBOR + 1.150% 0% 10/15/36 $23,274 0.001% 06762LAM0 US06762LAM00MTN (Mauritius) Investments Ltd. 6.5% 10/13/26 $23,233 0.001% %MTNS26A 55377XAB2 US55377XAB29 BD6C6D5BAMLL Commercial Mortgage Securities Trustsequential payer Series 2019-BPR Class ANM, 3.112%11/5/32 $23,203 0.001% 05492PAA6 US05492PAA66Teachers Insurance & Annuity Association ofAmerica 3.3% 5/15/50 $23,093 0.001% %TIAA50A 878091BG1 US878091BG18 BMQ57B2Voya CLO Ltd./Voya CLO LLC Series 2021-2A ClassA1R, 3 month U.S. LIBOR + 1.160% 1.2491% 7/19/34 $23,065 0.001% 92918HAF7 US92918HAF73Viatris, Inc. 4% 6/22/50 $23,037 0.001% %UPJO50A 91533BAF7 US91533BAF76 BL57WY0Teva Pharmaceutical Finance Netherlands III BV2.8% 7/21/23 $23,036 0.001% %TEVA23 88167AAD3 US88167AAD37 BD9F761Peruvian Republic 3.3% 3/11/41 $23,030 0.001% %PERU41 715638DS8 US715638DS81 BMV3391Merit floater Series 2021-STOR Class A, 1 monthU.S. LIBOR + 0.700% 0.784% 7/15/38 $23,016 0.001% 55293BAB1 US55293BAB18Fresnillo PLC 4.25% 10/2/50 $23,007 0.001% %FRES50A 358070AB6 US358070AB61 BMCM2L2Voya CLO, Ltd. Series 2021-1A Class AR, 3 monthU.S. LIBOR + 1.150% 1.2605% 7/16/34 $22,991 0.001% 92918EAL1 US92918EAL11Bharti Airtel International BV 5.35% 5/20/24 $22,989 0.001% %BHRT24S 08861JAB5 US08861JAB52 BMN90L8Ivory Coast 6.125% 6/15/33 $22,916 0.001% %IVYC33A XS1632632037 BYW6508Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 $22,847 0.001% 10554PAA1 US10554PAA12TMK Capital SA 4.3% 2/12/27 (Reg. S) $22,831 0.001% %TRUB27S XS2116222451 BKKJMD3Kazakhstan Republic 10.5% 8/4/26 $22,825 0.001% %MEOKA26 KZK200000679Boston Properties, Inc. 3.25% 1/30/31 $22,822 0.001% %BXP31 10112RBD5 US10112RBD52 BM9KMK8FNMA 30YR 3% 11/01/2049#CA4536 $22,815 0.001% 3140QCBE5 US3140QCBE53Sinopec Group Overseas Development Ltd. 1.45%1/8/26 $22,664 0.001% %SIN126A 82939GAR9 US82939GAR92 BMDT386Wynn Macau Ltd. 5.5% 1/15/26 $22,654 0.001% %WYNC26A 98313RAG1 US98313RAG11 BMGKST2Arab Republic of Egypt 5.8% 9/30/27 $22,641 0.001% %EGYT27A 03846JAD2 US03846JAD28 BMXJTQ6KazMunaiGaz National Co. 3.5% 4/14/33 $22,612 0.001% %KZOK33A 48126PAA0 US48126PAA03 BKSB0T3C&W Senior Financing Designated Activity Co.6.875% 9/15/27 $22,605 0.001% %CWCL27A 12674TAA4 US12674TAA43 BF5Q223Tanger Properties LP 3.125% 9/1/26 $22,532 0.001% %SKT926 875484AJ6 US875484AJ66 BDCCRQ9Morgan Stanley 3.7% 10/23/24 $22,462 0.001% %MS1024 61761JVL0 US61761JVL06 BRSG3G5Wells Fargo Commercial Mortgage Trust sequential


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLpayer Series 2015-C26 Class A4, 3.166% 2/15/48 $22,400 0.001% 94989CAX9 US94989CAX92The Boeing Co. 5.93% 5/1/60 $22,394 0.001% %BA60 097023CX1 US097023CX16 BL0CVM1VTR Finance BV 6.375% 7/15/28 $22,169 0.001% %VTRC28A 918374AA7 US918374AA74 BMFQ8Z7Plains All American Pipeline LP/PAA Finance Corp.3.8% 9/15/30 $22,120 0.001% %PAA30 72650RBN1 US72650RBN17 BMC8W21Central American Bottling Corp. 5.75% 1/31/27 $22,047 0.001% %CAME27A 15238XAB5 US15238XAB55 BYQFPH8FHLG 20YR 3.5% 02/34#G30703 $21,989 0.001% 3132J4AD1 US3132J4AD13Leidos, Inc. 2.95% 5/15/23 $21,927 0.001% %LDOS23 52532XAB1 US52532XAB10 BMB63M3FHLG 30YR 3% 02/01/2050#SD0265 $21,876 0.001% 3132DMJJ5 US3132DMJJ53Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3month U.S. LIBOR + 1.320% 1.4461% 1/15/34 $21,803 0.001% 87167NAC9 US87167NAC92Hungarian Republic 3% 10/27/38 $21,796 0.001% %HGB1038 HU0000403555 BFM4532Kingdom of Saudi Arabia 4.625% 10/4/47 $21,770 0.001% %KSA47A 80413TAF6 US80413TAF66 BD0TRN9The Coca-Cola Co. 3.45% 3/25/30 $21,747 0.001% %KO30 191216CT5 US191216CT51 BLTZ7Y5Kingdom of Saudi Arabia 3.625% 3/4/28 $21,715 0.001% %KSA28A 80413TAE9 US80413TAE91 BD0TQP4Argentine Republic 2% 1/9/38 $21,693 0.001% %ARGNT38 040114HU7 US040114HU71 BNC1841Republic of Nigeria 7.143% 2/23/30 $21,674 0.001% %NGER30A 65412JAD5 US65412JAD54 BF5G825Ally Financial, Inc. 8% 11/1/31 $21,656 0.001% %GMAC31 36186CBY8 US36186CBY84 B3LVPV8Turkish Republic 6.125% 10/24/28 $21,655 0.001% %TUR1028 900123CQ1 US900123CQ19 BFZYKC3AerCap Ireland Capital Ltd./AerCap Global AviationTrust 4.45% 4/3/26 $21,653 0.001% %AER26 00774MAL9 US00774MAL90 BK15Z86Dominican Republic 6.85% 1/27/45 $21,575 0.001% %DOMR45A 25714PCW6 US25714PCW68 BVGCM00Finance of America HECM Buyout Series 2021-HB1Class A, 0.8754% 2/25/31 $21,552 0.001% 31735RAA5 US31735RAA59Promigas SA ESP/Gases del Pacifico SAC 3.75%10/16/29 $21,550 0.001% %PROM29A 74348DAA5 US74348DAA54 BK8JBY9Extended Stay America Trust floater Series2021-ESH Class A, 1 month U.S. LIBOR + 1.080%1.164% 7/15/38 $21,545 0.001% 30227FAA8 US30227FAA84 BP7L958MCE Finance Ltd. 4.875% 6/6/25 $21,472 0.001% %MPEL25A 58547DAA7 US58547DAA72 BYZQ5Q1Provincia de Cordoba 5% 6/1/27 $21,464 0.001% %PDCA24A 74408DAD6 US74408DAD66 BDT5G75DP World Salaam 6% (Reg. S) $21,444 0.001% %DPWDS XS2158697255 BMFQ8R9SITE Centers Corp. 4.25% 2/1/26 $21,399 0.001% %DDR26 23317HAE2 US23317HAE27 BYZR2V8The Boeing Co. 5.805% 5/1/50 $21,385 0.001% %BA550 097023CW3 US097023CW33 BL0CVF4Goldman Sachs Group, Inc. 3.75% 2/25/26 $21,347 0.001% %GS226 38143U8H7 US38143U8H71 BYYLHX8Magnetite XXIII, Ltd. Series 2019-23A Class A, 3month U.S. LIBOR + 1.300% 1.4253% 10/25/32 $21,146 0.001% 55954NAA7 US55954NAA72FNMA 30YR 3.5% 06/01/2049#CA3726 $21,082 0.001% 3140QBD88 US3140QBD889Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO


500 Salem Street


60

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLLLC Series 2020-12A Class A, 3 month U.S. LIBOR +1.270% 1.3953% 10/25/32 $21,077 0.001% 15033TAB1 US15033TAB17Prima Capital Ltd. floater sequential payer Series2021-9A Class A, 1 month U.S. LIBOR + 1.450%1.5374% 12/15/37 $21,024 0.001% 74167CAA5 US74167CAA53FNMA 30YR 3.5% 08/01/2050#FM7147 $20,997 0.001% 3140XA5H1 US3140XA5H13GNII II 3.50% 10/42 #MA0462 $20,970 0.001% 36179MQP8 US36179MQP85VM Holding SA 6.5% 1/18/28 $20,896 0.001% %NEXA28A 65290DAA1 US65290DAA19 BMY72P9Cleco Corporate Holdings LLC 3.375% 9/15/29 $20,889 0.001% %CNL29 18551PAE9 US18551PAE97 BMY5R14Republic of Benin 5.75% 3/26/26 $20,883 0.001% %BENIN26 XS1963477556 BJ1F0P1Elanco Animal Health, Inc. 5.272% 8/28/23 $20,879 0.001% %ELAAN23 28414HAE3 US28414HAE36 BK6NCQ2Petroleos Mexicanos 8.625% 2/1/22 $20,826 0.001% %PMX22 706451AG6 US706451AG65 2487162Puget Energy, Inc. 4.1% 6/15/30 $20,820 0.001% %PSD30 745310AK8 US745310AK84 BN7GF17OCP SA 3.75% 6/23/31 $20,775 0.001% %OCPM31A 67091TAD7 US67091TAD72 BKP8PT2FHLG 30YR 3% 11/01/2049#SD7509 $20,757 0.001% 3132DVKW4 US3132DVKW45Discovery Communications LLC 3.625% 5/15/30 $20,750 0.001% %DISCA30 25470DBJ7 US25470DBJ72 BMDHQ36FHLG 20YR 3.5% 06/01/2032#C91456 $20,611 0.001% 3128P7TM5 US3128P7TM54Ministry of Finance of the Russian Federation5.625% 4/4/42 $20,586 0.001% %RUS42A 78307ADE0 US78307ADE01 B7JQSD6Wells Fargo Commercial Mortgage Trust Series2018-C48 Class A5, 4.302% 1/15/52 $20,562 0.001% 95001RAX7 US95001RAX70 BHSRF28WP Carey, Inc. 4.6% 4/1/24 $20,511 0.001% %WPC24 92936UAA7 US92936UAA79 BLMPGK1FNMA 30YR 2.5% 07/01/2050#FM3742 $20,486 0.001% 3140X7EQ8 US3140X7EQ80General Motors Financial Co., Inc. 4% 1/15/25 $20,409 0.001% %GM0125 37045XAS5 US37045XAS53 BV9CMF2DCP Midstream Operating LP 5.6% 4/1/44 $20,406 0.001% %DPM44 23311VAF4 US23311VAF40 BKR3FX9BX Trust floater Series 2019-IMC Class B, 1 monthU.S. LIBOR + 1.300% 1.384% 4/15/34 $20,404 0.001% 05608BAG5 US05608BAG59The Bidvest Group UK PLC 3.625% 9/23/26 $20,321 0.001% %BVTS26A 88332EAA1 US88332EAA10 BMCQD44FNMA 20YR 2.5% 04/01/2037#BM1257 $20,299 0.001% 3140J5MF3 US3140J5MF35BX Trust floater Series 2019-XL Class C, 1 monthU.S. LIBOR + 1.250% 1.334% 10/15/36 $20,225 0.001% 056054AF6 US056054AF67Petroleos Mexicanos 2.5% 11/24/22 (Reg. S) $20,187 0.001% %PEMX22S XS1824425349 BD5KYM5Meituan 3.05% 10/28/30 $20,130 0.001% %MTDP30A 58533EAC7 US58533EAC75 BMYVTT4Republic of Serbia 2.125% 12/1/30 $20,095 0.001% %SERB30A 817477AF9 US817477AF95 BMH2SF3BFLD Trust floater sequential payer Series2020-OBRK Class A, 1 month U.S. LIBOR + 2.050%2.134% 11/15/28 $20,009 0.001% 05553JAA6 US05553JAA60Petroleos Mexicanos 6.875% 10/16/25 $19,971 0.001% %PEM25A 71654QDG4 US71654QDG47 BMXWN30General Electric Co. 3.625% 5/1/30 $19,947 0.001% %GE530 369604BW2 US369604BW26 BLD2043


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61

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLAIA Group Ltd. 3.2% 9/16/40 $19,935 0.001% %AIA40A 00131LAK1 US00131LAK17 BKP3TT5GS Mortgage Securities Trust Series 2012-GCJ9Class A/S, 3.124% 11/10/45 $19,814 0.001% 36192PAT3 US36192PAT30AASET Trust Series 2019-1 Class A, 3.844% 5/15/39 $19,728 0.001% 00256DAA0 US00256DAA00Adani Electricity Mumbai Ltd. 3.867% 7/22/31 $19,691 0.001% %ADAN31A 00654GAB9 US00654GAB95 BP38WB0DB Master Finance LLC Series 2017-1A Class A2I,3.629% 11/20/47 $19,656 0.001% 233046AE1 US233046AE15 BYPFPY6The Dow Chemical Co. 4.55% 11/30/25 $19,636 0.001% %DOW125 260543CN1 US260543CN13 BH3TTV6Centene Corp. 2.625% 8/1/31 $19,586 0.001% %CNC731 15135BAZ4 US15135BAZ40 BL6LYW3AT&T, Inc. 4.3% 2/15/30 $19,506 0.001% %AT30 00206RGQ9 US00206RGQ92 BG6F4D1Symphony CLO XXV Ltd. / Symphony CLO XXV LLCSeries 2021-25A Class A, 3 month U.S. LIBOR +0.980% 1.1653% 4/19/34 $19,468 0.001% 87167WAC9 US87167WAC91GNMA II 3% 02/20/2050#BS8922 $19,361 0.001% 3617MK4F3 US3617MK4F31Anheuser-Busch InBev Worldwide, Inc. 4.5% 6/1/50 $19,352 0.001% %ABIBB50 035240AT7 US035240AT78 BM8MLZ3FNMA 30YR 3% 02/01/2050#CA5122 $19,347 0.001% 3140QCVQ6 US3140QCVQ63FNMA 30YR 2% 08/01/2051#FM8469 $19,299 0.001% 3140XCMT2 US3140XCMT21FEL Energy VI SARL 5.75% 12/1/40 $19,218 0.001% %TIEM40A 30260LAA3 US30260LAA35 BMC6NN3DCP Midstream Operating LP 3.875% 3/15/23 $19,206 0.001% %DPM323 23311VAD9 US23311VAD91 B92XBZ1BX Trust floater Series 2020-BXLP Class E, 1 monthU.S. LIBOR + 1.600% 1.684% 12/15/36 $19,194 0.001% 05607QAU2 US05607QAU22Republic of Iraq 5.8% 1/15/28 (Reg. S) $19,172 0.001% %IRAQ28 XS0240295575 B0WLS73Turkish Republic 6.35% 8/10/24 $19,165 0.001% %TURK824 900123CV0 US900123CV04 BJGR193Charter Communications Operating LLC/CharterCommunications Operating Capital Corp. 5.75%4/1/48 $19,148 0.001% %CHTR48 161175BN3 US161175BN35 BFY3BX9Aon PLC 4% 11/27/23 $19,146 0.001% %AON23 00185AAD6 US00185AAD63 BGR6PN0Panamanian Republic 2.252% 9/29/32 $19,120 0.001% %PANA32 698299BN3 US698299BN37 BM9F098Omega Healthcare Investors, Inc. 3.375% 2/1/31 $19,109 0.001% %OHI31 681936BM1 US681936BM17 BMXWN07FNMA 30YR 3% 12/01/2049#CA4860 $19,064 0.001% 3140QCMJ2 US3140QCMJ22FNMA 30YR 3.5% 01/01/2047#AL9776 $19,020 0.001% 3138ER2J8 US3138ER2J87Comcast Corp. 4.65% 7/15/42 $19,007 0.001% %CMCSA42 20030NBE0 US20030NBE04 B7TGGL0Ukraine Government 7.375% 9/25/32 $19,003 0.000% %UKRA32A 903724BM3 US903724BM37 BF226N3Time Warner Cable LLC 6.75% 6/15/39 $18,949 0.000% %TWC639 88732JAU2 US88732JAU25 B62X8Y8BX Commercial Mortgage Trust floater Series2020-BXLP Class B, 1 month U.S. LIBOR + 1.000%1.084% 12/15/36 $18,943 0.000% 05607QAK4 US05607QAK40Tencent Holdings Ltd. 2.39% 6/3/30 $18,829 0.000% %TNCT30A 88032WAU0 US88032WAU09 BMXB5C0State Oil Co. of Azerbaijan Republic 6.95% 3/18/30


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOL(Reg. S) $18,775 0.000% %SOI330S XS1196496688 BWC9V05Horizon Aircraft Finance Ltd. Series 2019-1 ClassA, 3.721% 7/15/39 $18,729 0.000% 44040HAA0 US44040HAA05Sasol Financing International PLC 4.5% 11/14/22 $18,700 0.000% %SAS22 803865AA2 US803865AA25 B8T2WZ1GNII II 2.5% 07/20/2051#MA7472 $18,680 0.000% 36179WJR0 US36179WJR07Turkish Republic 5.75% 3/22/24 $18,658 0.000% %TRK24 900123CF5 US900123CF53 BJ7WCZ0GNII II 3% 05/51#MA7368 $18,610 0.000% 36179WFH6 US36179WFH60New Residential Mortgage Loan Trust Series 2020-1AClass A1B, 3.5% 10/25/59 $18,594 0.000% 64830TAD0 US64830TAD00JPMorgan Chase Commercial Mortgage SecuritiesTrust floater Series 2019-BKWD Class A, 1 monthU.S. LIBOR + 1.000% 1.084% 9/15/29 $18,584 0.000% 46591JAA4 US46591JAA43Corporacion Nacional del Cobre de Chile (Codelco)3.15% 1/14/30 $18,568 0.000% %CDEL30A 21987BBB3 US21987BBB36 BKBH162JPMorgan Chase Commercial Mortgage SecuritiesTrust Series 2012-C8 Class A/S, 3.4239% 10/15/45 $18,514 0.000% 46638UAH9 US46638UAH95Extended Stay America Trust floater Series2021-ESH Class D, 1 month U.S. LIBOR + 2.250%2.334% 7/15/38 $18,468 0.000% 30227FAJ9 US30227FAJ93Enbridge, Inc. 4% 10/1/23 $18,467 0.000% %ENB1023 29250NAF2 US29250NAF24 BF6DWS9Venezuelan Republic 9.25% 9/15/27 $18,233 0.000% %VENE27E 922646AS3 US922646AS37 5331062FHLG 15YR 3.5% 11/01/2033#G16677 $18,108 0.000% 3128MFUA4 US3128MFUA44MPLX LP 4.875% 12/1/24 $18,060 0.000% %MPLX24 55336VAG5 US55336VAG59 BDCG2P5Lucali CLO Ltd. Series 2021-1A Class A, 3 monthU.S. LIBOR + 1.210% 1.3361% 1/15/33 $18,041 0.000% 54929JAC7 US54929JAC71Argentine Republic 1% 7/9/29 $18,014 0.000% %ARGE729 040114HX1 US040114HX11 BNC18N0Qtel International Finance Ltd. 5% 10/19/25 $17,936 0.000% %QTEL25A 74733LAE2 US74733LAE20 B4TV841Banco Mercantil del Norte SA 7.625% $17,775 0.000% %BANOA 05962GAJ8 US05962GAJ85 BYVX878Teva Pharmaceutical Finance Co. BV 2.95% 12/18/22 $17,723 0.000% %TEVA22 88165FAG7 US88165FAG72 B8FZD73Morgan Stanley Capital I Trust Series 2018-H4Class A4, 4.31% 12/15/51 $17,693 0.000% 61691RAE6 US61691RAE62Network i2i Ltd. 5.65% $17,685 0.000% %BHARA 64132NAA4 US64132NAA46 BHPH833Utah Acquisition Sub, Inc. 3.95% 6/15/26 $17,680 0.000% %MYLN26 62854AAN4 US62854AAN46 BYMX833Omega Healthcare Investors, Inc. 4.5% 1/15/25 $17,597 0.000% %OHI125 681936BD1 US681936BD18 BYV6W08Allegany Park CLO, Ltd. / Allegany Series 2020-1AClass A, 3 month U.S. LIBOR + 1.330% 1.4643%1/20/33 $17,555 0.000% 017154AA3 US017154AA30Madison Park Funding XXXIII Ltd. Series 2019-33AClass A, 3 month U.S. LIBOR + 1.330% 1.4561%


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOL10/15/32 $17,514 0.000% 55819JAA1 US55819JAA16Barclays PLC 5.2% 5/12/26 $17,514 0.000% %BAC526 06738EAP0 US06738EAP07 BD8ZS14Turkish Republic 5.125% 6/22/26 $17,478 0.000% %TURK26A 421790AG1 US421790AG12 BM9C9W5Ajax Mortgage Loan Trust sequential payer Series2021-E Class A1, 1.74% 12/25/60 $17,469 0.000% 009740AA9 US009740AA95Equate Petrochemical BV 2.625% 4/28/28 $17,431 0.000% %EQPT28A 29441WAD7 US29441WAD74 BM9CPN8Orbia Advance Corp. S.A.B. de CV 1.875% 5/11/26 $17,413 0.000% %ORBI26A 68560EAA6 US68560EAA64 BN2WDF0Voya Financial, Inc. 3.125% 7/15/24 $17,384 0.000% %VOYA24 929089AD2 US929089AD25 BYXKMR5AerCap Ireland Capital Ltd./AerCap Global AviationTrust 3.3% 1/23/23 $17,372 0.000% %AER123 00774MAD7 US00774MAD74 BFNJ967Freddie Mac floater Series 2021-F121 Class A/S,U.S. 30-Day Avg. Secured Overnight Fin. Rate(SOFR) Indx + 0.180% 0.23% 8/25/28 $17,326 0.000% 3137H2NK6 US3137H2NK63Leidos, Inc. 3.625% 5/15/25 $17,268 0.000% %LDOS25 52532XAD7 US52532XAD75 BLD3GV5FNMA 15YR 3% 09/01/2032#BM5110 $17,158 0.000% 3140J9VC2 US3140J9VC25Dominican Republic 5.875% 1/30/60 $17,149 0.000% %DOMP60A 25714PEE4 US25714PEE43 BK94CJ5FNMA 30YR 2% 10/01/2050#CA7323 $17,127 0.000% 3140QFD55 US3140QFD559Aeropuerto Internacional de Tocumen SA 4% 8/11/41 $17,118 0.000% %AITO41A 00787CAD4 US00787CAD48 BP2PKV8DCP Midstream Operating LP 6.45% 11/3/36 $17,116 0.000% %DUK1136 26439XAH6 US26439XAH61 B1GC716Kingdom of Saudi Arabia 3.75% 1/21/55 $17,106 0.000% %KSA55A 80413TAR0 US80413TAR05 BKVD0X0Kingdom of Saudi Arabia 4.5% 4/22/60 $17,084 0.000% %KSA60A 80413TAU3 US80413TAU34 BMF0428Egypt Government Bill 11/23/21 $17,066 0.000% EGT9980NBL11Guatemalan Republic 6.125% 6/1/50 $16,959 0.000% %GUAT50A 401494AR0 US401494AR02 BKBDXR5Swiss Re Finance Luxembourg SA 5% 4/2/49 $16,950 0.000% %SREN49A 87089NAA8 US87089NAA81 BJVLL56Republic of Uzbekistan 3.7% 11/25/30 $16,802 0.000% %UZBE30A 91822Q2C0 US91822Q2C08 BMWB565JPMorgan Chase & Co. 3.797% 7/23/24 $16,760 0.000% %JPM0724 46647PAU0 US46647PAU03 BFMYVQ7First Quantum Minerals Ltd. 7.5% 4/1/25 $16,746 0.000% %FMCN25A 335934AL9 US335934AL97 BF083S7CGDB Commercial Mortgage Trust floater Series2019-MOB Class A, 1 month U.S. LIBOR + 0.950%1.0338% 11/15/36 $16,699 0.000% 125284AA7 US125284AA75Egypt Government Bill 2/22/22 $16,696 0.000% %EGYTB22 EGT9980M2M14Tinkoff Credit Systems 6% $16,652 0.000% %AKBH99A 87251LAA4 US87251LAA44Digicel Group Ltd. 6.75% 3/1/23 $16,641 0.000% %DLLT23A 25380QAH2 US25380QAH20 BW0XTF0Commonwealth Bank of Australia 3.61% 9/12/34 $16,631 0.000% %CBAU24A 202712BK0 US202712BK06 BK5W9M5Energy Transfer LP 5.8% 6/15/38 $16,628 0.000% %ETP638 29278NAD5 US29278NAD57 BDFY052Morgan Stanley BAML Trust Series 2012-C5 ClassA/S, 3.792% 8/15/45 $16,557 0.000% 61761ABA5 US61761ABA51Ford Credit Floorplan Master Owner Trust Series2019-3 Class A1, 2.23% 9/15/24 $16,554 0.000% 34528QHA5 US34528QHA58 BKDZ7T9


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLCharter Communications Operating LLC/CharterCommunications Operating Capital Corp. 6.484%10/23/45 $16,404 0.000% %CHTR45 161175BA1 US161175BA14 BYQ7R23T-Mobile U.S.A., Inc. 4.5% 4/15/50 $16,374 0.000% %TMUS50 87264AAZ8 US87264AAZ84 BN0ZMM1Uruguay Republic 8.25% 5/21/31 $16,324 0.000% %URUG31 917288BM3 US917288BM35 BNNFCY0Democratic Socialist Republic of Sri Lanka 7.85%3/14/29 $16,273 0.000% %SRIL29A 85227SAZ9 US85227SAZ92 BJKGRL0GNII II 3% 07/20/2051#MA7473 $16,155 0.000% 36179WJS8 US36179WJS89BX Trust floater Series 2019-XL Class B, 1 monthU.S. LIBOR + 1.080% 1.164% 10/15/36 $16,088 0.000% 056054AE9 US056054AE92RLGH Trust floater Series 2021-TROT Class A, 1month U.S. LIBOR + 0.800% 0.884% 4/15/36 $16,086 0.000% 74969CAA5 US74969CAA53VTR Comunicaciones SpA 4.375% 4/15/29 $16,040 0.000% %VTRC29A 918367AC7 US918367AC71 BN92JH7DAE Funding LLC 1.55% 8/1/24 $16,036 0.000% %DUB824A 23371DAJ3 US23371DAJ37 BNNJN61Ukraine Government 11.75% 6/15/22 $16,006 0.000% %UKR22 UA4000214506Petronas Capital Ltd. 3.5% 4/21/30 $15,964 0.000% %PETK30A 716743AP4 US716743AP46 BMF66D1Petroleos Mexicanos 6.35% 2/12/48 $15,953 0.000% %PEMEX48 71654QCL4 US71654QCL41 BGPYW91GNMA II 3.5% 11/20/2047#784391 $15,944 0.000% 3622A22Y7 US3622A22Y71Dell International LLC/EMC Corp. 6.1% 7/15/27 $15,943 0.000% %DELL27 24703TAF3 US24703TAF30 BL982B6BBVA Bancomer SA Texas Branch 5.125% 1/18/33 $15,934 0.000% %BBVA33A 05533UAF5 US05533UAF57 BFY0TP8Illinois Gen. Oblig. Series 2003, 4.95% 6/1/23 $15,930 0.000% 452151LE1 US452151LE19FNMA 15YR 3% 12/01/2032#BM5345 $15,894 0.000% 3140J95F4 US3140J95F47SB Capital SA 5.125% 10/29/22 $15,876 0.000% %SBE22A 78406JAC8 US78406JAC80 B87ZVD3Citigroup, Inc. 4.4% 6/10/25 $15,794 0.000% %C12325 172967JT9 US172967JT97 BYZRZP3Apollo Aviation Securitization Equity Trust Series2020-1A Class A, 3.351% 1/16/40 $15,778 0.000% 00255UAA3 US00255UAA34Egypt Government Bill 12/14/21 $15,754 0.000% EGT9980ECL11State of Qatar 3.4% 4/16/25 $15,647 0.000% %QATA25A 74727PBC4 US74727PBC41 BL6DKD2Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3month U.S. LIBOR + 1.330% 1.4639% 1/17/33 $15,592 0.000% 07355TAA0 US07355TAA07Azul Investments LLP 7.25% 6/15/26 $15,590 0.000% %AZUL26A 05502FAC2 US05502FAC23 BMH7D97Anheuser-Busch InBev Worldwide, Inc. 4.6% 6/1/60 $15,583 0.000% %ABIBB60 035240AU4 US035240AU42 BM8MM83Jamaican Government 7.875% 7/28/45 $15,580 0.000% %JAMAN45 470160CB6 US470160CB63 BYZRKT2Dryden CLO, Ltd. Series 2021-83A Class A, 3 monthU.S. LIBOR + 1.220% 1.3539% 1/18/32 $15,571 0.000% 26246EAC2 US26246EAC21Prosus NV 2.031% 8/3/32 (Reg. S) $15,538 0.000% %PRXN32S XS2211183756 BK7YNZ0Morgan Stanley BAML Trust Series 2012-C6 ClassA/S, 3.476% 11/15/45 $15,530 0.000% 61761DAE2 US61761DAE22AT&T, Inc. 4.75% 5/15/46 $15,513 0.000% %T46 00206RCQ3 US00206RCQ39 BX2H2X6


500 Salem Street


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLRepublic of Zambia 8.97% 7/30/27 $15,474 0.000% %ZAMB26A 988895AF5 US988895AF56 BYSF4C4Sysco Corp. 3.25% 7/15/27 $15,459 0.000% %SYY727 871829BF3 US871829BF39 BDGGZT6Energy Transfer LP 5.25% 4/15/29 $15,442 0.000% %EETP29 29278NAG8 US29278NAG88 BJ2DPR1WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110%2.2373% 5/15/67 $15,421 0.000% %WEC67 976657AH9 US976657AH99 B1XCTQ8Tencent Holdings Ltd. 1.81% 1/26/26 $15,405 0.000% %TENC26A 88032WAT3 US88032WAT36 BMXB5B9WF-RBS Commercial Mortgage Trust Series 2012-C8Class A/S, 3.66% 8/15/45 $15,363 0.000% 92936YAE1 US92936YAE14Goldman Sachs Group, Inc. 5.15% 5/22/45 $15,305 0.000% %GS45 38148LAF3 US38148LAF31 BY58YT3Ginnie Mae guaranteed REMIC pass-thru certificatessequential payer Series 2017-139 Class BA, 3%9/20/47 $15,240 0.000% 38380HES7 US38380HES76Republic of Nigeria 6.5% 11/28/27 $15,172 0.000% %NGER27A 65412JAC7 US65412JAC71 BF2W0F3Horizon Aircraft Finance I Ltd. Series 2018-1Class A, 4.458% 12/15/38 $15,158 0.000% 440405AE8 US440405AE86BX Commercial Mortgage Trust floater Series2020-BXLP Class C, 1 month U.S. LIBOR + 1.120%1.204% 12/15/36 $15,114 0.000% 05607QAN8 US05607QAN88SITE Centers Corp. 3.625% 2/1/25 $15,104 0.000% %DDR225 23317HAD4 US23317HAD44 BVCXLF5Alrosa Finance SA 3.1% 6/25/27 $15,096 0.000% %ALRS27A 02109TAE2 US02109TAE29Anheuser-Busch InBev Worldwide, Inc. 4.35% 6/1/40 $15,071 0.000% %ABI2040 035240AS9 US035240AS95 BM8GDK4Buenos Aires Province 3.9% 9/1/37 $15,053 0.000% %BUEN37A XS2385150417 BMDHK89Moody’s Corp. 3.25% 1/15/28 $15,044 0.000% %MCO28 615369AM7 US615369AM79 BZ1GZR3New York Mortgage Trust sequential payer Series2021-SP1 Class A1, 1.6696% 8/25/61 $15,018 0.000% 62955RAA3 US62955RAA32Network i2i Ltd. 3.975% $14,980 0.000% %BHAR99A 64132NAC0 US64132NAC02 BNRKHB3Camposol SA 6% 2/3/27 $14,977 0.000% %CSOL27A 134638AE5 US134638AE50 BKKF1S9Baidu, Inc. 2.375% 10/9/30 $14,976 0.000% %BIDUI30 056752AT5 US056752AT58 BK4MYF4Sibur Securities DAC 2.95% 7/8/25 $14,967 0.000% %SIBU25A 825795AC1 US825795AC13 BMVF751Ventas Realty LP 4% 3/1/28 $14,932 0.000% %VTR328 92277GAM9 US92277GAM96 BYWJDB4CEMEX S.A.B. de CV 3.875% 7/11/31 $14,917 0.000% %CEME31A 151290BZ5 US151290BZ57 BL0P0K1Navios South American Logistics, Inc./NaviosLogistics Finance U.S., Inc. 10.75% 7/1/25 $14,856 0.000% %NM25A 63938NAF1 US63938NAF15 BM9ZQX4FNMA 30YR 3.5% 09/01/2046#AL9058 $14,827 0.000% 3138ERB41 US3138ERB418Fox Corp. 5.476% 1/25/39 $14,811 0.000% %FOXA39 35137LAJ4 US35137LAJ44 BMPRYX0National Bank of Uzbekistan 4.85% 10/21/25 (Reg.S) $14,778 0.000% %UZBE25S XS2242418957 BMTM8G2Marsh & McLennan Companies, Inc. 4.75% 3/15/39 $14,763 0.000% %MMC39 571748BH4 US571748BH49 BJ2NYM9Panamanian Republic 3.87% 7/23/60 $14,753 0.000% %PANAM59 698299BL7 US698299BL70 BJVN8G2


500 Salem Street


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLRepublic of Uzbekistan 4.75% 2/20/24 $14,698 0.000% %UZBE24A 91822Q2B2 US91822Q2B25 BHZQ1B9Sinopec Group Overseas Development Ltd. 2.7%5/13/30 $14,697 0.000% %SINO30A 82939GAP3 US82939GAP37 BL981B9PTT Treasury Center Co. Ltd. 3.7% 7/16/70 $14,693 0.000% %PTTB70A 74446T2C6 US74446T2C68 BN2TTD1Toledo Hospital 5.325% 11/15/28 $14,689 0.000% %TOLHO28 889184AC1 US889184AC18 BGYVLX0Empresa Nacional de Petroleo 4.375% 10/30/24 $14,672 0.000% %ENAP24A 29245JAH5 US29245JAH59 BRTL9H2FHLG 30YR 2.5% 08/01/2050#SD7523 $14,668 0.000% 3132DVLC7 US3132DVLC71FNMA 30YR 3.5% 11/01/2049#CA4557 $14,624 0.000% 3140QCB39 US3140QCB394NBK Tier 1 Financing Ltd. 3.625% $14,617 0.000% %NTBKKKA 62879NAA5 US62879NAA54 BNNHZR0FHLG 3.50% 4/42 #C03811 $14,599 0.000% 31292LGU3 US31292LGU35Energy Transfer LP 3.75% 5/15/30 $14,562 0.000% %ETP530 29278NAQ6 US29278NAQ60 BL3BQ53HSBC Holdings PLC 4.25% 3/14/24 $14,552 0.000% %HSBC324 404280AP4 US404280AP48 BKJLDZ9South African Republic 4.85% 9/30/29 $14,502 0.000% %SOAF29 836205BA1 US836205BA15 BKRQ5R2Egypt Government Bill 1/18/22 $14,482 0.000% %EGYT22 EGT9980I1M13Egypt Government Bill 3/8/22 $14,478 0.000% %EGY322 EGT998083M10Ukraine Government 1.258% 5/31/40 $14,420 0.000% %UK49TMP 903724AW2 US903724AW28 BZ09BY2AFLAC, Inc. 3.6% 4/1/30 $14,412 0.000% %AFLL30 001055BJ0 US001055BJ00 BLTZKL3Aydem Yenilenebilir Enerji A/S 7.75% 2/2/27 $14,407 0.000% %AYDE27A 054644AA7 US054644AA72 BNHQ2R2Romanian Republic 4.375% 8/22/23 $14,377 0.000% %ROMA23A 77586RAB6 US77586RAB69 B9KDK34Southeast Supply Header LLC 4.25% 6/15/24 $14,345 0.000% %SESH624 841504AB9 US841504AB96 BN7N7N4Ghana Republic 8.125% 1/18/26 $14,306 0.000% %GHAN26A 374422AC7 US374422AC70 BQT3VQ4Dell International LLC/EMC Corp. 6.2% 7/15/30 $14,280 0.000% %DELL30 24703TAH9 US24703TAH95 BL979J0Colombia Telecomunicaciones SA 4.95% 7/17/30 $14,268 0.000% %TELE30A 19533PAC4 US19533PAC41 BMZ5SK9Jamaican Government 6.75% 4/28/28 $14,250 0.000% %JAM428 470160CA8 US470160CA80 BYZ7VR7Anheuser-Busch InBev Worldwide, Inc. 3.5% 6/1/30 $14,205 0.000% %ABIBB30 035240AV2 US035240AV25 BM8GDL5Moody’s Corp. 4.875% 2/15/24 $14,168 0.000% %MCO224 615369AC9 US615369AC97 BCZQWY4Republic of Armenia 7.15% 3/26/25 $14,157 0.000% %ARME25A 042207AB6 US042207AB67 BWG0YZ0BX Trust floater Series 2019-IMC Class D, 1 monthU.S. LIBOR + 1.900% 1.984% 4/15/34 $14,134 0.000% 05608BAL4 US05608BAL45Affiliated Managers Group, Inc. 4.25% 2/15/24 $14,127 0.000% %AMG24 008252AM0 US008252AM02 BJT7ZG5FHLG 30YR 4% 06/01/2048#G67713 $14,087 0.000% 3132XCSA4 US3132XCSA42GNII II 3.5% 05/43 #MA1012 $13,967 0.000% 36179NDR6 US36179NDR61Deere & Co. 3.1% 4/15/30 $13,962 0.000% %DE0430 244199BJ3 US244199BJ37 BLPN3F6Lukoil International Finance BV 4.75% 11/2/26 $13,951 0.000% %LUKO26A 549876AL4 US549876AL44 BD8NWF0BX Trust floater Series 2018-EXCL Class B, 1 monthU.S. LIBOR + 1.320% 1.409% 9/15/37 $13,941 0.000% 12433WAC5 US12433WAC55Avolon Holdings Funding Ltd. 3.95% 7/1/24 $13,925 0.000% %AVO724A 05401AAF8 US05401AAF84 BJV0CR2FNMA 30YR 3.5% 07/01/2045#AZ0814 $13,908 0.000% 3138YR3Y2 US3138YR3Y28Costa Rican Republic 6.125% 2/19/31 $13,858 0.000% %COST31A 221597CP0 US221597CP00 BJTM2H0


500 Salem Street


67

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLSBA Tower Trust 1.884% 7/15/50 $13,805 0.000% 78403DAP5 US78403DAP50Toyota Motor Credit Corp. 3.375% 4/1/30 $13,784 0.000% %TOYOA30 89236TGY5 US89236TGY55 BL66P03Peace Park CLO, Ltd. Series 2021-1A Class A, 3month U.S. LIBOR + 1.130% 1.2682% 10/20/34 $13,780 0.000% %PCEP34A 70470MAC9 US70470MAC91Ally Financial, Inc. 5.125% 9/30/24 $13,743 0.000% %ALLY24 02005NAV2 US02005NAV29 BR23ZV1NAK Naftogaz Ukraine 7.625% 11/8/26 $13,714 0.000% %NAFT26A 50050MAB1 US50050MAB19 BKKFTG3Fox Corp. 4.709% 1/25/29 $13,702 0.000% %FOXA29 35137LAH8 US35137LAH87 BJLV907FHLG 15YR 2.5% 12/01/2032#G18669 $13,675 0.000% 3128MMW74 US3128MMW740Peruvian Republic 7.35% 7/21/25 $13,675 0.000% %PERU25 715638AS1 US715638AS19 B0DJQ49FNMA 30YR 5.0% 09/01/2033#AL7521 $13,662 0.000% 3138EQLB6 US3138EQLB64AASET Trust Series 2018-1A Class A, 3.844% 1/16/38 $13,621 0.000% 000367AA0 US000367AA05 BF593H4Duquesne Light Holdings, Inc. 2.532% 10/1/30 $13,584 0.000% %DQE30A 266233AH8 US266233AH80 BMZ1QP8FHLG 20YR 4% 08/01/2039#SC0020 $13,522 0.000% 3132D9AV6 US3132D9AV68JBS U.S.A. Lux SA / JBS Food Co. 6.5% 4/15/29 $13,509 0.000% %JBSS29A 46590XAA4 US46590XAA46 BJH0CW1GNII II 3.5% 12/20/2041#005258 $13,501 0.000% 36202FZX7 US36202FZX76General Motors Financial Co., Inc. 4.25% 5/15/23 $13,482 0.000% %GM523 37045XAL0 US37045XAL01 BJT3FD0Viatris, Inc. 3.85% 6/22/40 $13,460 0.000% %UPJO40A 91533BAE0 US91533BAE02 BL57WX9BX Trust floater Series 2019-IMC Class C, 1 monthU.S. LIBOR + 1.600% 1.684% 4/15/34 $13,455 0.000% 05608BAJ9 US05608BAJ98FNMA 30YR 4% 08/01/2047#CA0181 $13,447 0.000% 3140Q7FX0 US3140Q7FX01The Oil and Gas Holding Co. 8.375% 11/7/28 $13,410 0.000% %OILG28A 67778M2D1 US67778M2D18 BFM85J0BAE Systems PLC 3.4% 4/15/30 $13,404 0.000% %BAL30A 05523RAD9 US05523RAD98 BKY6326Ukraine Government 7.75% 9/1/26 $13,393 0.000% %UK26TMP 903724AT9 US903724AT98 BYSRYL9Republic of Paraguay 2.739% 1/29/33 $13,383 0.000% %PARG33A 699149AK6 US699149AK64 BMX5ZP5Time Warner Cable LLC 5.5% 9/1/41 $13,347 0.000% %TWC941 88732JBB3 US88732JBB35 B441BS1GS Mortgage Securities Trust floater Series2018-3PCK Class A, 1 month U.S. LIBOR + 1.450%1.784% 9/15/31 $13,345 0.000% 36255YAA9 US36255YAA91FHLG 15YR 2.5% 07/01/2033#G16661 $13,288 0.000% 3128MFTS7 US3128MFTS70FHLG 30YR 3.5% 03/01/2032#C91403 $13,283 0.000% 3128P7RY1 US3128P7RY11 B9HK555KazMunaiGaz National Co. 5.75% 4/19/47 $13,246 0.000% %KZOK47A 48667QAP0 US48667QAP00 BZ0X434IPALCO Enterprises, Inc. 3.7% 9/1/24 $13,233 0.000% %AES924 462613AM2 US462613AM21 BDFKM54AT&T, Inc. 6.2% 3/15/40 $13,198 0.000% %T340 00206RJD5 US00206RJD52 BJ11MJ7Western Gas Partners LP 4.65% 7/1/26 $13,152 0.000% %WES26 958254AF1 US958254AF13 BD2NKX0FHLG 15YR 3.5% 02/01/2034#G16752 $13,041 0.000% 3128MFWM6 US3128MFWM63FNMA 30YR 4.5% 09/01/2049#FM1534 $13,024 0.000% 3140X4V45 US3140X4V450Aeropuerto Internacional de Tocumen SA 5.125%8/11/61 $13,020 0.000% %AITO61A 00787CAE2 US00787CAE21 BKP5485Energy Transfer LP 6.25% 4/15/49 $13,015 0.000% %ETP49 29279FAA7 US29279FAA75 BJ2NY29


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLStore Capital Corp. 4.625% 3/15/29 $12,999 0.000% %STOR29 862121AB6 US862121AB61 BJ7MB42Turkish Republic 4.25% 4/14/26 $12,984 0.000% %TURKE26 900123CJ7 US900123CJ75 BVYNZS4El Salvador Republic 7.1246% 1/20/50 $12,895 0.000% %ELSA50A 283875BZ4 US283875BZ44 BJBLT29Moody’s Corp. 3.25% 5/20/50 $12,889 0.000% %MCO550 615369AT2 US615369AT23 BMF6PG7MPLX LP 4.5% 7/15/23 $12,833 0.000% %MPLXL23 55336VAE0 US55336VAE02 BDCVWY9Castlelake Aircraft Securitization Trust Series2019-1A Class B, 5.095% 4/15/39 $12,802 0.000% 14855MAB4 US14855MAB46Tencent Holdings Ltd. 2.88% 4/22/31 $12,773 0.000% %TENC31A 88032WBA3 US88032WBA36 BMD03Z6Credit Suisse Group AG 3.869% 1/12/29 $12,747 0.000% %CS129A 225401AF5 US225401AF50 BD265F6FNMA 30YR 3.5% 08/01/2045#AY8424 $12,734 0.000% 3138YNLE5 US3138YNLE52FHLG 20YR 3% 07/01/2033#C91714 $12,710 0.000% 3128P73X9 US3128P73X98Ally Financial, Inc. 1.45% 10/2/23 $12,707 0.000% 02005NBL3 US02005NBL38 BMGYHC0GNII II 4.0% 11/20/2044#MA2372 $12,662 0.000% 36179QT50 US36179QT501Verizon Communications, Inc. 3.15% 3/22/30 $12,654 0.000% %V2030 92343VFE9 US92343VFE92 BLB7FP6Chicago Gen. Oblig. (Taxable Proj.) Series 2010C1, 7.781% 1/1/35 $12,615 0.000% 167486MM8 US167486MM83 B5TX5R6FNMA 30YR 4% 07/01/2047#MA3058 $12,598 0.000% 31418CMG6 US31418CMG68Store Master Funding Series 2021-1A Class A1,2.12% 6/20/51 $12,594 0.000% 86190BAA2 US86190BAA26Tencent Holdings Ltd. 3.975% 4/11/29 $12,594 0.000% %TENC29A 88032WAN6 US88032WAN65 BJRF8C8BX Trust floater Series 2018-IND Class F, 1 monthU.S. LIBOR + 1.800% 1.884% 11/15/35 $12,592 0.000% 056059AQ1 US056059AQ10Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 $12,587 0.000% 00833MAA2 US00833MAA27GNII II 4.0% 08/20/2045#MA3035 $12,584 0.000% 36179RLQ0 US36179RLQ01GNII II 3.5% 04/20/2050#MA6600 $12,555 0.000% 36179VKM1 US36179VKM18FHLG 30YR 3.5% 03/01/2048#G67710 $12,538 0.000% 3132XCR72 US3132XCR724GNII II 3% 10/01/2051 #TBA $12,535 0.000% 21H0306A7 US21H0306A72GNII II 4.50% 5/41 #005055 $12,532 0.000% 36202FTL0 US36202FTL03BX Trust floater Series 2018-EXCL Class A, 1 monthU.S. LIBOR + 1.088% 1.1716% 9/15/37 $12,445 0.000% 12433WAA9 US12433WAA99DP World Ltd. 5.625% 9/25/48 $12,441 0.000% %DPWU48A 23330JAB7 US23330JAB70 BFXC1B5Colombian Republic 4.125% 5/15/51 $12,394 0.000% %COLOM51 195325DT9 US195325DT91 BM8M272Time Warner Cable LLC 5.875% 11/15/40 $12,377 0.000% %TWC40 88732JAY4 US88732JAY47 B66BW80NBCUniversal, Inc. 5.95% 4/1/41 $12,368 0.000% %CMCSA41 63946BAG5 US63946BAG59 B56D2T0Plains All American Pipeline LP/PAA Finance Corp.3.65% 6/1/22 $12,350 0.000% %PAA0622 72650RAZ5 US72650RAZ55 B753KJ1Discover Financial Services 3.85% 11/21/22 $12,334 0.000% %DFS1122 254709AJ7 US254709AJ71 B97GSJ8Republic of Honduras 5.625% 6/24/30 $12,307 0.000% %HOND30A 438180AJ0 US438180AJ03 BLB2D57Extended Stay America Trust floater Series


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOL2021-ESH Class B, 1 month U.S. LIBOR + 1.380%1.464% 7/15/38 $12,290 0.000% 30227FAE0 US30227FAE07Enterprise Products Operating LP 3.7% 2/15/26 $12,242 0.000% %EPD0226 29379VBH5 US29379VBH50 BWWC4W7FHLG 20YR 4% 01/01/2036#G30933 $12,239 0.000% 3132J4HK8 US3132J4HK82McDonald’s Corp. 3.6% 7/1/30 $12,181 0.000% %MCD730 58013MFQ2 US58013MFQ24 BLCCBX0Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2017-H06 Class FA, U.S. TREASURY 1 YEARINDEX + 0.350% 0.42% 8/20/66 $12,163 0.000% 38376RV60 US38376RV604Hungarian Republic 2.125% 9/22/31 $12,137 0.000% %REPH31A 445545AM8 US445545AM86 BPBJK00Enbridge, Inc. 4.25% 12/1/26 $12,133 0.000% %ENBCN26 29250NAL9 US29250NAL91 BZ6CXC7Benchmark Mortgage Trust Series 2020-B17 Class XA,1.5409% 3/15/53 $12,091 0.000% 08162MAZ1 US08162MAZ14Dryden CLO, Ltd. Series 2019-76A Class A1, 3 monthU.S. LIBOR + 1.330% 1.4643% 10/20/32 $12,059 0.000% 26252WAA7 US26252WAA71BBVA Bancomer SA Texas Branch 5.35% 11/12/29 $12,027 0.000% %BBVA29A 05533UAE8 US05533UAE82 BSLJBB9Occidental Petroleum Corp. 3.5% 8/15/29 $12,001 0.000% %OXY829 674599CS2 US674599CS21 BKKGQK9TIAA Asset Management Finance LLC 4.125% 11/1/24 $11,972 0.000% %TIAA24A 87246YAC0 US87246YAC03 BRTMFH7Dell International LLC/EMC Corp. 6.02% 6/15/26 $11,893 0.000% %DELL26 24703TAD8 US24703TAD81 BL97CL3FHLG 30YR 3.5% 06/01/2045#Q34311 $11,882 0.000% 3132QQYH9 US3132QQYH99Lanark Master Issuer PLC Series 2019-2A Class 1A,2.71% 12/22/69 $11,847 0.000% 513770BD8 US513770BD87 BKBDLP9Access Bank PLC 6.125% 9/21/26 $11,775 0.000% %ACCE26A 00434G2B5 US00434G2B53 BK80SS5FNMA 20YR 3% 07/01/2033#MA1490 $11,751 0.000% 31418AUQ9 US31418AUQ92Romanian Republic 3.375% 1/28/50 (Reg. S) $11,738 0.000% %ROMA50S XS2109813142 BKLWB56FHLG 5.00% 6/41 #G06596 $11,711 0.000% 3128M8UV4 US3128M8UV49FNMA 30YR 2% 07/01/2050#CA6275 $11,683 0.000% 3140QD6M1 US3140QD6M13RMF Buyout Issuance Trust Series 2020-HB1 ClassA1, 1.7188% 10/25/50 $11,660 0.000% 76971EAA2 US76971EAA29Biz Finance PLC 9.625% 4/27/22 $11,659 0.000% %EXIM22A XS1261826512 BYSGLY8Consumer Loan Underlying Bond Credit Trust Series2019-HP1 Class A, 2.59% 12/15/26 $11,648 0.000% 21055MAA9 US21055MAA99Volcan Compania Minera SAA 4.375% 2/11/26 $11,631 0.000% %VOLC26A 92863UAB2 US92863UAB26 BKPSMK2FNMA 30YR 3.5% 01/47 #MA2864 $11,601 0.000% 31418CFE9 US31418CFE93Hess Corp. 7.3% 8/15/31 $11,596 0.000% %AMHC31 023551AJ3 US023551AJ38 2791205Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2014-2 Class BA, 3% 1/20/44 $11,596 0.000% 38378YG78 US38378YG789Credit Suisse Mortgage Trust sequential payerSeries 2020-NET Class A, 2.2569% 8/15/37 $11,532 0.000% 126438AA8 US126438AA86FNMA 20YR 4.5% 08/01/2039#FM1353 $11,529 0.000% 3140X4QF6 US3140X4QF66


500 Salem Street


70

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNII II 3.5% 09/20/2043#MA1285 $11,428 0.000% 36179NNA2 US36179NNA27Halliburton Co. 4.85% 11/15/35 $11,323 0.000% %HAL35 406216BJ9 US406216BJ98 BYNR6K7Lexington Corporate Properties Trust 4.4% 6/15/24 $11,305 0.000% %LXPD24 529043AD3 US529043AD36 BMN1YK1Nakilat, Inc. 6.067% 12/31/33 $11,294 0.000% %QGTS33A 62983PAA3 US62983PAA30 B1L4GM1FNMA 30YR 3.5% 06/01/2045#AY5622 $11,270 0.000% 3138YKG80 US3138YKG808Gold Fields Orogen Holding BVI Ltd. 5.125% 5/15/24 $11,184 0.000% %GFISJ24 38060AAB0 US38060AAB08 BJDQMS9FHLG 30YR 3% 12/01/2046#G60989 $11,104 0.000% 31335BC20 US31335BC205Store Capital Corp. 2.75% 11/18/30 $11,094 0.000% %STOR30 862121AC4 US862121AC45 BNDPYX3Ventas Realty LP 4.125% 1/15/26 $10,958 0.000% %VTR26 92277GAG2 US92277GAG29 BYMPWN7Occidental Petroleum Corp. 6.2% 3/15/40 $10,950 0.000% %OXY40 674599DJ1 US674599DJ13 BJCRNM4Ventas Realty LP 3.75% 5/1/24 $10,900 0.000% %VTR424 92277GAD9 US92277GAD97 BLT50B3Ukraine Government 6.876% 5/21/29 $10,891 0.000% %UKRA29A 90372UAR5 US90372UAR59 BP2C1N8Colombian Republic 7.375% 9/18/37 $10,882 0.000% %COLO37 195325BK0 US195325BK01 B1DW3T9MercadoLibre, Inc. 2.375% 1/14/26 $10,881 0.000% %MELI26 58733RAE2 US58733RAE27 BLB39N0Dominican Republic 6.4% 6/5/49 $10,879 0.000% %DOMR49A 25714PEB0 US25714PEB04 BKC5XL4Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2016-H13 Class FB, U.S. TREASURY 1 YEARINDEX + 0.500% 0.57% 5/20/66 $10,845 0.000% 38376RUU8 US38376RUU84CHC Commercial Mortgage Trust floater Series2019-CHC Class C, 1 month U.S. LIBOR + 1.750%1.834% 6/15/34 $10,824 0.000% 162665AJ2 US162665AJ29New York Life Insurance Co. 3.75% 5/15/50 $10,795 0.000% %NYLI50A 64952GAT5 US64952GAT58 BLGYKF7State Oil Co. of Azerbaijan Republic 4.75% 3/13/23(Reg. S) $10,758 0.000% %SOIA23S XS0903465127 B907359Abu Dhabi National Energy Co. PJSC 4% 10/3/49 $10,724 0.000% %TAQA49A 00388WAH4 US00388WAH43 BK5MNL2Exelon Corp. 4.05% 4/15/30 $10,717 0.000% %EXC430 30161NAX9 US30161NAX93 BM5M651Chicago Gen. Oblig. (Taxable Proj.) Series 2012 B,5.432% 1/1/42 $10,713 0.000% 167486PG8 US167486PG88Castlelake Aircraft Structured Trust Series2021-1A Class A, 3.474% 1/15/46 $10,703 0.000% 14856GAA8 US14856GAA85FHLG 30YR 3.5% 06/01/2045#Q34164 $10,700 0.000% 3132QQTW2 US3132QQTW22CVS Health Corp. 3.625% 4/1/27 $10,682 0.000% %CVS2027 126650DH0 US126650DH04 BK8TZ81MTN (Mauritius) Investments Ltd. 4.755% 11/11/24 $10,665 0.000% %MTNS24A 55377XAA4 US55377XAA46 BSJCDK3SBA Tower Trust 2.328% 7/15/52 $10,620 0.000% 78403DAR1 US78403DAR17Vornado Realty LP 2.15% 6/1/26 $10,430 0.000% %VNO626 929043AK3 US929043AK39 BNDQK61Kazakhstan Temir Zholy Finance BV 6.95% 7/10/42 $10,410 0.000% %KTZK42A 48667DAD6 US48667DAD66 B8J9B66Ventas Realty LP 3.5% 2/1/25 $10,391 0.000% %VTR125 92277GAE7 US92277GAE70 BV9CMB8Petroleos Mexicanos 6.5% 6/2/41 $10,366 0.000% %PEMEX41 71654QAZ5 US71654QAZ54 B3XJ8P5Fox Corp. 5.576% 1/25/49 $10,364 0.000% %FOXA49 35137LAK1 US35137LAK17 BM63802


500 Salem Street


71

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLAltria Group, Inc. 5.375% 1/31/44 $10,362 0.000% %MO44 02209SAR4 US02209SAR40 BG3KW02Lexington Corporate Properties Trust 2.7% 9/15/30 $10,355 0.000% %LXP30 529043AE1 US529043AE19 BLB61R7Lamar Funding Ltd. 3.958% 5/7/25 $10,352 0.000% %OMGR25A 513063AA5 US513063AA53 BWTYXB8Bermuda Government 3.375% 8/20/50 $10,294 0.000% %BERM50A 085209AH7 US085209AH76 BMTV8T2Energy Transfer LP 5.4% 10/1/47 $10,279 0.000% %ETP1047 86765BAV1 US86765BAV18 BD35XM5Madison Park Funding XXXII, Ltd. / Madison ParkFunding XXXII LLC Series 2021-32A Class A2R, 3month U.S. LIBOR + 1.200% 1.3383% 1/22/31 $10,263 0.000% 55817AAQ7 US55817AAQ76Mylan NV 4.55% 4/15/28 $10,230 0.000% %MYL28 628530BK2 US628530BK28 BHQSS68McDonald’s Corp. 3.5% 7/1/27 $10,192 0.000% %MCD727 58013MFP4 US58013MFP41 BLD6KK1FNMA 30YR 4.5% 11/01/2042#AL6997 $10,180 0.000% 3138EPX33 US3138EPX333Shell International Finance BV 4.375% 5/11/45 $10,176 0.000% %RDSA45 822582BF8 US822582BF88 BXC5W74Merit floater Series 2020-HILL Class A, 1 monthU.S. LIBOR + 1.150% 1.234% 8/15/37 $10,168 0.000% 590027AA6 US590027AA64FHLG 30YR 3% 05/01/2046#V82275 $10,111 0.000% 3132L7Q44 US3132L7Q440Avolon Holdings Funding Ltd. 3.625% 5/1/22 $10,022 0.000% %AVO22A 05401AAE1 US05401AAE10 BJV0CS3GNII II 3.5% 05/20/2050#MA6657 $9,997 0.000% 36179VME7 US36179VME73FNMA 30YR 3.5% 12/01/2047#CA0859 $9,975 0.000% 3140Q75V5 US3140Q75V59Comcast Corp. 3.4% 4/1/30 $9,956 0.000% %CMA2030 20030NDG3 US20030NDG34 BMGQ5B1VEREIT Operating Partnership LP 3.4% 1/15/28 $9,931 0.000% %VER28 92340LAF6 US92340LAF67 BLF5MV1Credit Suisse Mortgage Trust Series 2018-SITEClass D, 4.9414% 4/15/36 $9,869 0.000% 12690CAJ2 US12690CAJ27Archer Daniels Midland Co. 3.25% 3/27/30 $9,855 0.000% %ADM30 039482AB0 US039482AB02 BLPLLM3FHLG 30YR 2% 10/01/2051#QC8195 $9,830 0.000% 3133ATC82 US3133ATC825FHLG 30YR 3% 6/46#V82414 $9,812 0.000% 3132L7VF3 US3132L7VF35GNII II 4% 05/46#MA3664 $9,782 0.000% 36179SB97 US36179SB976FNMA 30YR 3.5% 06/01/2049#FM6043 $9,769 0.000% 3140X9WD3 US3140X9WD32FNMA 30YR 3% 07/01/2050#CA6312 $9,754 0.000% 3140QEAN2 US3140QEAN28Eurex Euro-Bobl Contracts (Germany) $9,750 0.000% OEZ1 DE000C58EEH8JPMorgan Chase Commercial Mortgage SecuritiesTrust Series 2018-WPT Class EFX, 5.5422% 7/5/33 $9,735 0.000% 46645WBG7 US46645WBG78LIFE Mortgage Trust floater Series 2021-BMR ClassB, 1 month U.S. LIBOR + 0.880% 0.964% 3/15/38 $9,683 0.000% 53218CAC4 US53218CAC47Omega Healthcare Investors, Inc. 4.375% 8/1/23 $9,678 0.000% %OHI23 681936BJ8 US681936BJ87 BDFZDQ7Corporate Office Properties LP 2.25% 3/15/26 $9,662 0.000% %OFC26 22003BAL0 US22003BAL09 BM98CV3Elanco Animal Health, Inc. 5.9% 8/28/28 $9,654 0.000% %ELAN28 28414HAG8 US28414HAG83 BK6ZHZ2Comcast Corp. 3.3% 4/1/27 $9,650 0.000% %CMCS427 20030NDK4 US20030NDK46 BMGQ577FNMA 30YR 3.0% 07/01/2043#AB9858 $9,619 0.000% 31417G5U6 US31417G5U63Sempra Energy 6% 10/15/39 $9,600 0.000% %SRE1039 816851AP4 US816851AP42 B4T9B57


500 Salem Street


72

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLCHC Commercial Mortgage Trust floater Series2019-CHC Class B, 1 month U.S. LIBOR + 1.500%1.584% 6/15/34 $9,595 0.000% 162665AG8 US162665AG89Silverstone Master Issuer PLC floater Series2019-1A Class 1A, 3 month U.S. LIBOR + 0.570%0.7043% 1/21/70 $9,560 0.000% 82846GAV2 US82846GAV23 BJMXQP6Columbia Pipeline Group, Inc. 4.5% 6/1/25 $9,541 0.000% %CPGX25 198280AF6 US198280AF63 BYY9FJ4Costa Rican Republic 5.625% 4/30/43 $9,507 0.000% %COST43A 221597BT3 US221597BT31 B907R79Petrorio Luxembourg SARL 6.125% 6/9/26 $9,440 0.000% %PRIO26A 71677WAA0 US71677WAA09 BP2Q7Q5Emera U.S. Finance LP 3.55% 6/15/26 $9,437 0.000% %EMACN26 29103DAJ5 US29103DAJ54 BDRHY79Tullow Oil PLC 7% 3/1/25 $9,422 0.000% %TLWL25A 899415AE3 US899415AE32 BDVQBD7Oman Oil Co. 5.125% 5/6/28 $9,398 0.000% %OMAO28A 67624L2A5 US67624L2A50 BMV3QY7HSBC Holdings PLC 4.95% 3/31/30 $9,275 0.000% %HSC30 404280CF4 US404280CF48 BLCC7J8Sun Communities Operating LP 2.3% 11/1/28 $9,238 0.000% %SUI28 866677AF4 US866677AF41 BM8JD14NIKE, Inc. 2.75% 3/27/27 $9,235 0.000% %NKE27 654106AJ2 US654106AJ22 BLD6KH8BX Trust floater Series 2018-EXCL Class D, 1 monthU.S. LIBOR + 2.620% 2.709% 9/15/37 $9,231 0.000% 12433WAG6 US12433WAG69Dominican Republic 6.5% 2/15/48 (Reg. S) $9,201 0.000% %DOMR48S USP3579EBY25 BF2FTH7Broadcom, Inc. 1.95% 2/15/28 $9,200 0.000% %AVO28A 11135FBE0 US11135FBE07 BMCGT13Plains All American Pipeline LP/PAA Finance Corp.3.6% 11/1/24 $9,192 0.000% %PAA1124 72650RBF8 US72650RBF82 BQQCCH2CIM Retail Portfolio Trust floater Series2021-RETL Class B, 1 month U.S. LIBOR + 1.900%1.984% 8/15/36 $9,135 0.000% 12566BAJ5 US12566BAJ52FNMA 30YR 4% 09/46#BC2843 $9,121 0.000% 3140EXER0 US3140EXER05Extended Stay America Trust floater Series2021-ESH Class C, 1 month U.S. LIBOR + 1.700%1.784% 7/15/38 $9,084 0.000% 30227FAG5 US30227FAG54JPMBB Commercial Mortgage Securities Trust Series2013-C14 Class A/S, 4.4093% 8/15/46 $9,079 0.000% 46640LAH5 US46640LAH50Omega Healthcare Investors, Inc. 4.95% 4/1/24 $9,067 0.000% %OHI424 681936BB5 US681936BB51 BYZ5LF9FNMA 30YR 2% 11/01/2050#CA7616 $8,995 0.000% 3140QFPA1 US3140QFPA17Turkish Republic 6% 1/14/41 $8,994 0.000% %TURK141 900123BJ8 US900123BJ84 B669ZF2CGDB Commercial Mortgage Trust floater Series2019-MOB Class B, 1 month U.S. LIBOR + 1.250%1.3338% 11/15/36 $8,938 0.000% 125284AC3 US125284AC32Fannie Mae Series 2018-3 Class SB, 6.150% - 1month U.S. LIBOR 6.064% 2/25/48 $8,910 0.000% 3136B0VJ2 US3136B0VJ22Healthcare Trust of America Holdings LP 3.5%


500 Salem Street


73

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOL8/1/26 $8,881 0.000% %HTA26 42225UAD6 US42225UAD63 BD1DQP5Enable Midstream Partners LP 3.9% 5/15/24 $8,873 0.000% %ENBL24 292480AH3 US292480AH37 BD8R564Petroleos Mexicanos 5.95% 1/28/31 $8,858 0.000% %PEMEX31 71654QDE9 US71654QDE98 BLNBRW7GNMA II 5% 04/48#784805 $8,831 0.000% 3622AAGN8 US3622AAGN88BX Commercial Mortgage Trust floater sequentialpayer Series 2019-CALM Class A, 1 month U.S. LIBOR+ 0.870% 0.96% 11/15/32 $8,828 0.000% 05608FAA9 US05608FAA93FHLG 30YR 3.5% 05/01/2045#Q33547 $8,814 0.000% 3132QP5H3 US3132QP5H38FHLG 30YR 4% 05/01/2048#Q55992 $8,766 0.000% 3132XYUS4 US3132XYUS42WP Carey, Inc. 3.85% 7/15/29 $8,757 0.000% %WPC29 92936UAF6 US92936UAF66 BGBN0J8Energy Transfer LP 4.5% 4/15/24 $8,757 0.000% %ET24 29278NAH6 US29278NAH61 BJ2NY18Fox Corp. 4.03% 1/25/24 $8,719 0.000% %FOXA124 35137LAG0 US35137LAG05 BJLV8C2The Williams Companies, Inc. 4.5% 11/15/23 $8,704 0.000% %WPZ23 96950FAL8 US96950FAL85 BGHVV59FNMA 20YR 4.5% 03/01/2039#FM1774 $8,678 0.000% 3140X46L5 US3140X46L58FNMA 30YR 4% 07/01/46#BC1443 $8,655 0.000% 3140EVS99 US3140EVS998CSX Corp. 3.8% 4/15/50 $8,645 0.000% %CSX450 126408HS5 US126408HS51 BK8TZ70OCP SA 6.875% 4/25/44 $8,572 0.000% %OCPM44A 67091TAB1 US67091TAB17 BLT2HR9FHLG 30YR 3.5% 01/01/2044#G07922 $8,556 0.000% 3128MAD30 US3128MAD307Consolidated Edison Co. of New York, Inc. 3.95%4/1/50 $8,546 0.000% %ED450 209111FY4 US209111FY40 BKP3KX6GNII II 4.00% 10/41 #005203 $8,496 0.000% 36202FX84 US36202FX845LIFE Mortgage Trust floater Series 2021-BMR ClassD, 1 month U.S. LIBOR + 1.400% 1.484% 3/15/38 $8,482 0.000% 53218CAG5 US53218CAG50General Electric Co. 3.45% 5/1/27 $8,468 0.000% %GE0127 369604BV4 US369604BV43 BLD2065Lebanese Republic 6.375% 12/31/49 $8,460 0.000% %LEBAN20 XS0493540297 B3L8PZ3Development Bank of Mongolia 7.25% 10/23/23 $8,454 0.000% %DBMM23A 25161AAA7 US25161AAA79 BFZPTZ2Hess Corp. 7.125% 3/15/33 $8,403 0.000% %AHC33 023551AM6 US023551AM66 2888152Braskem Idesa SAPI 7.45% 11/15/29 $8,397 0.000% %BRAI29A 10554NAA6 US10554NAA63 BKVHZG0CIM Retail Portfolio Trust floater Series2021-RETL Class D, 1 month U.S. LIBOR + 3.050%3.134% 8/15/36 $8,390 0.000% 12566BAN6 US12566BAN64Magnetite CLO Ltd. Series 2021-27A Class AR, 3month U.S. LIBOR + 1.140% 1.2743% 10/20/34 $8,356 0.000% 55955EAL2 US55955EAL20Ukraine Government 7.75% 9/1/27 $8,284 0.000% %UK27TMP 903724AU6 US903724AU61 BZ09DT1Healthcare Trust of America Holdings LP 3.1%2/15/30 $8,273 0.000% %HTA30 42225UAG9 US42225UAG94 BK5W8R3FHLG 30YR 4.0% 04/01/2043#G07345 $8,268 0.000% 3128M9P63 US3128M9P633Discover Financial Services 4.1% 2/9/27 $8,266 0.000% %DFS27 254709AM0 US254709AM01 BYNHPL1T-Mobile U.S.A., Inc. 4.375% 4/15/40 $8,238 0.000% %TMUS40 87264AAX3 US87264AAX37 BMW1GL7


500 Salem Street


74

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLLenovo Group Ltd. 5.875% 4/24/25 (Reg. S) $8,192 0.000% %LENO25S XS2125052261 BMB2GF5Dell International LLC/EMC Corp. 5.85% 7/15/25 $8,173 0.000% %DELL25 24703TAC0 US24703TAC09 BL97D09Plains All American Pipeline LP/PAA Finance Corp.3.55% 12/15/29 $8,138 0.000% %PAA29 72650RBM3 US72650RBM34 BK6V1G9FNMA 30YR 3.5% 02/01/2048#BH9277 $8,089 0.000% 3140GYJX8 US3140GYJX82FNMA 30YR 5.0% 11/01/2044#AL7307 $8,066 0.000% 3138EQDM1 US3138EQDM12MPLX LP 4.8% 2/15/29 $8,059 0.000% %MPLX29 55336VAS9 US55336VAS97 BYW3N72Discover Bank 3.35% 2/6/23 $8,035 0.000% %DFS223 25466AAK7 US25466AAK79 BFWSS24Piedmont Operating Partnership LP 2.75% 4/1/32 $8,032 0.000% %PDM32 720198AF7 US720198AF73 BNZGVP5JPMorgan Chase Commercial Mortgage SecuritiesTrust Series 2018-WPT Class DFX, 5.3503% 7/5/33 $8,029 0.000% 46645WBE2 US46645WBE21Venezuelan Republic 11.95% 8/5/31 (Reg. S) $8,025 0.000% %VZA31 USP17625AD98 B6QHPC3Air Lease Corp. 2.25% 1/15/23 $8,016 0.000% %AL0123 00914AAD4 US00914AAD46 BK7CQV1FHLG 30YR 4% 06/45#G60179 $8,004 0.000% 31335AFU7 US31335AFU79GS Mortgage Securities Trust Series 2011-GC5 ClassA/S, 5.209% 8/10/44 $7,961 0.000% 36191YAE8 US36191YAE86FNMA 3.5% 07/32#BM3929 $7,939 0.000% 3140J8LK7 US3140J8LK77Fannie Mae Series 2019-67 Class SA, 6.050% - 1month U.S. LIBOR 5.964% 11/25/49 $7,915 0.000% 3136B64Q3 US3136B64Q37CBOT Long Term U.S. Treasury Bond Contracts(United States) $7,899 0.000% USZ1Georgia Bank Joint Stock Co. 11.125% (Reg. S) $7,885 0.000% %GEBG99S XS1970667769 BZ016Q5FHLG 30YR 4% 11/42#G60488 $7,849 0.000% 31335ARH3 US31335ARH31GNII II 4.00% 11/40 #004853 $7,845 0.000% 36202FMA1 US36202FMA11Verizon Communications, Inc. 3% 3/22/27 $7,835 0.000% %VZ327 92343VFF6 US92343VFF67 BLB7G19FHLG 30YR 2.5% 10/01/2050#SD0450 $7,826 0.000% 3132DMQB4 US3132DMQB45Islamic Republic of Pakistan 8.25% 4/15/24 $7,813 0.000% %PKST24A 695847AK9 US695847AK91 BLP5868AT&T, Inc. 4.9% 6/15/42 $7,796 0.000% %T0642 00206RJH6 US00206RJH66 BJ11MM0Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series2021-1A Class A13R, 3 month U.S. LIBOR + 1.250%1.3761% 1/15/34 $7,789 0.000% 27830BBN3 US27830BBN38Western Gas Partners LP 4.75% 8/15/28 $7,783 0.000% %WES828 958254AK0 US958254AK08 BFXKXC4Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2018-159 Class F, 1 month U.S.LIBOR + 0.350% 0.4374% 11/20/48 $7,740 0.000% 38381AZN9 US38381AZN98RMF Buyout Issuance Trust Series 2020-1 Class A,2.1582% 2/25/30 $7,736 0.000% 74968QAA5 US74968QAA58FHLG 20YR 3.5% 10/01/2034#C91793 $7,722 0.000% 3128P77E7 US3128P77E71 BYSRSB7OCP SA 4.5% 10/22/25 $7,715 0.000% %OCPM25A 67091TAC9 US67091TAC99 BWX1XP9


500 Salem Street


75

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLAjax Mortgage Loan Trust Series 2021-C Class A,2.115% 1/25/61 $7,711 0.000% 009733AA4 US009733AA45GNII II 4% 06/20/2049#MA5986 $7,711 0.000% 36179UUK6 US36179UUK68GNMA 30YR 4% 04/15/2046#784232 $7,695 0.000% 3622A2VZ2 US3622A2VZ21GNII II 4% 12/47#MA4901 $7,683 0.000% 36179TNS0 US36179TNS05Sultanate of Oman 6.25% 1/25/31 $7,662 0.000% %OMAN31A 68205LAS2 US68205LAS25 BMYBVB0Fannie Mae Series 2010-95 Class ZC, 5% 9/25/40 $7,650 0.000% 31398NFC3 US31398NFC39COMM Mortgage Trust sequential payer Series2014-CR18 Class A5, 3.828% 7/15/47 $7,648 0.000% 12632QAX1 US12632QAX16Sultanate of Oman 5.375% 3/8/27 $7,630 0.000% %OMA327A 682051AE7 US682051AE72 BDH3Q15CIT Group, Inc. 3.929% 6/19/24 $7,623 0.000% %CIT624 125581HA9 US125581HA94 BN2X3D1MEGlobal Canada, Inc. 5% 5/18/25 $7,595 0.000% %EQPT25A 58518N2B7 US58518N2B76 BMFHGX4Energy Transfer LP 4.2% 9/15/23 $7,589 0.000% %ETP923 29278NAC7 US29278NAC74 BDFY0F2Credit Suisse Mortgage Trust Series 2018-SITEClass B, 4.5349% 4/15/36 $7,568 0.000% 12690CAE3 US12690CAE30Alfa Bond Issuance PLC 6.95% (Reg. S) $7,525 0.000% %ALFAR99 XS1760786340 BD71TQ5KazMunaiGaz National Co. 4.75% 4/24/25 $7,473 0.000% %KZOKZ25 48667QAR6 US48667QAR65 BFM7CJ6Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2014-25 Class HC, 3% 2/20/44 $7,428 0.000% 38379AEF3 US38379AEF30Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 2018-13 Class Q,3% 4/20/47 $7,416 0.000% 38380UVE0 US38380UVE09LIFE Mortgage Trust floater Series 2021-BMR ClassE, 1 month U.S. LIBOR + 1.750% 1.834% 3/15/38 $7,410 0.000% 53218CAJ9 US53218CAJ99FNMA 3.0% 08/45#AS5634 $7,404 0.000% 3138WFHL3 US3138WFHL36O’Reilly Automotive, Inc. 4.2% 4/1/30 $7,383 0.000% %ORLY30 67103HAJ6 US67103HAJ68 BLPMSC5Comcast Corp. 3.9% 3/1/38 $7,365 0.000% %CMCS38 20030NCJ8 US20030NCJ81 BFY1N04Credit Suisse Group AG 4.55% 4/17/26 $7,340 0.000% %CS426 225433AR2 US225433AR25 BYWJPN0Ovintiv, Inc. 5.15% 11/15/41 $7,339 0.000% %ECACN41 292505AK0 US292505AK09 B40MFM0Medco Oak Tree Pte Ltd. 7.375% 5/14/26 $7,334 0.000% %MEDC26A 58405FAA3 US58405FAA30 BJLQZQ0Essex Portfolio LP 3.875% 5/1/24 $7,331 0.000% %ESS24 29717PAN7 US29717PAN78 BQ0Q9R9Moroccan Kingdom 4% 12/15/50 $7,310 0.000% %MORC50A 617726AM6 US617726AM65 BMQ84B0FNMA 30YR 3.5% 01/01/2048#BH7106 $7,304 0.000% 3140GV3Q6 US3140GV3Q64Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2019-23 Class NF, 1 month U.S.LIBOR + 0.450% 0.5374% 2/20/49 $7,295 0.000% 38381RQS1 US38381RQS12Benchmark Mortgage Trust Series 2020-B18 Class XA,1.9183% 7/15/53 $7,294 0.000% 08163AAF0 US08163AAF03FNMA 30YR 4% 02/01/2049#CA3129 $7,294 0.000% 3140QAPP9 US3140QAPP98


500 Salem Street


76

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLAbu Dhabi National Energy Co. PJSC 4.875% 4/23/30 $7,253 0.000% %TAQ430A 00388WAG6 US00388WAG69 BFZYKG7GNII II 4.0% 06/20/2045#MA2893 $7,251 0.000% 36179RGA1 US36179RGA14Lukoil Securities BV 3.875% 5/6/30 $7,240 0.000% %LUKO30A 54988LAB2 US54988LAB27 BJP44P2FHLG 30YR 3.5% 02/01/2048#Q54334 $7,230 0.000% 3132XWY88 US3132XWY884FNMA 30YR 2% 07/01/2050#FM3897 $7,200 0.000% 3140X7KK4 US3140X7KK47Morgan Stanley Capital I Trust Series 2019-MEADClass B, 3.283% 11/10/36 $7,195 0.000% 61771LAE2 US61771LAE20Jordanian Kingdom 7.375% 10/10/47 $7,191 0.000% %JOR47A 418097AJ0 US418097AJ07 BF032R4Aerovias de Mexico SA de CV 7% 2/5/25 $7,182 0.000% %AERM25A 008065AD6 US008065AD67 BJN6TY4FHLG 30YR 3% 07/01/2043#V80168 $7,165 0.000% 3132L5FH1 US3132L5FH19Gabonese Republic 6.625% 2/6/31 $7,161 0.000% %GABO31A 362420AD3 US362420AD35 BKM0ZN5Moroccan Kingdom 3% 12/15/32 $7,156 0.000% %MORO32A 617726AL8 US617726AL82 BN459V5FHLG 15YR 2.5% 12/31#ZK8422 $7,132 0.000% 3131XCLB1 US3131XCLB15FHLG 30YR 4.5% 12/01/2048#G61821 $7,075 0.000% 31335CAW4 US31335CAW47Corporacion Nacional del Cobre de Chile (Codelco)3% 9/30/29 $7,050 0.000% %CDEL29A 21987BAZ1 US21987BAZ13 BKRS8N5U.S. Treasury Bonds 2.5% 2/15/45 $6,886 0.000% 912810RK6 US912810RK60 BVVT273FHLG 30YR 4% 01/01/2049#ZA6262 $6,858 0.000% 31329P5X7 US31329P5X76FHLG 30YR 4% 12/01/2047#G61305 $6,846 0.000% 31335BNW2 US31335BNW27FNMA 30YR 3.5% 07/01/2046#BC1216 $6,818 0.000% 3140EVK63 US3140EVK631Morgan Stanley Capital I Trust Series 2019-MEADClass C, 3.283% 11/10/36 $6,814 0.000% 61771LAG7 US61771LAG77Lebanese Republic 5.8% 12/31/49 $6,809 0.000% %LEBA20S XS1052421150 BLG3786CIM Retail Portfolio Trust floater Series2021-RETL Class C, 1 month U.S. LIBOR + 2.300%2.384% 8/15/36 $6,794 0.000% 12566BAL0 US12566BAL09FNMA 4.00% 1/41 #AB2079 $6,783 0.000% 31416XJZ4 US31416XJZ42FNMA 30YR 4% 05/47#BM1277 $6,774 0.000% 3140J5M30 US3140J5M306Oschadbank Via SSB #1 PLC 9.375% 3/10/23 $6,738 0.000% %OSC323 XS1273034014 BYQK9K4Corporate Office Properties LP 2.75% 4/15/31 $6,705 0.000% %OFC31 22003BAM8 US22003BAM81 BMTYMJ9FNMA 30YR 4.0% 03/01/2045#AL6541 $6,700 0.000% 3138EPHT4 US3138EPHT46FHLG 30YR 4% 02/01/2045#G07949 $6,688 0.000% 3128MAEW5 US3128MAEW50AutoZone, Inc. 3.625% 4/15/25 $6,688 0.000% %AZO25 053332AY8 US053332AY81 BK8TZ47Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 2017-153 ClassGA, 3% 9/20/47 $6,665 0.000% 38380HC42 US38380HC425FNMA 30YR 4.5% 06/01/2047#BE3663 $6,664 0.000% 3140FPB99 US3140FPB993Liberty Mutual Group, Inc. 3.951% 10/15/50 $6,658 0.000% %LIBT50A 53079EBJ2 US53079EBJ29 BKMH7Z2Ginnie Mae guaranteed REMIC pass-thru certificates


500 Salem Street


77

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLSeries 2014-5 Class A, 3% 1/20/44 $6,615 0.000% 38376MAY3 US38376MAY30Duke Realty LP 3.75% 12/1/24 $6,607 0.000% %DRE24 26441YAY3 US26441YAY32 BSNBKF0FNMA 30YR 4% 10/01/2046#BC4754 $6,600 0.000% 3140F0H80 US3140F0H806McDonald’s Corp. 4.2% 4/1/50 $6,591 0.000% %MCD50 58013MFR0 US58013MFR07 BLD6K89FHLG 30YR 3.5% 03/01/2048#Q54900 $6,589 0.000% 3132XXNS4 US3132XXNS42Morgan Stanley 4.1% 5/22/23 $6,586 0.000% %MS523 61747YDU6 US61747YDU64 B9WG9Z6Energy Transfer LP 4.25% 3/15/23 $6,572 0.000% %ETP123 29278NAL7 US29278NAL73 BJXMVG8FNMA 20YR 4.0% 11/01/2031#MA0908 $6,528 0.000% 31418AAJ7 US31418AAJ79GNII II 4% 05/20/2048#MA5192 $6,524 0.000% 36179TXV2 US36179TXV24Benchmark Mortgage Trust Series 2019-B14 Class XA,0.9101% 12/15/62 $6,503 0.000% 08162YAK8 US08162YAK82FNMA 30YR 4% 03/01/2046#BC0286 $6,502 0.000% 3140EUJ83 US3140EUJ833Blackbird Capital Aircraft Series 2016-1A ClassAA, 2.487% 12/16/41 $6,485 0.000% 09228YAA0 US09228YAA01Welltower, Inc. 4% 6/1/25 $6,480 0.000% %HCN625 42217KBF2 US42217KBF21 BY6Z910Intercontinental Exchange, Inc. 3.75% 12/1/25 $6,444 0.000% %ICE25 45866FAD6 US45866FAD69 BZ1MY18FNMA 30YR 4.0% 11/01/2040#AB1801 $6,435 0.000% 31416XAB6 US31416XAB64FHLG 20YR 3% 06/01/2033#K90632 $6,423 0.000% 3132J2VZ3 US3132J2VZ30FHLG 20YR 4.0% 06/01/33#G30718 $6,414 0.000% 3132J4AU3 US3132J4AU38Indika Energy Capital III Pte. Ltd. 5.875% 11/9/24 $6,413 0.000% %INDY24A 45569FAA2 US45569FAA21 BDG1375Verizon Communications, Inc. 5.012% 4/15/49 $6,408 0.000% %VZ49 92343VDS0 US92343VDS07 BDFLJP6FNMA 30YR 4% 04/01/2048#BM3700 $6,404 0.000% 3140J8DE0 US3140J8DE00Retail Opportunity Investments Partnership LP 4%12/15/24 $6,394 0.000% %ROIC24 76132FAB3 US76132FAB31 BM94P56FNMA 30YR 4.0% 01/01/2042#AJ5572 $6,341 0.000% 3138AXFN6 US3138AXFN63Realty Income Corp. 3.25% 1/15/31 $6,336 0.000% %O31 756109AX2 US756109AX24 BMTQ2Q2FHLG 30YR 3.5% 03/01/2046#G60440 $6,320 0.000% 31335APZ5 US31335APZ56 BYP8C99Banco de Reservas de La Republica Dominicana 7%2/1/23 $6,314 0.000% %BRSV23A 059566AA7 US059566AA75 B94SVM1Indonesian Republic 6.625% 2/17/37 $6,299 0.000% %IND37A 455780AX4 US455780AX45 B1RDF92FNMA 30YR 2% 05/51#FM7750 $6,260 0.000% 3140XBTG5 US3140XBTG53Arab Republic of Egypt 8.7002% 3/1/49 $6,247 0.000% %EGYP49A 03846JW89 US03846JW891 BGSGVZ3Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2014-H05 Class FB, 1 month U.S.LIBOR + 0.600% 0.6896% 12/20/63 $6,239 0.000% 38375UDY3 US38375UDY38FNMA 4.50% 4/39 #AB0042 $6,225 0.000% 31416VBL7 US31416VBL71FNMA 30YR 4.5% 07/47#BE3749 $6,215 0.000% 3140FPEX3 US3140FPEX30Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2017-186 Class HK, 3% 11/16/45 $6,212 0.000% 38380T6K7 US38380T6K78


500 Salem Street


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 20YR 4.0% 08/01/2032#AL6039 $6,106 0.000% 3138ENV97 US3138ENV977LIFE Mortgage Trust floater Series 2021-BMR ClassC, 1 month U.S. LIBOR + 1.100% 1.184% 3/15/38 $6,094 0.000% 53218CAE0 US53218CAE03FNMA 4.00% 2/41 #AE6390 $6,090 0.000% 31419HC42 US31419HC428MasterCard, Inc. 3.35% 3/26/30 $6,078 0.000% %MA30 57636QAP9 US57636QAP90 BMH9HD5The Williams Companies, Inc. 3.9% 1/15/25 $6,076 0.000% %WPZ125 96950FAQ7 US96950FAQ72 BNKMVQ9Ginnie Mae guaranteed REMIC pass-thru certificatessequential payer Series 2010-160 Class DY, 4%12/20/40 $6,067 0.000% 38377RLW3 US38377RLW33Berkshire Hathaway Energy Co. 3.7% 7/15/30 $6,063 0.000% %BRKH30 084659AV3 US084659AV35 BN6JKF6FNMA 20YR 3% 03/01/2037#MA2922 $6,030 0.000% 31418CG81 US31418CG810Democratic Socialist Republic of Sri Lanka 7.55%3/28/30 $5,991 0.000% %SRIL30A 85227SBB1 US85227SBB16 BKFHSP6GNII II 3% 06/20/2050#MA6710 $5,952 0.000% 36179VN30 US36179VN306FNMA 30YR 3.5% 04/01/2046#BC0824 $5,941 0.000% 3140EU4J5 US3140EU4J51FHLG 20YR 3% 11/01/2033#G30872 $5,908 0.000% 3132J4FN4 US3132J4FN40Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2013-149 Class MA, 2.5% 5/20/40 $5,894 0.000% 38378UQY6 US38378UQY63GNII II 4.0% 10/20/2044#MA2304 $5,876 0.000% 36179QRZ6 US36179QRZ62OEC Finance Ltd. 7.5% pay-in-kind $5,854 0.000% %OEC99A 67614CAG5 US67614CAG50GNMA II 4% 03/20/2047#784299 $5,843 0.000% 3622A2X49 US3622A2X496Teva Pharmaceutical Finance Co. BV 3.65% 11/10/21 $5,805 0.000% %TEV1121 88165FAF9 US88165FAF99 B4MCGL4Viatris, Inc. 1.65% 6/22/25 $5,724 0.000% %UPJO25A 91533BAB6 US91533BAB62 BL57WL7FNMA 30YR 4% 06/01/2046#BC1130 $5,716 0.000% 3140EVHG5 US3140EVHG56VEREIT Operating Partnership LP 2.85% 12/15/32 $5,710 0.000% %VER32 92340LAG4 US92340LAG41 BN0T1H1Petroleos Mexicanos 8.625% 12/1/23 $5,708 0.000% %PEMEX23 706451BC4 US706451BC43 B0Z2VT6FNMA 30YR 5% 02/01/2035#AB0067 $5,692 0.000% 31416VCD4 US31416VCD47Air Lease Corp. 3% 9/15/23 $5,652 0.000% %AL23 00912XAT1 US00912XAT19 BYXYFH8Ventas Realty LP 4.375% 2/1/45 $5,630 0.000% %VTR45 92277GAF4 US92277GAF46 BV9CM96Angola Republic 9.375% 5/8/48 $5,588 0.000% %ANGO48A 035198AC4 US035198AC46 BG206D4FNMA 20YR 3% 03/01/2037#AS9292 $5,587 0.000% 3138WKKE4 US3138WKKE41Axtel S.A.B. de CV 6.375% 11/14/24 $5,567 0.000% %AXTE24A 05462GAJ3 US05462GAJ31 BF185R9Morgan Stanley Capital I Trust Series 2021-L6Class XA, 1.3556% 6/15/54 $5,539 0.000% 61692CBK3 US61692CBK36Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 2017-182 ClassKA, 3% 10/20/47 $5,507 0.000% 38380UAT0 US38380UAT07GS Mortgage Securities Trust Series 2013-GC16Class A/S, 4.649% 11/10/46 $5,473 0.000% 36248GAH3 US36248GAH39


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLProgressive Corp. 3.2% 3/26/30 $5,400 0.000% %PGR30 743315AW3 US743315AW31 BLQ1VR7Moroccan Kingdom 5.5% 12/11/42 $5,378 0.000% %MORO42A 617726AG9 US617726AG97 B8F69J0Western Gas Partners LP 3.95% 6/1/25 $5,370 0.000% %WES25 958254AE4 US958254AE48 BYLHT44FHLG 30YR 4% 11/01/2042#G07368 $5,333 0.000% 3128M9QV7 US3128M9QV77Exelon Corp. 4.7% 4/15/50 $5,320 0.000% %EXC2050 30161NAY7 US30161NAY76 BLTZKK2FNMA 30YR 4.5% #BM4385 08/48 $5,277 0.000% 3140J82T9 US3140J82T95FNMA 30YR 5.5% 11/01/2048#CA2656 $5,243 0.000% 3140Q95S8 US3140Q95S84FNMA 30YR 4% 03/01/2046#AL8321 $5,188 0.000% 3138ETG75 US3138ETG751FNMA 30YR 3.5% 04/01/2046#BC0791 $5,186 0.000% 3140EU2Z1 US3140EU2Z12BAMLL Commercial Mortgage Securities Trust Series2019-BPR Class BNM, 3.465% 11/5/32 $5,153 0.000% 05492PAE8 US05492PAE88Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2019-98 Class FN, 1 month U.S.LIBOR + 0.500% 0.5874% 8/20/49 $5,151 0.000% 38381YCS1 US38381YCS19Deere & Co. 2.75% 4/15/25 $5,143 0.000% %DE425 244199BH7 US244199BH70 BLR8T17Credit Suisse Mortgage Trust Series 2018-SITEClass C, 4.9414% 4/15/36 $5,072 0.000% 12690CAG8 US12690CAG87FHLG 30YR 4.5% 06/01/2047#Q48759 $5,053 0.000% 3132WNWV0 US3132WNWV07AASET Trust Series 2019-2 Class B, 4.458% 10/16/39 $5,050 0.000% 00038RAB2 US00038RAB24Mid-America Apartments LP 4% 11/15/25 $5,043 0.000% %MAA25 59523UAM9 US59523UAM99 BYZG709FHLG 30YR 3% 12/01/2042#C04320 $5,022 0.000% 31292LYR0 US31292LYR04AutoNation, Inc. 4.75% 6/1/30 $5,005 0.000% %AN30 05329WAQ5 US05329WAQ50 BMG4PG0California Gen. Oblig. Series 2009, 7.35% 11/1/39 $4,991 0.000% 13063BBU5 US13063BBU52FHLG 15YR 2.5% 08/01/2031#V61273 $4,948 0.000% 3132KFMW9 US3132KFMW93FNMA 4.00% 11/41 #AB3872 $4,945 0.000% 31417AJS9 US31417AJS96Molson Coors Beverage Co. 5% 5/1/42 $4,878 0.000% %TAP542 60871RAD2 US60871RAD26 B82MC25Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2018-77 Class FA, 1 month U.S.LIBOR + 0.300% 0.3874% 6/20/48 $4,869 0.000% 38380XLH8 US38380XLH88FNMA 15YR 2.5% 08/01/2031#AS7695 $4,859 0.000% 3138WHRR5 US3138WHRR51Retail Opportunity Investments Partnership LP 5%12/15/23 $4,856 0.000% %ROIC23 76132FAA5 US76132FAA57 BH550R5FHLG 30YR 4% 07/01/2042#Q09230 $4,814 0.000% 3132GUST2 US3132GUST24HSBC Holdings PLC 5.25% 3/14/44 $4,801 0.000% %HSBC44 404280AQ2 US404280AQ21 BKJL6Z0Benchmark Mortgage Trust sequential payer Series2018-B4 Class A5, 4.121% 7/15/51 $4,780 0.000% 08161HAF7 US08161HAF73Freddie Mac Series 2017-4683 Class LM, 3% 5/15/47 $4,715 0.000% 3137BYKR0 US3137BYKR04Freddie Mac Multi-family Structured pass-thrucertificates Series 4386 Class AZ, 4.5% 11/15/40 $4,699 0.000% 3137BE3R3 US3137BE3R33


500 Salem Street


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLJPMorgan Chase Commercial Mortgage SecuritiesTrust Series 2018-WPT Class CFX, 4.9498% 7/5/33 $4,695 0.000% 46645WBC6 US46645WBC64FNMA 20YR 3% 01/01/2037#MA2866 $4,686 0.000% 31418CFG4 US31418CFG42Goldman Sachs Group, Inc. 4.411% 4/23/39 $4,676 0.000% %GS439 38141GXA7 US38141GXA74 BFXTLH2GNII II 4% 06/47#MA4511 $4,673 0.000% 36179TAL9 US36179TAL98Consolidated Edison Co. of New York, Inc. 3.35%4/1/30 $4,669 0.000% %ED30 209111FX6 US209111FX66 BK8TZ69FNMA 20YR 4.5% 06/01/2039#FM1045 $4,667 0.000% 3140X4ET9 US3140X4ET98Bank of America Corp. 4.45% 3/3/26 $4,621 0.000% %BACP26 06051GFU8 US06051GFU85 BYYD0K2FNMA 4.5% 3/43 #AL3429 $4,615 0.000% 3138EKY33 US3138EKY332FNMA 30YR 4% 04/01/2046#BC0796 $4,583 0.000% 3140EU3E7 US3140EU3E73FNMA 30YR 3.5% 03/01/2048#CA1686 $4,562 0.000% 3140Q82U8 US3140Q82U85Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H20 Class FA, 1 month U.S.LIBOR + 0.550% 0.6396% 9/20/61 $4,545 0.000% 38375BNA6 US38375BNA60Dominican Republic 6.5% 2/15/48 $4,540 0.000% %DOMR48A 25714PDW5 US25714PDW59 BF2FTM2VEREIT Operating Partnership LP 2.2% 6/15/28 $4,521 0.000% 92340LAH2 US92340LAH24 BN0T1D7FNMA 30YR 4.5% 03/01/2046#BM4548 $4,515 0.000% 3140J9BS9 US3140J9BS96Emirate of Dubai 3.9% 9/9/50 (Reg. S) $4,510 0.000% %DUGB50S XS2226973522 BNBXNP4FNMA 30YR 4% 07/01/2047#BE8819 $4,507 0.000% 3140FUYR3 US3140FUYR37GNMA 4.50% 3/41 #783295 $4,506 0.000% 36241LUU8 US36241LUU87FHLG 30YR 2% 05/51#QC1514 $4,493 0.000% 3133AKVF4 US3133AKVF48Petroleos Mexicanos 5.35% 2/12/28 $4,463 0.000% %PEMEX28 71654QCK6 US71654QCK67 BJ1MRN9Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2018-78 Class AF, 1 month U.S.LIBOR + 0.300% 0.3874% 6/20/48 $4,453 0.000% 38380XFF9 US38380XFF96Healthpeak Properties, Inc. 3.5% 7/15/29 $4,435 0.000% %HCP29 40414LAR0 US40414LAR06 BKDK998JPMorgan Chase & Co. 4.203% 7/23/29 $4,426 0.000% %JPM0729 46647PAV8 US46647PAV85 BFMW7H4Citigroup Commercial Mortgage Trust Series2019-GC41 Class XA, 1.1851% 8/10/56 $4,407 0.000% 17328FBB0 US17328FBB04FNMA 20YR 3% 02/01/2037#MA2897 $4,397 0.000% 31418CGF5 US31418CGF59Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2014-21 Class HA, 3% 2/20/44 $4,384 0.000% 38378Y2R9 US38378Y2R95GS Mortgage Securities Trust floater Series2021-IP Class B, 1 month U.S. LIBOR + 1.150% 1.35%10/15/36 $4,363 0.000% 36262MAC2 US36262MAC29FNMA 30YR 2% 07/51#BQ1010 $4,352 0.000% 3140KLDQ2 US3140KLDQ29The Home Depot, Inc. 2.5% 4/15/27 $4,321 0.000% %HD0427 437076CA8 US437076CA82 BK8TZC5FHLG 30YR 3.5% 01/01/2044#G60271 $4,320 0.000% 31335AJQ2 US31335AJQ22


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLMasterCard, Inc. 3.3% 3/26/27 $4,317 0.000% %MA327 57636QAR5 US57636QAR56 BMH9M74Western Gas Partners LP 4.5% 3/1/28 $4,312 0.000% %WES328 958254AH7 US958254AH78 BFXHLH6Altria Group, Inc. 5.95% 2/14/49 $4,300 0.000% %MO249 02209SBF9 US02209SBF92 BJ2W9Y3FHLG 20YR 3% 06/01/2033#K90806 $4,299 0.000% 3132J23P6 US3132J23P67COMM Mortgage Trust Series 2012-CR1 Class AM,3.912% 5/15/45 $4,272 0.000% 12624BAF3 US12624BAF31FNMA 20YR 3.5% 01/01/2034#AS1611 $4,257 0.000% 3138WAYH4 US3138WAYH44FHLG 30YR 3.5% 04/01/2046#Q40046 $4,246 0.000% 3132WDBQ6 US3132WDBQ68FHLG 4.00% 10/41 #Q04092 $4,236 0.000% 3132GKF92 US3132GKF925Thomson Reuters Corp. 3.85% 9/29/24 $4,213 0.000% %TRICN24 884903BT1 US884903BT19 BR17B83FNMA 30YR 3.5% 12/46#BC9077 $4,205 0.000% 3140F5CP6 US3140F5CP66FNMA 30YR 4.5% 10/01/2044#AS3651 $4,189 0.000% 3138WDBV2 US3138WDBV24Equitable Holdings, Inc. 3.9% 4/20/23 $4,173 0.000% %EQH23 054561AC9 US054561AC95 BJ0CF58CVS Health Corp. 3% 8/15/26 $4,128 0.000% %CVS826 126650DF4 US126650DF48 BK5R458General Mills, Inc. 2.875% 4/15/30 $4,107 0.000% %GIS430 370334CL6 US370334CL64 BM6QSF6JPMorgan Chase Commercial Mortgage SecuritiesTrust Series 2012-CBX Class A/S, 4.2707% 6/15/45 $4,098 0.000% 46637WAF0 US46637WAF05FNMA 4.00% 10/41 #AJ4047 $4,097 0.000% 3138AVP90 US3138AVP905FNMA 30YR 2% 07/51#BT1835 $4,094 0.000% 3140LQBD1 US3140LQBD12FHLG 30YR 3.5% 04/01/2046#Q40085 $4,076 0.000% 3132WDCX0 US3132WDCX01American Homes 4 Rent LP 2.375% 7/15/31 $4,071 0.000% %AMH31 02666TAC1 US02666TAC18 BNKJ1L5FNMA 30YR 3.5% 07/01/2046#AL9515 $4,017 0.000% 3138ERSD3 US3138ERSD31Silknet JSC 11% 4/2/24 (Reg. S) $3,965 0.000% %SILN24S XS1843443430 BJSFBC8PepsiCo, Inc. 2.625% 3/19/27 $3,960 0.000% %PEP327 713448ER5 US713448ER52 BLPTFR0GNII II 3% 05/20/2050#MA6656 $3,938 0.000% 36179VMD9 US36179VMD90Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2017-161 Class DF, 1 month U.S.LIBOR + 0.250% 0.3374% 10/20/47 $3,934 0.000% 38380HZJ4 US38380HZJ49OEC Finance Ltd. 7.125% 12/26/46 pay-in-kind $3,933 0.000% OEC42A 67614CAF7 US67614CAF77 BMBRC29BANK sequential payer Series 2019-BN21 Class A5,2.851% 10/17/52 $3,926 0.000% 06540BBD0 US06540BBD01FNMA 30YR 3.0% 01/01/2043#AL3181 $3,903 0.000% 3138EKRB3 US3138EKRB31FHLG 30YR 4.5% 01/42#G60517 $3,902 0.000% 31335ASE9 US31335ASE90FHLG 15YR 2.5% 03/01/2033#G18680 $3,876 0.000% 3128MMXJ7 US3128MMXJ76Healthpeak Properties, Inc. 3.25% 7/15/26 $3,845 0.000% %HCP26 40414LAQ2 US40414LAQ23 BKDK9B0Fannie Mae floater Series 2018-38 Class FG, 1month U.S. LIBOR + 0.300% 0.386% 6/25/48 $3,837 0.000% 3136B1T20 US3136B1T205FNMA 30YR 4.0% 02/01/2042#AJ5602 $3,837 0.000% 3138AXGL9 US3138AXGL98Ginnie Mae guaranteed REMIC pass-thru certificates


500 Salem Street


82

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLfloater Series 2018-65 Class DF, 1 month U.S.LIBOR + 0.300% 0.3874% 5/20/48 $3,831 0.000% 38380WJ75 US38380WJ759FNMA 3.50% 10/42 #AP9735 $3,826 0.000% 3138MDY97 US3138MDY975FHLG 4.00% 1/41 #A96413 $3,823 0.000% 312945DS4 US312945DS44 B8BHRF9FHLG 15YR 3% 04/01/2034#G16829 $3,822 0.000% 3128MFY28 US3128MFY286Fannie Mae Series 2017-74 Class SH, 6.200% - 1month U.S. LIBOR 6.114% 10/25/47 $3,779 0.000% 3136AX5D3 US3136AX5D31FHLG 30YR 4.5% 05/01/2047#Q48095 $3,774 0.000% 3132WM7H1 US3132WM7H15FHLG 4.00% 2/41 #A97040 $3,756 0.000% 312945ZD3 US312945ZD37Petroleos de Venezuela SA 6% 11/15/26 $3,755 0.000% %PDVS26A 716558AF8 US716558AF83 BJ2S996El Salvador Republic 7.625% 2/1/41 $3,737 0.000% %ELS41A 283875AQ5 US283875AQ53 B3NS056Fannie Mae Series 2015-70 Class JC, 3% 10/25/45 $3,737 0.000% 3136AQCV0 US3136AQCV00State Street Corp. 2.825% 3/30/23 $3,720 0.000% %STT2023 857477BL6 US857477BL68 BKPSQN3FNMA 30YR 4% 07/01/2047#AS9968 $3,684 0.000% 3138WLCE1 US3138WLCE16BX Trust floater, sequential payer Series 2019-XLClass A, 1 month U.S. LIBOR + 0.920% 1.004%10/15/36 $3,674 0.000% 056054AA7 US056054AA70Fannie Mae Series 2010-150 Class ZC, 4.75% 1/25/41 $3,660 0.000% 31397QAV0 US31397QAV05State Street Corp. 2.901% 3/30/26 $3,660 0.000% %ST26 857477BM4 US857477BM42 BMZ0NQ5SoFi Consumer Loan Program Trust Series 2019-4Class A, 2.45% 8/25/28 $3,604 0.000% 83405BAA0 US83405BAA08Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H03 Class FA, 1 month U.S.LIBOR + 0.550% 0.6379% 3/20/60 $3,601 0.000% 38376XNT6 US38376XNT62GS Mortgage Securities Trust floater Series2021-IP Class C, 1 month U.S. LIBOR + 1.550% 1.8%10/15/36 $3,596 0.000% 36262MAE8 US36262MAE84Comcast Corp. 3.75% 4/1/40 $3,567 0.000% %CMCS440 20030NDH1 US20030NDH17 BMGWCS5California Gen. Oblig. Series 2010, 7.625% 3/1/40 $3,537 0.000% 13063BFR8 US13063BFR87FNMA 30YR 5.0% 07/01/2035#843431 $3,526 0.000% 31407XA84 US31407XA846FHLG 20YR 3.5% 08/01/2034#C91782 $3,493 0.000% 3128P76T5 US3128P76T59Comcast Corp. 3.1% 4/1/25 $3,493 0.000% %CMCA25 20030NDJ7 US20030NDJ72 BL549C8McDonald’s Corp. 3.3% 7/1/25 $3,489 0.000% %MCD725 58013MFN9 US58013MFN92 BLB1MD5FNMA 30YR 6.0% 01/01/2037#932030 $3,475 0.000% 31412QPP8 US31412QPP80FNMA 30YR 3.0% 05/01/2045#AS4972 $3,453 0.000% 3138WEQ28 US3138WEQ283Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2019-128 Class FH, 1 month U.S.LIBOR + 0.500% 0.5874% 10/20/49 $3,435 0.000% 38382AFL4 US38382AFL44FHLG 30YR 4% 02/48#G61343 $3,432 0.000% 31335BP42 US31335BP421


500 Salem Street


83

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 3.5% 03/01/2045#Q32008 $3,416 0.000% 3132QNGS2 US3132QNGS26El Salvador Republic 6.375% 1/18/27 $3,408 0.000% %ELSA27A 283875AS1 US283875AS10 BQT47R0GNMA 30YR 4.0% 12/15/2040#734089 $3,403 0.000% 3620AMRJ3 US3620AMRJ30FHLG 30YR 4.5% 05/01/2047#Q47935 $3,367 0.000% 3132WMY99 US3132WMY994FHLG 30YR 4% 11/47#Q52377 $3,346 0.000% 3132XUUB9 US3132XUUB94GNMA II 4% 04/20/2048#BG3507 $3,344 0.000% 3617GM3Q3 US3617GM3Q37GNII II 4.50% 6/41 #005082 $3,337 0.000% 36202FUF1 US36202FUF16Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 2010-158 ClassMS, 10.000% - 1 month U.S. LIBOR 9.8252% 12/20/40 $3,247 0.000% 38377RBW4 US38377RBW43Costa Rican Republic 7% 4/4/44 $3,247 0.000% %COST44A 221602AC9 US221602AC91 BLD3574OEC Finance Ltd. 4.375% 10/25/29 pay-in-kind $3,224 0.000% %OEC25A 67614CAD2 US67614CAD20Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series2007-12A Class B, 3 month U.S. LIBOR + 0.560%0.6979% 4/6/42 $3,207 0.000% 89413GAG3 US89413GAG38FHLG 4.50% 4/41 #A97945 $3,199 0.000% 312946ZJ8 US312946ZJ89FHLG 4.00% 4/42 #G06973 $3,176 0.000% 3128M9CJ9 US3128M9CJ95FHLG 30YR 4% 01/45#Q31029 $3,166 0.000% 3132QMEB3 US3132QMEB36FHLG 30YR 2.5% 08/01/2050#SD0430 $3,160 0.000% 3132DMPP4 US3132DMPP40FHLG 30YR 4.5% 10/01/2048#G67716 $3,150 0.000% 3132XCSD8 US3132XCSD80Zoetis, Inc. 3.25% 2/1/23 $3,110 0.000% %ZTS23 98978VAB9 US98978VAB99 BG3PT39FNMA 30YR 3.5% 01/01/2048#CA1053 $3,078 0.000% 3140Q8E35 US3140Q8E357FGLMC 30YR 3.5% 09/46#Q43176 $3,076 0.000% 3132WGQ67 US3132WGQ679GNII II 4.00% 10/41 #005280 $3,070 0.000% 36202F2M7 US36202F2M77FHLM 30YR 3.5% 05/01/2049#Q63646 $3,066 0.000% 3132VQBQ8 US3132VQBQ80AT&T, Inc. 4.45% 4/1/24 $3,062 0.000% %T424 00206RDC3 US00206RDC34 BD20MG8FNMA 30YR 4% 05/01/2048#BM3877 $3,061 0.000% 3140J8JX2 US3140J8JX27GNMA II 4% 04/20/2048#BG7744 $3,034 0.000% 3617GSS91 US3617GSS913DCP Midstream Operating LP 4.95% 4/1/22 $3,017 0.000% %DPM22 23311VAB3 US23311VAB36 B7RRM84FNMA 20YR 3% 11/01/2036#AS8355 $3,001 0.000% 3138WJH92 US3138WJH927Petroleos de Venezuela SA 6% 5/16/24 $2,998 0.000% %PDVS24A 716558AG6 US716558AG66 BP8RXD1FNMA 30YR 3.5% 4/1/43 #AT0648 $2,997 0.000% 3138WMWJ6 US3138WMWJ65Freddie Mac sequential payer Series 3871 Class KB,5.5% 6/15/41 $2,995 0.000% 3137AC7K9 US3137AC7K99Wells Fargo Commercial Mortgage Trust Series2018-C46 Class XA, 1.1013% 8/15/51 $2,990 0.000% 95001QAV3 US95001QAV32GNMA 30YR 3.5% 04/15/2043#783836 $2,987 0.000% 3622A2HM7 US3622A2HM73FNMA 30YR 1.5% 06/01/2051#CB0788 $2,978 0.000% 3140QK2W7 US3140QK2W77FHLG 30YR 4.5% 07/01/2047#Q49393 $2,977 0.000% 3132WPNK9 US3132WPNK90


500 Salem Street


84

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 4.00% 3/42 #AL1521 $2,975 0.000% 3138EHVP4 US3138EHVP42GNII II 4.00% 1/41 #004922 $2,972 0.000% 36202FPF7 US36202FPF70GNII II 4.50% 1/41 #004946 $2,969 0.000% 36202FP75 US36202FP759Duke Realty LP 3.25% 6/30/26 $2,968 0.000% %DRE26 26441YAZ0 US26441YAZ07 BD44FG9Kinder Morgan Energy Partners LP 6.55% 9/15/40 $2,954 0.000% %KMP940 494550BF2 US494550BF27 B3S4PJ8FNMA 30YR 4.5% 12/01/2048#BM5106 $2,954 0.000% 3140J9U82 US3140J9U822Bank of America Corp. 4.271% 7/23/29 $2,941 0.000% %BAC729 06051GHM4 US06051GHM42 BFM3F84GNMA 4.00% 10/41 #479494 $2,939 0.000% 36209RUT8 US36209RUT84FHLG 30YR 3.5% 06/01/2040#V81792 $2,922 0.000% 3132L67D7 US3132L67D72FNMA 30YR 3.0% 05/01/2043#AT2721 $2,918 0.000% 3138WQAX0 US3138WQAX02Bermuda Government 2.375% 8/20/30 $2,903 0.000% %BERM30A 085209AG9 US085209AG93 BMTV8S1FHLG 20YR 3% 06/01/2033#K90684 $2,900 0.000% 3132J2XM0 US3132J2XM09Guatemalan Republic 4.9% 6/1/30 $2,892 0.000% %GUAT30A 401494AQ2 US401494AQ29 BK0RLW9GNII II 3.50% 11/41 #005232 $2,890 0.000% 36202FY59 US36202FY595FNMA 30YR 4% 02/01/2046#BC0214 $2,887 0.000% 3140EUGY9 US3140EUGY98FHLG 4.50% 4/41 #A97942 $2,852 0.000% 312946ZF6 US312946ZF67 B85RZJ5FNMA 20YR 3.5% 01/01/2034#AS1612 $2,833 0.000% 3138WAYJ0 US3138WAYJ00FNMA 30YR 3.5% 05/01/2046#AS7241 $2,805 0.000% 3138WHBK7 US3138WHBK72FHLG 15YR 2.5% 07/01/2031#V61246 $2,791 0.000% 3132KFL34 US3132KFL3473M Co. 3.7% 4/15/50 $2,777 0.000% %MMM50 88579YBP5 US88579YBP51 BLD6L97Liberty Mutual Group, Inc. 4.25% 6/15/23 $2,775 0.000% %LIBM23A 53079EBE3 US53079EBE32 BBLGLZ5FNMA 30YR 5.5% 10/01/2048#CA2506 $2,752 0.000% 3140Q9YC1 US3140Q9YC19FNMA 30YR 5.5% 03/01/2049#BN5332 $2,735 0.000% 3140JM4S8 US3140JM4S80Colombian Republic 6.125% 1/18/41 $2,724 0.000% %COLOM41 195325BM6 US195325BM66 B512BZ1FHLG 20YR 3.0% 06/01/2033#C91709 $2,718 0.000% 3128P73S0 US3128P73S04Odebrecht Holdco Finance Ltd. 0% 9/10/58 $2,711 0.000% %OEC58A 67577TAA6 US67577TAA60 BMBRBZ5Fannie Mae Series 2020-13 Class A/S, 6.200% - 1month U.S. LIBOR 6.114% 8/25/48 $2,703 0.000% 3136B8ZV4 US3136B8ZV40Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H12 Class FA, 1 month U.S.LIBOR + 0.490% 0.5796% 2/20/61 $2,700 0.000% 38375BLS9 US38375BLS96FNMA 30YR 3.0% 02/01/2043#AB7767 $2,690 0.000% 31417ETZ4 US31417ETZ42FHLG 4.00% 2/41 #A96807 $2,689 0.000% 312945R42 US312945R422GNII II 4% 07/47#MA4587 $2,675 0.000% 36179TCY9 US36179TCY91COMM Mortgage Trust sequential payer Series2012=CR5 Class AM, 3.223% 12/10/45 $2,657 0.000% 12623SAJ9 US12623SAJ96FNMA 6.00% 8/37 #AE0265 $2,646 0.000% 31419AJK4 US31419AJK43FNMA 20YR 3% 05/01/2033#AT3000 $2,640 0.000% 3138WQKN1 US3138WQKN10Sapphire Aviation Finance Series 2020-1A Class B,


500 Salem Street


85

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOL4.335% 3/15/40 $2,627 0.000% 80307AAB5 US80307AAB52FNMA 30YR 3% 04/01/2046#AS7000 $2,594 0.000% 3138WGX66 US3138WGX664Fannie Mae floater Series 2017-36 Class FB, 1month U.S. LIBOR + 0.350% 0.436% 5/25/47 $2,591 0.000% 3136AWTD9 US3136AWTD96Freddie Mac Series 2017-4720 Class IO, 4% 9/15/47 $2,586 0.000% 3137FAZ43 US3137FAZ438FHLG 20YR 3.5% 05/01/2038#G31067 $2,584 0.000% 3132J4MR7 US3132J4MR703M Co. 2.65% 4/15/25 $2,581 0.000% %MMM425 88579YBM2 US88579YBM21 BLR7LP2FHLG 30YR 2% 07/51#QC4163 $2,571 0.000% 3133ANTU8 US3133ANTU81FNMA 4.00% 4/42 #AK8237 $2,567 0.000% 3138EDEK3 US3138EDEK34FHLG 20YR 3% 04/01/2033#K90336 $2,545 0.000% 3132J2LR2 US3132J2LR24FHLG 20YR 3% 04/01/2035#G30917 $2,536 0.000% 3132J4G37 US3132J4G376FNMA 30YR 3.5% 05/01/2043#AB9376 $2,526 0.000% 31417GM29 US31417GM290Kimberly-Clark Corp. 3.1% 3/26/30 $2,505 0.000% %KMB30 494368CB7 US494368CB71 BMGWDJ3Freddie Mac planned amortization class Series 3832Class PE, 5% 3/15/41 $2,504 0.000% 3137A7WV8 US3137A7WV85FNMA 20YR 3% 06/01/2033#AT6090 $2,501 0.000% 3138WTXU5 US3138WTXU54FNMA 30YR 4% 03/01/2039#AS2011 $2,484 0.000% 3138WBGV1 US3138WBGV13FNMA 30YR 3.0% 5/1/43 #AT2720 $2,480 0.000% 3138WQAW2 US3138WQAW29FNMA 20YR 3% 02/01/2037#AS8773 $2,477 0.000% 3138WJXB9 US3138WJXB91Post Apartment Homes LP 3.375% 12/1/22 $2,475 0.000% %PPS22 737415AL3 US737415AL35 B8Y52T9Marlette Funding Trust Series 2019-4A Class A,2.39% 12/17/29 $2,460 0.000% 57110AAA2 US57110AAA25Freddie Mac Multi-family Structured pass-thrucertificates floater Series 4795 Class FA, 1 monthU.S. LIBOR + 0.300% 0.3838% 5/15/48 $2,459 0.000% 3137F5PW3 US3137F5PW35FNMA 4.00% 10/41 #AB3687 $2,456 0.000% 31417ACZ0 US31417ACZ03GNMA 30YR 3.5% 02/15/2043#AD1736 $2,437 0.000% 36180C4V8 US36180C4V87FNMA 30YR 3.5% 06/01/2043#AB9671 $2,423 0.000% 31417GW93 US31417GW935FNMA 30YR 3.5% 07/01/2046#AZ1222 $2,410 0.000% 3138YSLC8 US3138YSLC83Freddie Mac Series 2933 Class ZM, 5.75% 2/15/35 $2,389 0.000% 31395MT74 US31395MT747FNMA 30YR 3.5% 08/01/2042#AL2266 $2,366 0.000% 3138EJQU5 US3138EJQU57Freddie Mac Series 3237 Class C, 5.5% 11/15/36 $2,358 0.000% 31397CDM8 US31397CDM82FNMA 30YR 3.5% 02/01/2047#AL9918 $2,357 0.000% 3138ESAU2 US3138ESAU21GNMA 30YR 4.5% 06/15/2041#366975 $2,339 0.000% 36204DT82 US36204DT828FNMA 30YR 3.0% 02/01/2043#AB8529 $2,325 0.000% 31417FPP7 US31417FPP70Morgan Stanley Capital I Trust floater Series2018-BOP Class C, 1 month U.S. LIBOR + 1.500%1.584% 8/15/33 $2,314 0.000% 61768FAJ9 US61768FAJ93FHLG 30YR 3.5% 12/01/2047#Q53034 $2,310 0.000% 3132XVLQ4 US3132XVLQ48


500 Salem Street


86

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLBanque Centrale de Tunisie 5.75% 1/30/25 $2,307 0.000% %BTUN25A 066716AH4 US066716AH49 BVSSF85GNII II 4.00% 9/40 #004800 $2,296 0.000% 36202FKM7 US36202FKM76GNII II 4.00% 12/41 #005259 $2,291 0.000% 36202FZY5 US36202FZY59Freddie Mac Series 2018-4765 Class IB, 4% 3/15/48 $2,288 0.000% 3137FEPF1 US3137FEPF11CVS Health Corp. 3.7% 3/9/23 $2,283 0.000% %CVS2023 126650CV0 US126650CV07 BF4JKN0FNMA 30YR 4.5% 02/01/2046#BM5199 $2,279 0.000% 3140J9X55 US3140J9X552FHLG 30YR 3.5% 04/01/2043#Q17646 $2,249 0.000% 3132J85G1 US3132J85G14Freddie Mac Series 4471 Class PA 4% 12/15/40 $2,249 0.000% 3137BJGM9 US3137BJGM95FHLG 4.00% 4/42 #C03856 $2,229 0.000% 31292LH99 US31292LH990FHLG 15YR 2.5% 07/01/2033#ZS8703 $2,229 0.000% 3132A9U47 US3132A9U474FNMA 3.50% 5/42 #AO3760 $2,226 0.000% 3138LUFA8 US3138LUFA84FNMA 4.0% 03/01/2045#AL6554 $2,221 0.000% 3138EPH80 US3138EPH807GNMA 5.00% 6/40 #733726 $2,216 0.000% 3620AMD74 US3620AMD741GNII II 4.50% 9/40 #004801 $2,215 0.000% 36202FKN5 US36202FKN59FNMA 30YR 3.5% 09/45#AS5764 $2,204 0.000% 3138WFMN3 US3138WFMN37FNMA 30YR 3.0% 06/01/2044#AL7195 $2,200 0.000% 3138EP7H1 US3138EP7H13FHLG 20YR 3.5% 05/01/2034#C91764 $2,193 0.000% 3128P75Z2 US3128P75Z29Park Place Securities, Inc. Series 2005-WCH1 ClassM4, 1 month U.S. LIBOR + 1.240% 1.331% 1/25/36 $2,190 0.000% 70069FFL6 US70069FFL67FHLG 30YR 4% 04/01/2046#V82292 $2,186 0.000% 3132L7RM3 US3132L7RM32FNMA 30YR 3.5% 08/01/43#AL7261 $2,141 0.000% 3138EQB76 US3138EQB766FNMA 30YR 4.5% 09/01/2042#AL5881 $2,132 0.000% 3138ENRB7 US3138ENRB793M Co. 3.05% 4/15/30 $2,129 0.000% %MMM430 88579YBN0 US88579YBN04 BLD6LC0FHLG 30YR 4% 05/01/2045#G61807 $2,114 0.000% 31335CAG9 US31335CAG96BAMLL Commercial Mortgage Securities Trust Series2019-BPR Class CNM, 3.8425% 11/5/32 $2,111 0.000% 05492PAG3 US05492PAG37FHLG 4.50% 9/41 #G06719 $2,105 0.000% 3128M8YQ1 US3128M8YQ18FNMA 30YR 3.5% 12/01/2047#CA0855 $2,099 0.000% 3140Q75R4 US3140Q75R48GNMA 4.50% 3/41 #783261 $2,087 0.000% 36241LTS5 US36241LTS50FHLG 30YR 4% 09/42#G07184 $2,073 0.000% 3128M9J52 US3128M9J529FHLG 30YR 3.5% 05/01/2040#V81750 $2,061 0.000% 3132L65K3 US3132L65K34FHLG 30YR 4.5% 03/01/2041#A97673 $2,058 0.000% 312946Q25 US312946Q257JPMorgan Chase Commercial Mortgage SecuritiesCorp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 $2,051 0.000% 46634SAF2 US46634SAF20FHLG 30YR 4.5% 01/01/2041#A96051 $2,037 0.000% 312944WL1 US312944WL15FNMA 30YR 3.5% 4/1/43 #AT1745 $2,034 0.000% 3138WN5F2 US3138WN5F22Freddie Mac Series 2935 Class ZK, 5.5% 2/15/35 $2,029 0.000% 31395MRB7 US31395MRB71Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H21 Class FA, 1 month U.S.


500 Salem Street


87

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLLIBOR + 0.600% 0.6896% 10/20/61 $2,003 0.000% 38375BNE8 US38375BNE82Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H14 Class FB, 1 month U.S.LIBOR + 0.500% 0.5896% 5/20/61 $1,999 0.000% 38375BLZ3 US38375BLZ30FNMA 30YR 3.5% 04/01/2046#BC4240 $1,998 0.000% 3140EYWA5 US3140EYWA50FNMA 15YR 2.5% 09/01/2031#BD6126 $1,997 0.000% 3140FDYY6 US3140FDYY62Sparc Em Spc 0% 12/5/22 $1,993 0.000% %PANA22A 846502AC6 US846502AC62 BYXD252GNII II 4.00% 10/40 #004833 $1,985 0.000% 36202FLN4 US36202FLN41FNMA 3.50% 6/42 #AB5423 $1,982 0.000% 31417CAZ8 US31417CAZ86Apollo Aviation Securitization Equity Trust Series2020-1A Class B, 4.335% 1/16/40 $1,981 0.000% 00255UAB1 US00255UAB17FNMA 30YR 4% 06/01/2039#AS2599 $1,979 0.000% 3138WB3H6 US3138WB3H68FNMA 30YR 2% 07/51#BT1461 $1,969 0.000% 3140LPTT9 US3140LPTT98Fannie Mae Series 2005-72 Class ZC, 5.5% 8/25/35 $1,963 0.000% 31394EWW4 US31394EWW47FNMA 30YR 3.0% 11/01/2042#AB6904 $1,962 0.000% 31417DU68 US31417DU688FNMA 30YR 4.5% 02/01/2041#AH5580 $1,961 0.000% 3138A7FW3 US3138A7FW34GNII II 4% 05/20/2047#MA4452 $1,960 0.000% 36179S5M5 US36179S5M51Freddie Mac Seasoned Credit Risk Transfer TrustSeries 2018-3 Class M55D, 4% 8/25/57 $1,950 0.000% 35563PGL7 US35563PGL76Cleveland Electric Illuminating Co. 5.95% 12/15/36 $1,947 0.000% %FE1236 186108CE4 US186108CE42 B1L4G76FNMA 30YR 3.5% 01/01/2043#AQ9328 $1,946 0.000% 3138MRLJ8 US3138MRLJ81FHLG 4.50% 9/41 #Q03090 $1,944 0.000% 3132GJC31 US3132GJC312Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H01 Class FA, 1 month U.S.LIBOR + 0.700% 0.7896% 11/20/61 $1,943 0.000% 38375BNX6 US38375BNX63FHLG 15YR 3% 12/01/2032#SB0030 $1,934 0.000% 3132CWA79 US3132CWA797FNMA 30YR 5.0% 06/01/2039#AL7550 $1,934 0.000% 3138EQL83 US3138EQL831GNMA 4.00% 3/40 #711495 $1,933 0.000% 36297GNL0GNMA II 3% 02/20/2050#BQ4127 $1,931 0.000% 3617LNSQ8 US3617LNSQ80FHLG 10YR 2.5% 10/01/2029#RD5009 $1,921 0.000% 3133LPR66 US3133LPR661GNMA 5.00% 9/41 #783501 $1,920 0.000% 36241L3J3 US36241L3J36FNMA 4.50% 4/39 #AB0043 $1,908 0.000% 31416VBM5 US31416VBM54FHLG 20YR 3.5% 12/01/2033#C91737 $1,901 0.000% 3128P74W0 US3128P74W07GNMA II 3.5% 02/20/2043#AD1755 $1,896 0.000% 36180C5Q8 US36180C5Q83FNMA 30YR 4.0% 01/01/2045#AY0356 $1,879 0.000% 3138YDME6 US3138YDME61FNMA 20YR 4% 09/01/2039#CA4213 $1,876 0.000% 3140QBVF2 US3140QBVF26FNMA 30YR 5.5% 04/01/2049#BN5400 $1,852 0.000% 3140JNAA8 US3140JNAA88FHLG 30YR 4% 07/01/2048#Q59935 $1,852 0.000% 3132Y4BD3 US3132Y4BD37Fannie Mae Series 2018-44 Class SA, 6.200% - 1


500 Salem Street


88

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLmonth U.S. LIBOR 6.114% 6/25/48 $1,833 0.000% 3136B13G7 US3136B13G72FNMA 30YR 5.0% 10/01/2041#AL4242 $1,829 0.000% 3138ELWC3 US3138ELWC32FHLG 30YR 4% 02/01/2048#V83994 $1,821 0.000% 3132L9NK7 US3132L9NK77VLS Commercial Mortgage Trust Series 2020-LABClass B, 2.453% 10/10/42 $1,818 0.000% 92858TAC0 US92858TAC09Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H07 Class FA, 1 month U.S.LIBOR + 0.500% 0.5896% 2/20/61 $1,794 0.000% 38375BKP6 US38375BKP66FHLG 4.00% 11/41 #Q04295 $1,791 0.000% 3132GKNL6 US3132GKNL60FNMA 20YR 4% 03/01/2038#CA1410 $1,790 0.000% 3140Q8R80 US3140Q8R805FNMA ARM 3.472% 12/01/2040#AE0653 $1,790 0.000% 31419AWP8 US31419AWP82Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H17 Class FA, 1 month U.S.LIBOR + 0.530% 0.6196% 6/20/61 $1,788 0.000% 38375BML3 US38375BML35FNMA 30YR 3.0% 09/01/2043#AL5059 $1,783 0.000% 3138EMTR2 US3138EMTR21FHLG 30YR 3.0% 07/01/2043#V80169 $1,782 0.000% 3132L5FJ7 US3132L5FJ74VLS Commercial Mortgage Trust Series 2020-LABClass X, 0.5162% 10/10/42 $1,778 0.000% 92858TAL0 US92858TAL08Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H06 Class FA, 1 month U.S.LIBOR + 0.630% 0.7196% 1/20/62 $1,778 0.000% 38375BPQ9 US38375BPQ94FNMA 30YR 3.5% 10/01/2047#BH4101 $1,775 0.000% 3140GSRX2 US3140GSRX23FNMA 30YR 4% 02/01/2048#BM3532 $1,763 0.000% 3140J74S1 US3140J74S13FHLG 3.5% 02/43 #Q15869 $1,748 0.000% 3132J66F6 US3132J66F67FHLG 30YR 4.5% 09/01/2041#G60405 $1,738 0.000% 31335ANW4 US31335ANW44GNMA II 3.5% 02/20/2050#BT1983 $1,718 0.000% 3617MQFY7 US3617MQFY73FHLG 30YR 4% 06/47#Q48877 $1,718 0.000% 3132WN2K7 US3132WN2K70FHLG 15YR 3% 01/01/2033#J38387 $1,717 0.000% 31307VJ80 US31307VJ801FHLG 15YR 2.5% 06/01/2031#G18604 $1,716 0.000% 3128MMU68 US3128MMU686Fannie Mae Series 2019-82 Class PI, 4% 6/25/49 $1,701 0.000% 3136B7X97 US3136B7X972FNMA 30YR 4% 11/01/2045#AZ7335 $1,699 0.000% 3140E0EH4 US3140E0EH47Occidental Petroleum Corp. 4.3% 8/15/39 $1,696 0.000% %OXY39 674599CX1 US674599CX16 BKKGQG5Occidental Petroleum Corp. 4.4% 8/15/49 $1,689 0.000% %OXY49 674599CY9 US674599CY98 BKKGQH6FNMA 30YR 3.5% 04/01/2046#BC7362 $1,688 0.000% 3140F3FC7 US3140F3FC78Freddie Mac Series 2018-4763 Class SC, 6.200% - 1month U.S. LIBOR 6.1163% 8/15/47 $1,677 0.000% 3137F3MN1 US3137F3MN15FHLG 3% 2/43 #Q15438 $1,668 0.000% 3132J6PY4 US3132J6PY43FHLG 30YR 3.5% 06/01/2045#Q33791 $1,665 0.000% 3132QQF98 US3132QQF988FNMA 6% 11/35 #AD0687 $1,659 0.000% 31418MXR8 US31418MXR86


500 Salem Street


89

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 20YR 3% 02/01/2037#C91917 $1,656 0.000% 3128P8DW8 US3128P8DW83FNMA 30YR 3.5% 08/01/2045#AS5645 $1,656 0.000% 3138WFHX7 US3138WFHX73FHLG 15YR 3% 06/01/2031#J34653 $1,641 0.000% 31307RE27 US31307RE271Freddie Mac Series 2996 Class ZD, 5.5% 6/15/35 $1,640 0.000% 31395UZR5 US31395UZR57GNMA 4.50% 8/39 #698474 $1,639 0.000% 36296Q6K0 US36296Q6K09FHLG 30YR 4.5% 02/01/2047#Q46222 $1,638 0.000% 3132WK4G0 US3132WK4G05GNII II 4.00% 4/42 #MA0023 $1,628 0.000% 36179MAY6 US36179MAY66GNMA II 4% 10/20/2042#AC0073 $1,628 0.000% 36178YCJ2 US36178YCJ29Air Lease Corp. 3.875% 7/3/23 $1,623 0.000% %AL723 00912XBC7 US00912XBC74 BFYT9G6FNMA 20YR 3.5% 01/01/2034#AS1406 $1,607 0.000% 3138WAR41 US3138WAR412FHLG 6.50% 9/39 #G06670 $1,600 0.000% 3128M8W75 US3128M8W755FHLG 30YR 4% 02/01/2046#G60824 $1,599 0.000% 31335A4H8 US31335A4H84GNMA 30YR 6.0% 05/15/2040#783362 $1,588 0.000% 36241LWX0 US36241LWX09GNMA 30YR 3.5% 11/15/2042#AB9211 $1,587 0.000% 36178WGU7 US36178WGU71FNMA 30YR 4% 04/48#CA1545 $1,578 0.000% 3140Q8WF8 US3140Q8WF84FNMA 30YR 4% 04/01/2048#BK3836 $1,568 0.000% 3140HHHN8 US3140HHHN86FNMA 30YR 4.5% 06/01/2041#AL7018 $1,563 0.000% 3138EPYQ1 US3138EPYQ14FHLG 4.50% 10/41 #Q03643 $1,561 0.000% 3132GJWC9 US3132GJWC97FNMA 30YR 3.5% 05/01/2043#AT3989 $1,557 0.000% 3138WRNF3 US3138WRNF32Petroleos de Venezuela SA 5.375% 4/12/27 $1,548 0.000% %PDVS27 XS0294364954 B1VX673Towd Point Mortgage Trust Series 2019-1 Class A1,3.7051% 3/25/58 $1,544 0.000% 89177BAA3 US89177BAA35 BJ0N0F6FHLG 30YR 4.0% 1/1/42 #Q05962 $1,542 0.000% 3132GMJF0 US3132GMJF05FHLG 30YR 4% 01/01/2048#V83906 $1,542 0.000% 3132L9KT1 US3132L9KT14FHLG 30YR 3.0% 06/01/2045#Q34156 $1,537 0.000% 3132QQTN2 US3132QQTN23FNMA 6.00% 5/40 #AL2129 $1,535 0.000% 3138EJLK2 US3138EJLK21Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2014-H11 Class BA, 1 month U.S.LIBOR + 0.500% 0.5896% 6/20/64 $1,529 0.000% 38375UKG4 US38375UKG49FNMA 30YR 3.0% 02/01/2043#AR1584 $1,525 0.000% 3138NXXN2 US3138NXXN25GNII II 4% 09/47#MA4720 $1,523 0.000% 36179TG58 US36179TG585Venezuelan Republic 12.75% 8/23/22 $1,523 0.000% %VENZ822 USP17625AC16 B5B14V5FNMA 30YR 4.5% 01/01/2048#MA3240 $1,517 0.000% 31418CS62 US31418CS625FNMA 30YR 3.5% 04/01/2046#AS7009 $1,517 0.000% 3138WGYF5 US3138WGYF57FNMA 30YR 5.5% 08/01/2048#BK4763 $1,516 0.000% 3140HJJH5 US3140HJJH56FHLG 30YR 3.5% 08/01/2040#V81886 $1,511 0.000% 3132L7CX5 US3132L7CX51FHLG 30YR 3.0% 11/01/2045#Q37297 $1,508 0.000% 3132QUDB6 US3132QUDB60Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2014-H03 Class FA, 1 month U.S.


500 Salem Street


90

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLLIBOR + 0.600% 0.6896% 1/20/64 $1,508 0.000% 38375UEJ5 US38375UEJ51Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H14 Class FC, 1 month U.S.LIBOR + 0.500% 0.5896% 5/20/61 $1,504 0.000% 38375BMB5 US38375BMB52FHLG 15YR 2.5% 03/01/2033#G18683 $1,502 0.000% 3128MMXM0 US3128MMXM06FNMA 30YR 3% 10/01/2027#MA1219 $1,501 0.000% 31418AK98 US31418AK980FNMA 30YR 3.0% 08/01/2043#AS0203 $1,498 0.000% 3138W9GM6 US3138W9GM60FHLG 30YR 4.5% 07/01/2047#G61047 $1,498 0.000% 31335BEU6 US31335BEU61FHLG 30YR 4% 02/46#Q38783 $1,496 0.000% 3132QVXM8 US3132QVXM88FHLG 30YR 3.5% 11/47#V84700 $1,494 0.000% 3132LAGH9 US3132LAGH94GNMA 4.00% 11/41 #489862 $1,489 0.000% 36210EFB0 US36210EFB02Fannie Mae floater Series 2018-32 Class FB, 1month U.S. LIBOR + 0.300% 0.386% 5/25/48 $1,476 0.000% 3136B1C51 US3136B1C516Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2010-H10 Class FA, 1 month U.S. LIBOR +0.330% 0.4179% 5/20/60 $1,476 0.000% 38375BBV3 US38375BBV36GNMA II 3.0% 12/20/2042#AA5872 $1,468 0.000% 36178DQZ7 US36178DQZ77FNMA 30YR 5.5% 05/01/2048#BJ9174 $1,465 0.000% 3140HBFQ6 US3140HBFQ65FHLG 30YR 4.5% 05/47#Q47942 $1,459 0.000% 3132WMZG2 US3132WMZG20FHLG 20YR 3.5% 05/01/2038#ZA2505 $1,459 0.000% 31329KYA6 US31329KYA68FHLG 30YR 3% 5/46#Q40310 $1,455 0.000% 3132WDKY9 US3132WDKY91FHLG 30YR 4.0% 07/01/2045#Q34458 $1,449 0.000% 3132QQ5U2 US3132QQ5U21Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H05 Class FA, 1 month U.S.LIBOR + 0.500% 0.5896% 12/20/60 $1,446 0.000% 38375BKD3 US38375BKD37HCA Holdings, Inc. 4.75% 5/1/23 $1,433 0.000% %HCA23 404121AF2 US404121AF27 B8ML9Q5FNMA 10YR 2.5% 10/01/2029#MA3795 $1,425 0.000% 31418DGD8 US31418DGD84FHLG 30YR 1.5% 11/01/2050#QB6612 $1,424 0.000% 3133ADKZ8 US3133ADKZ87BANK Series 2020-BN25 Class XB, 0.5326% 1/15/63 $1,413 0.000% 06539WBD7 US06539WBD74FNMA 30YR 4% 03/01/2048#BJ4970 $1,412 0.000% 3140H6QY8 US3140H6QY80KeyBank NA 6.95% 2/1/28 $1,411 0.000% %KEY28 49306CAB7 US49306CAB72 2540344FHLG 30YR 3.5% 01/01/2046#G08687 $1,409 0.000% 3128MJXR6 US3128MJXR63CBOT 5-Year U.S. Treasury Note Contracts (UnitedStates) $1,404 0.000% FVZ1Freddie Mac floater Series 4709 Class FE, 1 monthU.S. LIBOR + 0.350% 0.4338% 8/15/47 $1,402 0.000% 3137FANA2 US3137FANA20GNMA 30YR 4% 01/15/2047#AX5857 $1,396 0.000% 36196HQJ2 US36196HQJ22FNMA 30YR 4% 10/01/2043#BM1167 $1,391 0.000% 3140J5JM2 US3140J5JM23FNMA 4.00% 11/41 #AL1193 $1,389 0.000% 3138EHKF8 US3138EHKF88


500 Salem Street


91

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 5.252% 08/01/2041# $1,389 0.000% 3138EPH64 US3138EPH641FHLG 30YR 3.5% 04/40#V81744 $1,379 0.000% 3132L65D9 US3132L65D90FNMA 30YR 4.0% 12/01/2044#AX5347 $1,376 0.000% 3138Y65H3 US3138Y65H38FNMA 30YR 3.5% 08/01/2046#AS7822 $1,368 0.000% 3138WHVQ2 US3138WHVQ23Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 2016-69 ClassWA, 3% 2/20/46 $1,361 0.000% 38379WN73 US38379WN738Ginnie Mae guaranteed REMIC pass-thru certificatessequential payer Series 2010-170 Class B, 4%12/20/40 $1,361 0.000% 38377NRP1 US38377NRP14FHLG 4.50% 3/41 #A97661 $1,355 0.000% 312946QN9 US312946QN92FNMA 30YR 3.5% 10/01/2042#AP3667 $1,349 0.000% 3138M7CD5 US3138M7CD50GNMA 30YR 3.0% 12/15/2042#AA5897 $1,343 0.000% 36178DRS2 US36178DRS26FNMA 30YR 4% 12/01/2045#AS6350 $1,343 0.000% 3138WGBU7 US3138WGBU71FNMA 30YR 4% 12/47#BJ2132 $1,343 0.000% 3140H3LN4 US3140H3LN40FNMA 30YR 4% 01/01/2049#BN4472 $1,343 0.000% 3140JL6J8 US3140JL6J81FHLG 30YR 4.0% 02/01/2042#Q06232 $1,340 0.000% 3132GRHH7 US3132GRHH75FHLG 5.00% 7/35 #G01838 $1,337 0.000% 3128LXBF6 US3128LXBF66 B15VWL9FHLG 30YR 4% 04/01/2048#Q55661 $1,336 0.000% 3132XYJF5 US3132XYJF59FNMA 30YR 4.5% 02/01/2045#AL7147 $1,329 0.000% 3138EP5H3 US3138EP5H31FNMA 30YR 3.0% 07/45#AZ5847 $1,321 0.000% 3138YXP90 US3138YXP901Fannie Mae Series 2011-4 Class PZ, 5% 2/25/41 $1,311 0.000% 31397QKY3 US31397QKY34FNMA 30YR 3.0% 02/01/2043#AB7846 $1,308 0.000% 31417EWG2 US31417EWG24FNMA 4.50% 11/39 #AC5442 $1,308 0.000% 31417SBL3 US31417SBL34FNMA 3.50% 10/42 #AP7882 $1,303 0.000% 3138MBXL5 US3138MBXL57FHLG 30YR 3.0% 12/01/2045#Q37749 $1,303 0.000% 3132QUTF0 US3132QUTF01FHLG 30YR 4% 04/01/2048#Q55725 $1,299 0.000% 3132XYLF2 US3132XYLF22GNII II 4.50% 4/41 #005017 $1,289 0.000% 36202FSE7 US36202FSE78FNMA 30YR 4% 06/01/2039#AW0113 $1,289 0.000% 3138XPDT7 US3138XPDT70Long Beach Mortgage Loan Trust Series 2003-3 ClassM1, 1 month U.S. LIBOR + 1.120% 1.211% 7/25/33 $1,289 0.000% 542514EA8 US542514EA87Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2011-H13 Class FA, 1 month U.S.LIBOR + 0.500% 0.5896% 4/20/61 $1,287 0.000% 38375BLW0 US38375BLW09FHLG 4.50% 8/41 #Q02592 $1,286 0.000% 3132GF2Z9 US3132GF2Z98FNMA 30YR 4.5% 06/01/2044#AL5512 $1,284 0.000% 3138ENDS5 US3138ENDS50Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H27 Class FA, 1 month U.S.LIBOR + 0.380% 0.4696% 12/20/60 $1,274 0.000% 38375BJK9 US38375BJK98


500 Salem Street


92

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 15YR 2.5% 04/01/2033#ZS8087 $1,263 0.000% 3132A86Y0 US3132A86Y02GNMA II 3.5% 06/20/2046#AS4297 $1,262 0.000% 36193NX21 US36193NX212Healthpeak Properties, Inc. 3.4% 2/1/25 $1,261 0.000% %HCP225 40414LAM1 US40414LAM19 BVDPRL8FNMA 30YR 5.5% 10/01/2048#BK7888 $1,256 0.000% 3140HMXS8 US3140HMXS84Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-98 Class FA, 1 month U.S.LIBOR + 0.400% 0.4874% 8/20/42 $1,250 0.000% 38375GZX2 US38375GZX23FNMA 30YR 3.5% 12/01/2046#AL9489 $1,246 0.000% 3138ERRK8 US3138ERRK82Fannie Mae floater Series 2012-154 Class F, 1month U.S. LIBOR + 0.300% 0.386% 1/25/43 $1,241 0.000% 3136AA6R1 US3136AA6R16Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H03 Class FA, 1 month U.S.LIBOR + 0.700% 0.7896% 1/20/62 $1,235 0.000% 38375BPJ5 US38375BPJ51FNMA 30YR 4.0% 07/01/2045#AZ1783 $1,228 0.000% 3138YS6V3 US3138YS6V34FNMA 30YR 3.0% 07/01/2045#AZ5987 $1,224 0.000% 3138YXUM5 US3138YXUM59FNMA 30YR 4% 10/01/2039#AS3482 $1,216 0.000% 3138WC2Q5 US3138WC2Q58FHLG 30YR 4% 04/01/2048#Q55504 $1,211 0.000% 3132XYDJ3 US3132XYDJ36Thornburg Mortgage Securities Trust floater Series2003-4 Class A1, 1 month U.S. LIBOR + 0.640%0.726% 9/25/43 $1,207 0.000% 885220DW0 US885220DW07 B04YJR7FHLG 30YR 3.5% 11/01/2040#V82091 $1,207 0.000% 3132L7KC2 US3132L7KC23FHLG 20YR 4% 08/01/2038#K94337 $1,194 0.000% 3132LQV61 US3132LQV614FNMA 30YR 4.5% 04/01/2039#AB0050 $1,185 0.000% 31416VBU7 US31416VBU70FNMA 15YR 2.5% 08/01/2031#BC2778 $1,162 0.000% 3140EXCQ4 US3140EXCQ40FHLG 30YR 3.5% 02/01/2048#G61896 $1,159 0.000% 31335CC93 US31335CC930FNMA 30YR 3.0% 12/1/42 #AL3046 $1,155 0.000% 3138EKL45 US3138EKL453GNII II 5% 9/33 #003442 $1,149 0.000% 36202DZF1 US36202DZF13FNMA 30YR 3.0% 02/01/2043#AB7766 $1,136 0.000% 31417ETY7 US31417ETY76FHLG 15YR 2.5% 10/01/2031#G15963 $1,136 0.000% 3128MEZ46 US3128MEZ468FNMA 6.00% 1/38 #889371 $1,135 0.000% 31410KCG7 US31410KCG76FHLG 15YR 2.5% 05/01/2034#ZN6003 $1,134 0.000% 3131YCU46 US3131YCU462FNMA 6.00% 1/40 #AD0732 $1,122 0.000% 31418MY63 US31418MY630GNMA II 3.5% 11/20/2049#BL1666 $1,105 0.000% 3617JDZ77 US3617JDZ773FNMA 30YR 4.5% 09/01/2047#CA0324 $1,097 0.000% 3140Q7LE5 US3140Q7LE55FNMA 4.50% 8/39 #931777 $1,096 0.000% 31412QFS3 US31412QFS30Brazos Higher Education Authority, Inc. Series2010-1 Class A1, 3 month U.S. LIBOR + 0.900%1.0293% 5/25/29 $1,093 0.000% 10620NCD8 US10620NCD84FHLG 6.50% 1/36 #G03506 $1,091 0.000% 3128M5GP9 US3128M5GP97


500 Salem Street


93

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 6.00% 10/37 #995073 $1,089 0.000% 31416BMW5 US31416BMW53GNMA 4.50% 8/39 #724223 $1,089 0.000% 3620AASL3 US3620AASL39Delta Merlin Dunia Tekstil PT 2.5% 6/26/28 $1,082 0.000% %DUNIA28 69374VAC8 US69374VAC81 BMFPDN7Fannie Mae Series 2005-79 Class ZC, 5.9% 9/25/35 $1,081 0.000% 31394FGT6 US31394FGT66FNMA 30YR 5.5% 04/01/2049#CA3384 $1,080 0.000% 3140QAXN5 US3140QAXN58GNMA 4.00% 3/41 #783267 $1,077 0.000% 36241LTY2 US36241LTY29Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H07 Class FA, 1 month U.S.LIBOR + 0.630% 0.7196% 3/20/62 $1,072 0.000% 38375BQA3 US38375BQA34GNMA 4.50% 6/40 #783008 $1,063 0.000% 36241LKV7 US36241LKV70FHLG 30YR 4.5% 12/01/2045#G61796 $1,062 0.000% 31335B7H3 US31335B7H30FHLG 30YR 3.5% 12/01/2046#Q45023 $1,062 0.000% 3132WJSM4 US3132WJSM42FNMA 30YR 4% 12/45#BA6404 $1,057 0.000% 3140EBDJ7 US3140EBDJ77FNMA 30YR 6.54% 02/01/2039# $1,053 0.000% 3138ETWB8 US3138ETWB84GNMA 4.00% 10/41 #479430 $1,039 0.000% 36209RST1 US36209RST13GNMA 3.50% 2/42 #778862 $1,038 0.000% 36176XB73 US36176XB733FNMA 30YR 4.0% 04/01/2044#AV7161 $1,035 0.000% 3138XJ5X1 US3138XJ5X18FNMA 4.00% 12/41 #AJ8098 $1,031 0.000% 3138E07L7 US3138E07L78FHLG 30YR 3.5% 04/01/2043#Q16935 $1,030 0.000% 3132J8EH9 US3132J8EH94GNII II 4.0% 01/20/2045#MA2522 $1,029 0.000% 36179QYT2 US36179QYT20FNMA 30YR 4% 12/01/2045#AS6352 $1,028 0.000% 3138WGBW3 US3138WGBW38GNII 30YR 4.5% 10/20/2040#004828 $1,027 0.000% 36202FLH7 US36202FLH72FHLG 15YR 2.5% 09/01/2032#ZS7890 $1,024 0.000% 3132A8XT1 US3132A8XT13GNMA 5.00% 4/40 #782918 $1,023 0.000% 36241LG34 US36241LG341Freddie Mac planned amortization class Series 3806Class UP, 4.5% 2/15/41 $1,022 0.000% 3137A6ZL9 US3137A6ZL93FHLG 30YR 3.5% 03/01/2045#Q32328 $1,019 0.000% 3132QNSS9 US3132QNSS97FNMA 30YR 4% 12/01/2040#AE9804 $1,016 0.000% 31419L3N1 US31419L3N11FNMA 4.00% 11/41 #AJ5385 $1,015 0.000% 3138AW6X6 US3138AW6X67FNMA 6.00% 7/41 #AL0913 $1,009 0.000% 3138EHAP7 US3138EHAP70FHLG 3.50% 10/42 #Q11886 $985 0.000% 3132HNCX5 US3132HNCX57FHLG 30YR 3.5% 12/40#V82128 $982 0.000% 3132L7LH0 US3132L7LH01FHLG 30YR 1.5% 12/01/2050#QB7301 $978 0.000% 3133AEDE1 US3133AEDE15FNMA 3.50% 9/42 #AL2537 $976 0.000% 3138EJZB7FNMA 30YR 4.5% 11/45#BM1415 $976 0.000% 3140J5SD2 US3140J5SD23FNMA 30YR 3.5% 10/01/2045#AZ4750 $966 0.000% 3138YWH42 US3138YWH421FNMA 30YR 4.0% 07/01/2045#AZ4344 $965 0.000% 3138YVZJ1 US3138YVZJ10Freddie Mac Series 2947 Class XZ, 6% 3/15/35 $964 0.000% 31395RA81 US31395RA811Morgan Stanley Capital I Trust floater Series


500 Salem Street


94

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOL2018-BOP Class B, 1 month U.S. LIBOR + 1.250%1.334% 8/15/33 $964 0.000% 61768FAG5 US61768FAG54FHLG 15YR 2.5% 11/01/2031#ZK8400 $945 0.000% 3131XCKM8 US3131XCKM88FNMA 15YR 2.5% 01/01/2033#MA3246 $945 0.000% 31418CTC8 US31418CTC81FNMA 4.00% 11/40 #AE6775 $944 0.000% 31419HQ54FHLG 30YR 3.5% 10/01/2040#V81966 $942 0.000% 3132L7FF1 US3132L7FF19FNMA 30YR 4.5% 12/01/2041#AJ7242 $940 0.000% 3138E0BL2 US3138E0BL22FHLG 30YR 4% 02/01/2041#A96822 $936 0.000% 312945SK5 US312945SK52GNMA 3.50% 5/42 #766751 $931 0.000% 36176HTG9 US36176HTG91FNMA 3.50% 4/42 #AK4826 $925 0.000% 3138E9LG3 US3138E9LG36FNMA 30YR 5.0% 06/01/2035#310165 $923 0.000% 31374CQS8 US31374CQS88FNMA 30YR 3.5% 3/1/43#AR6743 $922 0.000% 3138W4P54 US3138W4P549FNMA 30YR 3.0% 03/01/2043#AR9089 $918 0.000% 3138W7C36 US3138W7C367GNMA II 3% 03/20/2043#AA6146 $916 0.000% 36178DZK0 US36178DZK08FNMA 4.50% 7/39 #931504 $915 0.000% 31412P3M1 US31412P3M18FNMA 4.00% 10/40 #AE4113 $901 0.000% 31419ESB6 US31419ESB64FNMA 30YR 3.0% 04/01/2043#AT5610 $896 0.000% 3138WTGU4 US3138WTGU48FHLG 30YR 1.5% 06/01/2051#QC3131 $895 0.000% 3133AMPQ3 US3133AMPQ33FHLG 30YR 3.5% 9/40#V81958 $894 0.000% 3132L7E70 US3132L7E701FHLG 4.50% 5/39 #G05457 $893 0.000% 3128M7ME3 US3128M7ME33FNMA 30YR 4% 03/01/2048#BJ9357 $881 0.000% 3140HBMF2 US3140HBMF28FNMA 30YR 4.0% 08/01/2045#BA2698 $879 0.000% 3140E67L0 US3140E67L06FHLG 15YR 2.5% 09/01/2032#ZT2008 $876 0.000% 3132AEGR1 US3132AEGR18SLM Student Loan Trust Series 2003-10A Class A3, 3month U.S. LIBOR + 0.470% 0.586% 12/15/27 $864 0.000% 78442GJG2 US78442GJG29 B018NZ8FNMA 15YR 3.0% 08/01/2028#MA1557 $863 0.000% 31418AWT1 US31418AWT14FNMA 30YR 4.5% 03/01/2048#MA3307 $863 0.000% 31418CU93 US31418CU936GNMA II 3.5% 03/20/2043#AA6141 $856 0.000% 36178DZE4 US36178DZE48Canadian Natural Resources Ltd. 3.8% 4/15/24 $854 0.000% %CNQCN24 136385AT8 US136385AT87 BL10MM1FNMA 30YR 4.5% 02/01/2048#CA1218 $853 0.000% 3140Q8K87 US3140Q8K875Ginnie Mae guaranteed REMIC pass-thru certificatessequential payer Series 2004-24 Class ZM, 5%4/20/34 $850 0.000% 38374F2L7 US38374F2L73GNMA 4.00% 12/41 #552554 $850 0.000% 36213EZT6 US36213EZT62FHLG 30YR 3.5% 04/01/2043#Q17578 $849 0.000% 3132J82L3 US3132J82L36FNMA 30YR 3.0% 08/01/2045#AZ8288 $849 0.000% 3140E1F65 US3140E1F650GNII II 3.5% 04/20/2043#MA0934 $846 0.000% 36179NBB3 US36179NBB38FNMA 30YR 4.5% 07/01/2047#AS9990 $838 0.000% 3138WLC43 US3138WLC437FHLM ARM 3.417% 12/01/2040#848392 $837 0.000% 31300LKD6 US31300LKD63


500 Salem Street


95

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 15YR 2.5% 05/01/2031#BC0919 $837 0.000% 3140EVAV9 US3140EVAV96Unum Group 4% 3/15/24 $834 0.000% %UNM324 91529YAK2 US91529YAK29 BLRLV09GNMA 4.00% 9/41 #772063 $834 0.000% 36176PQQ2 US36176PQQ27FNMA 30YR 4% 12/01/2038#AV1874 $832 0.000% 3138XDCL2 US3138XDCL24FNMA 4.50% 12/39 #AC6795 $830 0.000% 31417TRR1 US31417TRR13GNMA 3.50% 2/42 #616878 $827 0.000% 36290TJX8 US36290TJX81GNMA 4.50% 8/39 #724220 $827 0.000% 3620AASH2 US3620AASH27FHLG 30YR 4.5% 06/47#Q48876 $822 0.000% 3132WN2J0 US3132WN2J08FNMA 30YR 4% 04/01/2046#AS7024 $818 0.000% 3138WGYW8 US3138WGYW80FNMA 30YR 4% 12/45#AZ9583 $817 0.000% 3140E2UH2 US3140E2UH29FNMA 4.00% 6/41 #AB3143 $814 0.000% 31416YP51 US31416YP512FHLG 4.00% 3/42 #Q07242 $813 0.000% 3132GSLX5 US3132GSLX52FNMA 15YR 2.5% 10/01/2031#AS8010 $812 0.000% 3138WH3U4 US3138WH3U43GNII II 4.0% 08/20/2044#MA2149 $809 0.000% 36179QL66 US36179QL664FHLG 3.5% 02/43 #Q15871 $806 0.000% 3132J66H2 US3132J66H24Chicago Gen. Oblig. (Taxable Proj.) Series 2008 B,5.63% 1/1/22 $805 0.000% 1674856E6 US1674856E65FNMA 30YR 4% 12/01/2047#BJ4340 $803 0.000% 3140H5ZE4 US3140H5ZE43GNII II 4.0% 08/20/2043#MA1225 $795 0.000% 36179NLE6 US36179NLE66FNMA 30YR 4% 02/47#AL9779 $793 0.000% 3138ER2M1 US3138ER2M17FNMA 15YR 3% 03/01/2028#MA1387 $793 0.000% 31418ARH3 US31418ARH31FHLG 4.50% 10/39 #G08368 $793 0.000% 3128MJMS6 US3128MJMS65Providence Place Group Ltd. Partnership Series2000-C1 Class A2, 7.75% 7/20/28 $790 0.000% 743784AB6 US743784AB61FNMA 30YR 4% 01/01/2041#AB2091 $790 0.000% 31416XKD1 US31416XKD11FNMA 30YR 3% 12/01/2027#MA1294 $788 0.000% 31418ANL8 US31418ANL88FHLG 4.00% 3/42 #Q06886 $785 0.000% 3132GR6X4 US3132GR6X42FNMA 30YR 3.0% 01/01/2043#AB7755 $785 0.000% 31417ETM3 US31417ETM39FHLG 30YR 4% 01/01/2046#Q38296 $780 0.000% 3132QVGE5 US3132QVGE55GNMA 30YR 4% 03/15/2042#733816 $776 0.000% 3620AMGZ9 US3620AMGZ90Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 2017-134 ClassBA, 2.5% 11/20/46 $774 0.000% 38380GF25 US38380GF255FNMA 30YR 4% 12/01/2047#BJ4279 $774 0.000% 3140H5XH9 US3140H5XH91FHLG 30YR 4.5% 10/01/2048#Q58998 $772 0.000% 3132Y27L4 US3132Y27L43FNMA 3.50% 9/42 #AP4410 $770 0.000% 3138M73U7 US3138M73U76GNMA 4.50% 3/40 #711223 $768 0.000% 36297GD49 US36297GD498GNMA II 3.5% 11/20/2049#BL1665 $767 0.000% 3617JDZ69 US3617JDZ690FHLG 30YR 4.5% 04/01/2048#ZM6138 $763 0.000% 3131Y0ZB1 US3131Y0ZB11


500 Salem Street


96

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 4.00% 9/41 #Q03358 $761 0.000% 3132GJMF3 US3132GJMF39FNMA 30YR 4% 09/01/2038#AU4761 $760 0.000% 3138X4JF8 US3138X4JF85FNMA 4.0% 8/45#AZ5626 $760 0.000% 3138YXHC2 US3138YXHC25FNMA 15YR 3% 07/01/2028#MA1514 $757 0.000% 31418AVG0 US31418AVG02FNMA 30YR 3.5% 07/01/2047#CA1159 $757 0.000% 3140Q8JD8 US3140Q8JD83FNMA 4.00% 4/42 #AK9019 $751 0.000% 3138EEAV1 US3138EEAV18GNMA 5.00% 4/40 #737177 $750 0.000% 3620AQ6N8FHLG 5.00% 1/35 #G06928 $747 0.000% 3128M9A51 US3128M9A510Freddie Mac planned amortization class Series 4765Class PE, 3% 12/15/41 $742 0.000% 3137FEPY0 US3137FEPY00FHLG 30YR 4.5% 05/01/2045#Q33769 $741 0.000% 3132QQFK3 US3132QQFK30Halliburton Co. 3.8% 11/15/25 $737 0.000% %HAL25 406216BG5 US406216BG59 BYNR4P8FNMA 4.00% 4/42 #AK8228 $736 0.000% 3138EDEA5 US3138EDEA51FNMA 3.50% 11/42 #AQ0170 $732 0.000% 3138MFFL6 US3138MFFL63GNMA 30YR 4% 01/15/2047#AX5831 $724 0.000% 36196HPQ7 US36196HPQ73FHLG 30YR 3% 04/01/2046#Q40165 $716 0.000% 3132WDFF6 US3132WDFF67FNMA 30YR 3.5% 12/01/2046#BD9690 $711 0.000% 3140FHXU6 US3140FHXU63GNMA 30YR 3.0% 03/15/2045#777581 $710 0.000% 36176VUE1 US36176VUE19FHLG 30YR 4.5% 07/01/2047#Q49499 $707 0.000% 3132WPRV1 US3132WPRV10GNMA II 3.5% 04/20/2043#AD9075 $705 0.000% 36180NCL7 US36180NCL73GNMA 4.50% 6/40 #745094 $700 0.000% 3620C0XX1 US3620C0XX15FHLG 20YR 4% 05/01/2039#K94567 $697 0.000% 3132LQ6C6 US3132LQ6C64FNMA 30YR 4% 01/01/2046#AS6486 $696 0.000% 3138WGF41 US3138WGF414FNMA 30YR 4% 01/01/2043#AL7626 $695 0.000% 3138EQPL0 US3138EQPL01FNMA 20YR 4% 04/01/2039#CA3360 $693 0.000% 3140QAWW6 US3140QAWW66FNMA 30YR 3.5% 07/01/2045#AZ2145 $687 0.000% 3138YTL36 US3138YTL361FNMA 30YR 3.5% 2/1/43#AR5364 $686 0.000% 3138W26A8 US3138W26A84FHLG 15YR 2.5% 06/01/2031#J34501 $685 0.000% 31307RAA3 US31307RAA32GNMA 30YR 4% 07/15/2046#AT7536 $685 0.000% 36194GLR3 US36194GLR38FNMA 30YR 4.5% 10/01/2047#CA0623 $683 0.000% 3140Q7VR5 US3140Q7VR58FHLG 30YR 3.5% 11/01/2047#Q52086 $683 0.000% 3132XUJ89 US3132XUJ897GNMA 30YR 4% 01/15/2047#AX5815 $678 0.000% 36196HN89 US36196HN895Navient Student Loan Trust Series 2017-3A ClassA2, 1 month U.S. LIBOR + 0.600% 0.686% 7/26/66 $674 0.000% 63940JAB5 US63940JAB52GNMA II 3.5% 03/20/2043#AD8884 $672 0.000% 36180M2R7 US36180M2R76FHLG 30YR 4.0% 11/01/2042#Q13121 $672 0.000% 3132HPPE8 US3132HPPE87FHLG 30YR 4.0% 10/01/2043#Q22499 $670 0.000% 3132JPX49 US3132JPX491GNMA II 3.5% 06/20/2042#783604 $669 0.000% 3622A2AD4 US3622A2AD48FANNIEMAE 20YR 3.5% 12/01/2036#BM3680 $668 0.000% 3140J8CS0 US3140J8CS05


500 Salem Street


97

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 5.5% 05/01/2049#BN7890 $666 0.000% 3140JQXU2 US3140JQXU27FNMA 3.5% 03/43 #AR8173 $664 0.000% 3138W6CK0 US3138W6CK02FHLG 30YR 4.0% 11/01/2042#Q13425 $661 0.000% 3132HPYW8 US3132HPYW84GNMA 3.50% 11/41 #489787 $660 0.000% 36210ECY3 US36210ECY32Brazos Higher Education Authority, Inc. Series2011-2 Class A2, 3 month U.S. LIBOR + 0.850%0.9753% 7/25/29 $659 0.000% 10620NCK2 US10620NCK28 B8CJKC2FNMA 20YR 4% 04/01/2039#CA3364 $658 0.000% 3140QAW22 US3140QAW220FNMA 30YR 4% 06/45#AZ3341 $656 0.000% 3138YUWB3 US3138YUWB38FNMA 30YR 4.0% 08/01/2045#AZ4663 $653 0.000% 3138YWFD4 US3138YWFD43Fannie Mae planned amortization class Series2012-149 Class GA, 1.75% 6/25/42 $648 0.000% 3136AA2T1 US3136AA2T18GNMA 30YR 3.5% 01/15/2043#AD2150 $645 0.000% 36180DL70 US36180DL702FNMA 30YR 3% 01/01/43#AQ1113 $642 0.000% 3138MGGX7 US3138MGGX75FNMA 30YR 3.0% 08/01/2043#AS0205 $641 0.000% 3138W9GP9 US3138W9GP91FNMA 30YR 4% 03/01/2039#AV6581 $639 0.000% 3138XJJ32 US3138XJJ327FHLG 30YR 4.5% 11/01/2044#Q29663 $639 0.000% 3132MAML2 US3132MAML24FNMA 20YR 3.5% 01/01/2034#AS1614 $637 0.000% 3138WAYL5 US3138WAYL55FNMA ARM 2.947% 07/01/2043#AL5652 $637 0.000% 3138ENH69 US3138ENH695FHLG 30YR 3.5% 01/01/2045#G61419 $636 0.000% 31335BSG2 US31335BSG22GNMA 5.00% 9/39 #710849 $636 0.000% 36297FWJ7 US36297FWJ73FNMA 30YR 4.5% 04/01/2047#AS9394 $633 0.000% 3138WKNL5 US3138WKNL56FHLG 30YR 4.0% 09/01/2043#Q21258 $632 0.000% 3132JNMF1 US3132JNMF14Brixmor Operating Partnership LP 3.85% 2/1/25 $631 0.000% %BRX225 11120VAA1 US11120VAA17 BVDPV49FNMA 30YR 4.5% 02/01/2048#CA1713 $624 0.000% 3140Q83X1 US3140Q83X16FNMA 30YR 4.5% 12/01/2046#BC9079 $623 0.000% 3140F5CR2 US3140F5CR23FNMA 15YR 3% 03/01/2029#MA1837 $620 0.000% 31418BBF2 US31418BBF22GNMA 30YR 3.5% 04/15/2043#AA6309 $620 0.000% 36178EAJ8 US36178EAJ82GNMA 30YR 3.0% 02/15/2045#AK7288 $620 0.000% 36183RCZ4 US36183RCZ47FNMA 30YR 3.0% 02/01/2043#AQ9994 $619 0.000% 3138MSC80 US3138MSC805FNMA 30YR 4% 04/01/2049#BN6036 $619 0.000% 3140JNV64 US3140JNV642Fannie Mae Series 2015-42 Class IL, 6% 6/25/45 $616 0.000% 3136ANY68 US3136ANY684FNMA 30YR 4.0% 08/01/2045#AZ7222 $616 0.000% 3140E0AY1 US3140E0AY16FNMA 20YR 4% 06/01/2038#BK4913 $615 0.000% 3140HJN72 US3140HJN724GNMA 3.50% 2/42 #778882 $614 0.000% 36176XCT4 US36176XCT46FHLG 30YR 4.0% 07/01/2043#Q19597 $613 0.000% 3132JBDB6 US3132JBDB62FNMA 6.00% 10/34 #AL2130 $613 0.000% 3138EJLL0 US3138EJLL04FNMA 30YR 4% 03/01/2046#BC2555 $612 0.000% 3140EWZV0 US3140EWZV05FNMA 30YR 4.5% 04/48#CA1564 $612 0.000% 3140Q8W27 US3140Q8W276


500 Salem Street


98

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 5.00% 4/40 #A91937 $609 0.000% 312940EJ4 US312940EJ49GNMA 4.00% 10/41 #479607 $608 0.000% 36209RYC1 US36209RYC14GNMA 4.50% 7/40 #745228 $606 0.000% 3620C04M7GNII II 3.5% 12/20/2042 #MA0625 $606 0.000% 36179MVS6 US36179MVS69GNMA II 3.5% 05/20/2046#AT1323 $603 0.000% 36193YPG5 US36193YPG51FNMA 30YR 4.0% 06/01/2044#AW4764 $602 0.000% 3138XUJJ2 US3138XUJJ20Freddie Mac planned amortization class Series 3002Class NE, 5% 7/15/35 $600 0.000% 31395WMR5 US31395WMR50Fannie Mae planned amortization class Series2012-149 Class DA, 1.75% 1/25/43 $597 0.000% 3136AA4A0 US3136AA4A09FNMA 4.00% 12/41 #AJ4198 $593 0.000% 3138AVUY9 US3138AVUY97Fannie Mae Series 2011-39 Class ZA, 6% 11/25/32 $593 0.000% 31397SVY7 US31397SVY70 B81SB49Freddie Mac planned amortization class Series 2131Class BG, 6% 3/15/29 $585 0.000% 3133TK2P4 US3133TK2P42GNMA 4.50% 3/41 #783262 $584 0.000% 36241LTT3 US36241LTT34FNMA 30YR 3.0% 01/01/2043#AR2904 $583 0.000% 3138W0GN3 US3138W0GN35FHLG 5.00% 8/40 #G05969 $582 0.000% 3128M76E1 US3128M76E18Eversource Energy 2.8% 5/1/23 $582 0.000% %NU523 664397AK2 US664397AK26 BC9SBS3GNMA 3.50% 5/42 #766750 $581 0.000% 36176HTF1 US36176HTF19Boston Properties, Inc. 3.85% 2/1/23 $581 0.000% %BXP223 10112RAU8 US10112RAU86 B8G1875FNMA 30YR 3.5% 10/01/2046#BC4760 $580 0.000% 3140F0JE5 US3140F0JE59FNMA 15YR 3% 03/01/2033#BM4614 $579 0.000% 3140J9DU2 US3140J9DU25GNII II 4.50% 7/40 #004923 $577 0.000% 36202FPG5 US36202FPG53Freddie Mac floater target amortization classSeries 3366 Class FD, 1 month U.S. LIBOR + 0.250%0.3338% 5/15/37 $574 0.000% 31397KMB4 US31397KMB43FHLG 15YR 3% 06/01/2031#J34571 $573 0.000% 31307RCG8 US31307RCG83FNMA 3.50% 4/42 #AK6572 $573 0.000% 3138EBJS5 US3138EBJS58FNMA 6.00% 3/36 #888342 $573 0.000% 31410F5B7 US31410F5B71Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H18 Class AF, 1 month U.S.LIBOR + 0.300% 0.3896% 9/20/60 $573 0.000% 38375BER9 US38375BER96GNMA II 3.5% 07/20/2043#635118 $569 0.000% 36291QSF2 US36291QSF27GNMA 4.00% 10/40 #682568 $568 0.000% 36295WJM0 US36295WJM01GNMA 4.00% 10/40 #737559 $567 0.000% 3620ARMG3 US3620ARMG33GNII II 3.50% 11/42 #MA0534 $565 0.000% 36179MSX9 US36179MSX91GNMA 4.00% 10/41 #738885 $564 0.000% 3620AS2S7 US3620AS2S71GNMA 3.50% 2/42 #793122 $564 0.000% 36177MPG1 US36177MPG14GNMA 3.50% 3/42 #794582 $562 0.000% 36177PCU7 US36177PCU75


500 Salem Street


99

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 15YR 2.5% 11/01/2032#G18665 $561 0.000% 3128MMW33 US3128MMW336GNMA 4.00% 1/41 #734151 $560 0.000% 3620AMTG7 US3620AMTG72GNMA 5.50% 9/39 #710868 $560 0.000% 36297FW57 US36297FW573FHLG 4.50% 2/41 #A96731 $560 0.000% 312945PQ5 US312945PQ59Chicago Gen. Oblig. Series 2008 E, 6.05% 1/1/29 $559 0.000% 167486FA2 US167486FA29FNMA 15YR 3% 09/01/2028#MA1580 $559 0.000% 31418AXJ2 US31418AXJ23FNMA 30YR 3.0% 07/01/2042#AB5542 $556 0.000% 31417CEQ4 US31417CEQ42FHLG 30YR 3.0% 06/01/2045#Q34030 $555 0.000% 3132QQPQ9 US3132QQPQ99FNMA 30YR 3% 4/1/43 #AB8881 $555 0.000% 31417F2P2 US31417F2P24FHLG 15YR 2.5% 04/01/2033#ZS8692 $553 0.000% 3132A9UR6 US3132A9UR66Freddie Mac planned amortization class Series 2693Class MD, 5.5% 10/15/33 $552 0.000% 31394KF41 US31394KF412FHLG 4.00% 9/41 #Q03295 $550 0.000% 3132GJKG3 US3132GJKG30FHLG 30YR 3.0% 11/01/2045#Q37218 $550 0.000% 3132QUAU7 US3132QUAU78FNMA 20YR 3.5% 04/39#FM1039 $549 0.000% 3140X4EM4 US3140X4EM46FNMA 20YR 3% 11/01/2036#MA2804 $548 0.000% 31418CDJ0 US31418CDJ09Fannie Mae planned amortization class Series1999-57 Class PH, 6.5% 12/25/29 $547 0.000% 31359XGQ6 US31359XGQ60FHLG 6.00% 8/37 #G06089 $546 0.000% 3128M8C28 US3128M8C286FNMA 15YR 3% 02/01/2030#MA2191 $545 0.000% 31418BNH5 US31418BNH59FHLG 5.00% 4/38 #G04334 $542 0.000% 3128M6EF1 US3128M6EF17CBOT 2-Year U.S. Treasury Note Contracts (UnitedStates) $539 0.000% TUZ1Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H19 Class FG, 1 month U.S.LIBOR + 0.300% 0.3896% 8/20/60 $538 0.000% 38375BFQ0 US38375BFQ05Freddie Mac planned amortization class Series 3189Class PD, 6% 7/15/36 $536 0.000% 31396UAR1 US31396UAR14FHLG 30YR 4% 07/01/2041#Q02144 $534 0.000% 3132GFLZ8 US3132GFLZ89FHLG 30YR 3.0% 07/01/2045#Q34759 $529 0.000% 3132QRJD3 US3132QRJD34GNII 30YR 4.5% 12/20/2039#004592 $529 0.000% 36202FC53 US36202FC534FHLG 5.00% 4/36 #A79236 $527 0.000% 3128LDHM9 US3128LDHM99FNMA 15YR 3% 01/01/2029#MA1775 $526 0.000% 31418A6M5 US31418A6M55GNMA 30YR 4% 07/15/2046#AT7623 $525 0.000% 36194GPG3 US36194GPG37FNMA 4.00% 2/42 #AK1110 $524 0.000% 3138E5GU6 US3138E5GU62FNMA 30YR 4% 05/01/2039#AV6645 $523 0.000% 3138XJL39 US3138XJL398FHLG 30YR 4.0% 05/01/2043#Q18481 $522 0.000% 3132J92P2 US3132J92P22FHLG 5.00% 1/40 #A90893 $515 0.000% 3129387E7 US3129387E74FNMA 30YR 5.5% 04/01/2049#BN9936 $514 0.000% 3140JTBE6 US3140JTBE61


500 Salem Street


100

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNII 30YR 4.5% 11/20/2040#004850 $514 0.000% 36202FL79 US36202FL790GNII II 4.00% 3/41 #004977 $514 0.000% 36202FQ66 US36202FQ666FHLG 30YR 4.0% 06/01/2045#Q34467 $513 0.000% 3132QQ6D9 US3132QQ6D96FHLG 30YR 3% 04/01/2046#Q39717 $512 0.000% 3132QWYP8 US3132QWYP83FHLG 20YR 4% 08/01/2038#K94341 $512 0.000% 3132LQWA1 US3132LQWA10FHLG 30YR 4.5% 12/01/2046#Q45028 $511 0.000% 3132WJSS1 US3132WJSS12FNMA 30YR 4.5% 04/01/2044#AW3253 $510 0.000% 3138XSTK3 US3138XSTK37FNMA 30YR 4% 12/01/2039#AX5330 $509 0.000% 3138Y64Q4 US3138Y64Q46FHLG 30YR 3.5% 03/01/2045#Q31974 $508 0.000% 3132QNFQ7 US3132QNFQ78FNMA 30YR 4.5% 09/01/2035#AB8197 $507 0.000% 31417FDB1 US31417FDB13FHLG 30YR 3.5% 11/01/2047#Q52184 $507 0.000% 3132XUNA9 US3132XUNA94FNMA 30YR 4% 11/01/2040#AE7679 $507 0.000% 31419JQ92 US31419JQ929FNMA 4.0% 04/01/2045#AY7471 $504 0.000% 3138YMJR1 US3138YMJR11FNMA 6.00% 6/36 #745640 $504 0.000% 31403DLV9 US31403DLV90FHLG 30YR 4.0% 09/01/2043#Q21605 $501 0.000% 3132JNYA9 US3132JNYA98FNMA 30YR 4% 11/40#AE7390 $499 0.000% 31419JF86 US31419JF864FHLG 30YR 4% 04/01/2046#Q39678 $498 0.000% 3132QWXG9 US3132QWXG93GNII II 3.5% 05/20/2046#AS9175 $496 0.000% 36193VFQ0 US36193VFQ05FHLG 30YR 4.5% 01/01/2047#Q45635 $496 0.000% 3132WKHM3 US3132WKHM34FANNIEMAE 20YR 3.5% 05/01/2036#BM3697 $496 0.000% 3140J8DB6 US3140J8DB60FNMA 15YR 3% 05/01/2028#MA1449 $493 0.000% 31418ATF5 US31418ATF56FNMA 30YR 3.0% 02/01/2043#AR0015 $493 0.000% 3138NWAR0 US3138NWAR03FHLG 30YR 4% 11/01/2045#Q38812 $491 0.000% 3132QVYJ4 US3132QVYJ41GNMA 5.00% 7/39 #782727 $489 0.000% 36241LA48 US36241LA484Freddie Mac planned amortization class Series 4135Class AB, 1.75% 6/15/42 $487 0.000% 3137AWAE5 US3137AWAE53FHLG 30YR 3.0% 07/45#Q34946 $487 0.000% 3132QRP87 US3132QRP878Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2010-H17 Class FA, 1 month U.S.LIBOR + 0.330% 0.4179% 7/20/60 $486 0.000% 38375BDY5 US38375BDY56FHLG 30YR 4.0% 10/01/44#Q28991 $484 0.000% 3132M9UQ5 US3132M9UQ54FHLG 30YR 3.5% 06/01/2045#Q33724 $484 0.000% 3132QQD66 US3132QQD660FNMA 15YR 3% 06/01/2028#MA1481 $484 0.000% 31418AUF3 US31418AUF38FHLG 30YR 4.0% 07/01/2043#Q19690 $484 0.000% 3132JBF81 US3132JBF811Collegiate Funding Services Education Loan TrustSeries 2004-A Class A4, 3 month U.S. LIBOR +0.340% 0.486% 9/28/30 $480 0.000% 19458LAV2 US19458LAV27FNMA 30YR 3.5% 07/01/2046#BC6149 $480 0.000% 3140F1ZP0 US3140F1ZP06FHLG 30YR 4% 11/45#Q38550 $479 0.000% 3132QVQC8 US3132QVQC89


500 Salem Street


101

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 4.5% 03/01/2047#BE5550 $478 0.000% 3140FREY7 US3140FREY78Freddie Mac planned amortization class Series 3119Class PO 2/15/36 $477 0.000% 31396HSG5 US31396HSG55FNMA 30YR 3% 08/27#AP4736 $477 0.000% 3138M8HN6 US3138M8HN60GNMA 4.50% 7/40 #745231 $477 0.000% 3620C04Q8FNMA 30YR 3.0% 02/01/2043#AR5858 $477 0.000% 3138W3QL0 US3138W3QL08FHLG 15YR 3% 06/01/2031#J34598 $476 0.000% 31307RDB8 US31307RDB87Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2010-116 Class QB, 4% 9/16/40 $476 0.000% 38377LAL2 US38377LAL27FHLG 4.50% 9/39 #A88585 $475 0.000% 312935RE1 US312935RE12FNMA 30YR 3% 01/01/2028#MA1320 $473 0.000% 31418APE2 US31418APE28FNMA 30YR 3.0% 12/01/2042#AB7280 $472 0.000% 31417ECS8 US31417ECS81FNMA 4.0% 02/01/2045#AX6813 $471 0.000% 3138Y8SB7 US3138Y8SB74GNII II 3.5% 01/20/2043#MA0852 $471 0.000% 36179M5M8 US36179M5M88GNMA 30YR 4.0% 05/15/2045#AN1263 $466 0.000% 36185GML6 US36185GML67FNMA 30YR 3.0% 01/01/2043#AR1910 $466 0.000% 3138NYDQ5 US3138NYDQ58FNMA 30YR 3.5% 4/1/43 #AT0668 $463 0.000% 3138WMW64 US3138WMW649FHLG 30YR 4% 10/01/2047#Q51189 $457 0.000% 3132XTKB3 US3132XTKB32FHLG 30YR 4.0% 09/01/44#Q28370 $456 0.000% 3132M86F8 US3132M86F84FNMA 30YR 4.5% 11/01/2044#AX6510 $451 0.000% 3138Y8GU8 US3138Y8GU83GNMA II 3.5% 06/46#AS7008 $451 0.000% 36193SYD5 US36193SYD51FNMA 15YR 3% 04/01/2028#MA1419 $451 0.000% 31418ASH2 US31418ASH22FHLG 30YR 4.0% 09/01/2042#Q11138 $450 0.000% 3132HMHP9 US3132HMHP95FNMA 3.50% 9/42 #AP5129 $448 0.000% 3138M8VX8 US3138M8VX86FNMA 3.50% 8/42 #AO9892 $447 0.000% 3138M17E2 US3138M17E26FNMA 30YR 4% 11/01/2040#AE9771 $446 0.000% 31419L2D4 US31419L2D48FNMA 30YR 3% 02/01/2028#MA1358 $446 0.000% 31418AQL5 US31418AQL51GNMA 3.50% 1/42 #757487 $445 0.000% 36230SJ88FNMA 30YR 3.5% 01/01/2047#BE5530 $444 0.000% 3140FREC5 US3140FREC58FHLG 30YR 4% 04/01/2048#Q55720 $443 0.000% 3132XYLA3 US3132XYLA35FHLG 15YR 3% 01/01/2034#J40154 $443 0.000% 31307YE30 US31307YE301FHLG 30YR 4.0% 09/01/2043#Q21835 $439 0.000% 3132JPBC5 US3132JPBC59FNMA 30YR 3.0% 05/01/2043#AT5177 $439 0.000% 3138WSXF0 US3138WSXF05FNMA 30YR 3.5% 12/01/2042#AB7124 $438 0.000% 31417D4J9 US31417D4J90FNMA 4.00% 4/42 #AK9701 $438 0.000% 3138EEX79 US3138EEX790GNMA 3.50% 12/41 #711616 $437 0.000% 36297GSD3FHLG 30YR 3% 12/01/42#G07240 $436 0.000% 3128M9LV2 US3128M9LV23 B9L9XW1FNMA 3.0% 3/45#AY0609 $436 0.000% 3138YDVB2 US3138YDVB22FHLG 30YR 3.0% 12/01/2042#Q15249 $435 0.000% 3132J6H31 US3132J6H312


500 Salem Street


102

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 4.0% 05/01/2045#Q33138 $435 0.000% 3132QPPY4 US3132QPPY41FHLG 3.0% 8/45#Q35372 $433 0.000% 3132QR6J4 US3132QR6J49FHLG 30YR 4.0% 10/01/2041#G06800 $433 0.000% 3128M83H5 US3128M83H57 B7BV055FNMA 30YR 4.5% 03/46#BC0287 $433 0.000% 3140EUJ91 US3140EUJ916FNMA 30YR 4% 11/01/2040#AE8186 $430 0.000% 31419KCY9 US31419KCY91FNMA 30YR 4% 12/01/2042#AQ9061 $430 0.000% 3138MRB75 US3138MRB759Freddie Mac sequential payer Series 2357 Class ZB,6.5% 9/15/31 $430 0.000% 3133TUUS5 US3133TUUS58FNMA 30YR 4% 11/01/2038#AV3539 $428 0.000% 3138XE4Z8 US3138XE4Z83FNMA 30YR 4.0% 10/01/2045#AL7413 $427 0.000% 3138EQGX4 US3138EQGX40GNMA 30YR 4.0% 10/15/2040#705890 $427 0.000% 36297AF73 US36297AF736FHLG 30YR 3.5% 08/42#Q10245 $425 0.000% 3132HLHW6 US3132HLHW63GNMA II 4% 05/20/2049#BN2615 $424 0.000% 3617K53Y8 US3617K53Y86Freddie Mac Series 3949 Class MK, 4.5% 10/15/34 $421 0.000% 3137AFZS4 US3137AFZS42FHLG 15YR 2.5% 05/01/2033#G18687 $420 0.000% 3128MMXR9 US3128MMXR92GNMA 30YR 3.0% 04/15/2045#AK8698 $420 0.000% 36183SUX7 US36183SUX79FHLG 30YR 4% 10/01/2045#Q37045 $419 0.000% 3132QTZK5 US3132QTZK58GNMA 30YR 4.0% 04/15/2043#AC1092 $418 0.000% 36179AF92 US36179AF926FHLG 30YR 4.0% 02/01/2043#Q15992 $416 0.000% 3132J7C67 US3132J7C675FNMA 15YR 3% 10/01/2029#MA2069 $415 0.000% 31418BJP2 US31418BJP22FNMA 30YR 4% 11/01/2046#BE2414 $415 0.000% 3140FMVG8 US3140FMVG82GNMA II 3.5% 05/20/2046#AS6968 $415 0.000% 36193SW54 US36193SW544FNMA 30YR 4.5% 03/01/2039#AB0051 $413 0.000% 31416VBV5 US31416VBV53FHLG 4.00% 10/41 #Q04113 $412 0.000% 3132GKGW0 US3132GKGW09FNMA 30YR 3.5% 05/01/2045#AZ0727 $411 0.000% 3138YRYZ5 US3138YRYZ58GNII II 3.50% 9/42 #MA0392 $410 0.000% 36179MNH9 US36179MNH96FHLG 30YR 4.0% 01/01/2044#V80950 $410 0.000% 3132L6BT7 US3132L6BT75FHLG 30YR 3.5% 7/40#V81831 $409 0.000% 3132L7A82 US3132L7A824FNMA 30YR 4% 11/01/2046#BE4460 $408 0.000% 3140FP5W5 US3140FP5W50Petroleos de Venezuela SA 9.75% 5/17/35 $407 0.000% %PDVS35A 716558AE1 US716558AE19 B89LNV1FNMA 30YR 4% 11/40#AE8996 $406 0.000% 31419K7J8 US31419K7J80FNMA 30YR 3.5% 03/01/2048#MA3332 $406 0.000% 31418CV27 US31418CV272GNMA 4.00% 12/41 #778681 $406 0.000% 36176W2N0 US36176W2N02Petroleos de Venezuela SA 12.75% 2/17/22 $406 0.000% %PDV22A 716558AC5 US716558AC52 B44H004GNMA 5.00% 8/40 #737311 $405 0.000% 3620ARDQ1 US3620ARDQ16FHLG 30YR 4.0% 02/01/2043#Q15400 $404 0.000% 3132J6NS9 US3132J6NS92Enterprise Products Operating LP 3.75% 2/15/25 $401 0.000% %EPD225 29379VBE2 US29379VBE20 BRKFLN3FHLG 30YR 4.5% 03/01/2041# $401 0.000% 312946BR6 US312946BR61FHLG 30YR 3.0% 02/01/2043#Q15789 $400 0.000% 3132J62X1 US3132J62X10


500 Salem Street


103

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 3.5% 10/01/2046#AL9285 $399 0.000% 3138ERJ76 US3138ERJ767FHLG 4.50% 10/40 #A94662 $399 0.000% 312943FB4 US312943FB43FHLG 30YR 4% 07/01/2044#G61831 $399 0.000% 31335CA87 US31335CA876GNII II 4.0% 07/20/2044#MA2074 $397 0.000% 36179QJT9 US36179QJT94FHLG 30YR 4.0% 08/01/2043#Q20707 $397 0.000% 3132JMYC7 US3132JMYC71GNMA 30YR 4.0% 06/15/2043#AD5663 $397 0.000% 36180HJG4 US36180HJG48FNMA 15YR 3% 11/01/2028#MA1684 $397 0.000% 31418A2S6 US31418A2S61FHLG 4.50% 4/41 #Q00114 $397 0.000% 3132GDDT6 US3132GDDT63Fannie Mae planned amortization class Series2006-15 Class OP 3/25/36 $397 0.000% 31395BTU7 US31395BTU79 B81SBK5FNMA 30YR 3.5% 03/01/2045#AY5352 $396 0.000% 3138YJ5N2 US3138YJ5N26FNMA 30YR 4% 09/01/2045#BA0270 $395 0.000% 3140E4JQ1 US3140E4JQ13GNMA II 3% 03/20/2043#AD8812 $395 0.000% 36180MYH4 US36180MYH41GNII II 4% 03/20/2047#MA4322 $394 0.000% 36179SYT8 US36179SYT85FHLG 15YR 3% 03/01/2033#G18681 $394 0.000% 3128MMXK4 US3128MMXK40Ginnie Mae REMIC Trust Series 2015-H17 Class GZ,3.9927% 5/20/65 $393 0.000% 38376REM4 US38376REM43FHLG 30YR 4.5% 10/01/2040#A94586 $392 0.000% 312943CX9 US312943CX99FHLG 4.00% 9/41 #Q03561 $392 0.000% 3132GJTS8 US3132GJTS86FNMA 30YR 4% 11/01/2040#AE8538 $392 0.000% 31419KPY5 US31419KPY54FHLG 30YR 4% 04/01/2046#Q39975 $392 0.000% 3132QXCM7 US3132QXCM73FHLG 4.50% 5/41 #Q00753 $391 0.000% 3132GDZS4 US3132GDZS43GNMA 3.50% 12/41 #739352 $391 0.000% 3620ATL96FNMA 30YR 4% 03/46#BC1776 $391 0.000% 3140EV6N2 US3140EV6N28GNMA 4.50% 7/40 #719216 $390 0.000% 3620A5AR0FHLG 15YR 4.50% 7/25 #G13844 $390 0.000% 3128MCP58 US3128MCP588FNMA 4.0% 03/01/2045#AY1124 $389 0.000% 3138YEHA8 US3138YEHA87FNMA 6.00% 3/38 #889219 $389 0.000% 31410G4C4 US31410G4C46GNMA 30YR 4.0% 02/15/2045#AL4767 $386 0.000% 36184BJL2 US36184BJL27FHLG 15YR 2.5% 08/01/2032#G18654 $386 0.000% 3128MMWQ2 US3128MMWQ29FHLG 30YR 4% 1/45#Q30720 $386 0.000% 3132QLYS6 US3132QLYS67FNMA 30YR 3.5% 08/01/2047#BH7779 $385 0.000% 3140GWUD3 US3140GWUD34FNMA 30YR 3.0% 08/01/2045#AZ3728 $384 0.000% 3138YVEA3 US3138YVEA30FNMA 15YR 3% 01/01/2033#BH9235 $383 0.000% 3140GYHM4 US3140GYHM46GNMA 4.50% 6/40 #782989 $383 0.000% 36241LKA3 US36241LKA34GNII II 3.5% 02/20/2043#MA0783 $383 0.000% 36179M2Q2 US36179M2Q20GNMA 5.00% 8/40 #719262 $382 0.000% 3620A5B73 US3620A5B737FNMA 15YR 3% 02/01/2031#CA3178 $381 0.000% 3140QAQ86 US3140QAQ867FNMA 30YR 4% 06/47#BH4269 $378 0.000% 3140GSW73 US3140GSW736


500 Salem Street


104

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 3.50% 7/42 #AA5451 $378 0.000% 36178DBU4 US36178DBU46GNII II 3.50% 8/42 #MA0318 $378 0.000% 36179MK74 US36179MK749FNMA 30YR 4.0% 02/01/2041#AH3520 $376 0.000% 3138A44E2 US3138A44E27FHLG 15YR 3% 08/01/2032#J37406 $375 0.000% 31307UGP7 US31307UGP75GNMA 30YR 3.0% 02/15/2045#777576 $374 0.000% 36176VT94 US36176VT945FHLG 3.0% 4/45#Q32729 $373 0.000% 3132QPA79 US3132QPA791FNMA 4.00% 4/42 #AK6409 $372 0.000% 3138EBDP7 US3138EBDP73FNMA 20YR 4% 04/01/2039#CA3362 $372 0.000% 3140QAWY2 US3140QAWY23FHLG 20YR 4% 01/01/2039#K94441 $371 0.000% 3132LQZE0 US3132LQZE05FNMA 30YR 3.0% 1/1/43 #AR1183 $370 0.000% 3138NXJ57 US3138NXJ576FHLG 30YR 4.5% 04/01/2041# $370 0.000% 3132GDGH9 US3132GDGH98FNMA 30YR 4.5% 03/01/2045#AY5719 $370 0.000% 3138YKK93 US3138YKK933FHLG 4.00% 5/42 #Q08167 $370 0.000% 3132GTMQ7 US3132GTMQ75FHLG 30YR 4.5% 01/01/2045#Q30829 $369 0.000% 3132QL4P5 US3132QL4P53FNMA ARM 5.30% 8/36 #888199 $369 0.000% 31410FX42 US31410FX427FNMA 30YR 4.5% 11/01/2042#AQ3314 $368 0.000% 3138MJVG1 US3138MJVG17FNMA 30YR 4% 04/48#BJ8805 $368 0.000% 3140HAYB0 US3140HAYB03GNMA 3.50% 2/42 #757488 $368 0.000% 36230SJ96FNMA 30YR 4.0% 01/01/2044#AV4489 $368 0.000% 3138XF7B5 US3138XF7B51GNMA 4.50% 5/40 #736729 $368 0.000% 3620AQPN7FHLG 3.50% 4/42 #G06993 $367 0.000% 3128M9C67 US3128M9C672Fannie Mae Series 2010-135 Class ZA, 4.5% 12/25/40 $366 0.000% 31398SE82 US31398SE823FNMA 30YR 4% 11/01/2040#AE4056 $365 0.000% 31419EQJ1 US31419EQJ19GNMA II 3.5% 05/20/2046#AR3062 $364 0.000% 36192XMK2 US36192XMK27GNMA II 3.5% 06/20/2046#AR3124 $361 0.000% 36192XPH6 US36192XPH60FHLG 30YR 4.0% 07/01/2043#Q19988 $361 0.000% 3132JBRJ4 US3132JBRJ43FNMA 30YR 3.5% 11/42#AB6934 $360 0.000% 31417DV42 US31417DV421FHLG 4.50% 6/41 #Q01393 $360 0.000% 3132GERN2 US3132GERN21Discover Bank 4.2% 8/8/23 $358 0.000% %DFS823 25466AAD3 US25466AAD37 BCZM4H9FNMA 15YR 3% 04/32#BD9809 $358 0.000% 3140FH3T2 US3140FH3T21GNMA 4.00% 2/40 #711491 $356 0.000% 36297GNG1FHLG 30YR 4.0% 09/01/2043#Q21845 $356 0.000% 3132JPBN1 US3132JPBN15GNMA II 3% 01/20/2050#BR8999 $355 0.000% 3617M77L6 US3617M77L65FHLG 30YR 3.5% 01/01/2046#G60393 $354 0.000% 31335ANJ3 US31335ANJ33 BYNNTN9GNMA 3.50% 2/42 #778863 $351 0.000% 36176XB81 US36176XB816FNMA 30YR 4% 08/01/2043#AU2854 $350 0.000% 3138X2E42 US3138X2E421FNMA 4.00% 2/42 #AK3455 $350 0.000% 3138E7ZV9 US3138E7ZV90FNMA 4.50% 11/40 #AE3874 $349 0.000% 31419EJU4 US31419EJU47FNMA 15YR 2.5% 12/01/2032#MA3217 $349 0.000% 31418CSF2 US31418CSF22


500 Salem Street


105

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFannie Mae planned amortization class Series2006-12 Class BO 10/25/35 $348 0.000% 31394VS43 US31394VS438FNMA 20YR 3.5% 06/01/2038#MA3388 $348 0.000% 31418CXS8 US31418CXS87GNMA 4.50% 6/40 #745083 $348 0.000% 3620C0XL7FNMA 30YR 4% 10/40#AE3576 $348 0.000% 31419D6N6 US31419D6N64FHLG 4.00% 2/42 #Q06088 $347 0.000% 3132GRCZ2 US3132GRCZ29FNMA 30YR 3.0% 10/01/2042#AB6493 $345 0.000% 31417DGB3 US31417DGB38Ingersoll-Rand Global Holding Co. Ltd. 4.25%6/15/23 $343 0.000% %IR623 45687AAJ1 US45687AAJ16 BNB7LS5FHLM ARM 5.61% 3/35 #1L0297 $341 0.000% 3128Q2KJ1 US3128Q2KJ10GNMA 3.50% 2/42 #757489 $341 0.000% 36230SKA1FHLG 4.50% 5/41 #Q00736 $341 0.000% 3132GDY97 US3132GDY970FHLM ARM 12M+1.75 9/1/41 #1B8787 $339 0.000% 3128UHEK7 US3128UHEK73FNMA 30YR 4% 11/45#AZ0560 $338 0.000% 3138YRTS7 US3138YRTS70FNMA 30YR 4.0% 08/01/2045#AZ2035 $337 0.000% 3138YTHM9 US3138YTHM94GNMA 4.00% 12/41 #552550 $336 0.000% 36213EZP4 US36213EZP41GNII II 4.0% 12/20/44#MA2446 $335 0.000% 36179QWF4 US36179QWF44GNMA 4.00% 10/41 #772072 $333 0.000% 36176PQZ2 US36176PQZ26FHLG 6.00% 5/33 #G01785 $333 0.000% 31283H6W0 US31283H6W07 B1630D2GNMA 3.50% 2/44 #AG9361 $332 0.000% 36182EMJ9 US36182EMJ90FNMA 30YR 3.5% 05/01/2045#AZ1205 $332 0.000% 3138YSKT2 US3138YSKT28FNMA 20YR 4% 08/01/2038#BK7835 $331 0.000% 3140HMV50 US3140HMV507FHLG 30YR 4.0% 09/01/2043#Q21255 $330 0.000% 3132JNMC8 US3132JNMC82Fannie Mae Series 2017-30 Class AI, 5.5% 5/25/47 $330 0.000% 3136AWQD2 US3136AWQD24FNMA 30YR 4% 03/01/2039#AW1156 $329 0.000% 3138XQJA0 US3138XQJA09FHLG 5.00% 6/40 #A92350 $329 0.000% 312940TF6 US312940TF61FNMA 30YR 3.5% 01/01/2043#AQ9947 $329 0.000% 3138MSBR9 US3138MSBR90FNMA 30YR 3.0% 01/01/2043#AR1458 $329 0.000% 3138NXTQ0 US3138NXTQ02FHLG 30YR 3.5% 07/01/2046#Q43088 $328 0.000% 3132WGNE3 US3132WGNE32FHLG 5.00% 8/34 #G02758 $328 0.000% 3128M4MF7 US3128M4MF76FHLG 3.0% 8/45#Q35375 $328 0.000% 3132QR6M7 US3132QR6M77GNMA II 3.5% 01/20/2050#BR8993 $327 0.000% 3617M77E2 US3617M77E23FNMA 4.50% 5/41 #AI1967 $326 0.000% 3138AFFH8GNMA 30YR 4% 12/15/2046#AX5803 $326 0.000% 36196HNU0 US36196HNU04FNMA 15YR 2.5% 11/01/2032#BJ3109 $325 0.000% 3140H4N34 US3140H4N341GNMA 5.50% 9/39 #710869 $325 0.000% 36297FW65Fannie Mae planned amortization class Series1999-54 Class PH, 6.5% 11/18/29 $324 0.000% 31359XBH1 US31359XBH17FNMA 30YR 4% 08/01/2039#AW4267 $324 0.000% 3138XTW50 US3138XTW501


500 Salem Street


106

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 4% 11/01/2040#AE8603 $323 0.000% 31419KRZ0 US31419KRZ02FHLG 30YR 4.5% 12/01/2044#Q30263 $322 0.000% 3132QLJH7 US3132QLJH77FNMA 4.00% 1/41 #AE4585 $318 0.000% 31419FCX2 US31419FCX24FHLG 30YR 4.0% 07/01/2044#Q27096 $318 0.000% 3132M7RR1 US3132M7RR19FNMA 20YR 3.5% 05/38#MA3360 $317 0.000% 31418CWW0 US31418CWW09FHLG 30YR 4.0% 12/01/2042#Q13420 $317 0.000% 3132HPYR9 US3132HPYR99Delta Merlin Dunia Tekstil PT 0% 6/26/32 $316 0.000% %DUNIA32 69374VAD6 US69374VAD64FNMA 30YR 4% 02/01/2048#BK0167 $315 0.000% 3140HDFH2 US3140HDFH23FNMA 30YR 4.5% 02/01/2049#MA3593 $315 0.000% 31418C7F5 US31418C7F59GNMA II 3.5% 06/20/2046#AR3125 $315 0.000% 36192XPJ2 US36192XPJ27FHLG 30YR 4% 02/01/2048#Q54192 $314 0.000% 3132XWUS8 US3132XWUS85GNMA 4.50% 7/40 #745232 $314 0.000% 3620C04R6FHLG 30YR 3.0% 07/01/2045#Q34547 $314 0.000% 3132QRBR0 US3132QRBR02GNMA II 3% 01/20/2050#BR8998 $312 0.000% 3617M77K8 US3617M77K82FNMA 30YR 3.5% 08/01/2043#AS0076 $312 0.000% 3138W9CN8 US3138W9CN89GNMA 30YR 4.0% 07/15/2045#AN5744 $312 0.000% 36186NLZ0 US36186NLZ05FNMA 30YR 4% 11/01/2040#AE7374 $312 0.000% 31419JFQ6 US31419JFQ67GNMA 3.50% 1/42 #757490 $311 0.000% 36230SKB9FNMA 30YR 5% 07/01/2033#709470 $310 0.000% 31401JFK9 US31401JFK97GNMA 3.50% 12/41 #741817 $310 0.000% 3620AWDW7GNMA II 3.5% 05/20/2046#AS6967 $310 0.000% 36193SW47 US36193SW478FHLG 15YR 3.5% 05/01/2030#J31647 $309 0.000% 31307MZL3 US31307MZL35FNMA 30YR 3.5% 08/01/2042#AP0495 $309 0.000% 3138M3RR7 US3138M3RR77FNMA 30YR 3.5% 05/01/2045#AY9287 $307 0.000% 3138YPJ94 US3138YPJ942Freddie Mac Series 3297 Class BI, 6.760% - 1 monthU.S. LIBOR 6.6763% 4/15/37 $307 0.000% 31397GRY8 US31397GRY88FNMA 4.00% 2/42 #AK2525 $307 0.000% 3138E6YX8FNMA 6.00% 10/38 #889983 $306 0.000% 31410KXL3 US31410KXL33FHLG 4.50% 2/41 #A96783 $305 0.000% 312945RC4 US312945RC46FHLG 30YR 1.5% 12/01/2050#BQ9522 $305 0.000% 3140KVSL5 US3140KVSL58FNMA 20YR 4% 09/01/2038#BN0703 $304 0.000% 3140JGX91 US3140JGX915GNMA 4.50% 8/39 #713740 $304 0.000% 36297J4Z4 US36297J4Z49Fannie Mae Series 2007-66 Class SA, 39.600% - 1month U.S. LIBOR 39.084% 7/25/37 $304 0.000% 31396WYX8 US31396WYX81GNMA 4.50% 9/39 #710839 $303 0.000% 36297FV82FNMA 15YR 3% 02/01/2033#BJ4876 $301 0.000% 3140H6M22 US3140H6M223FNMA 30YR 4% 11/01/2040#AE4058 $301 0.000% 31419EQL6 US31419EQL64FNMA 30YR 4% 11/40#AE7364 $299 0.000% 31419JFE3 US31419JFE38FHLG 5.00% 6/40 #G05898 $299 0.000% 3128M73F1 US3128M73F10


500 Salem Street


107

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 15YR 3% 12/01/2032#J38057 $299 0.000% 31307U5S3 US31307U5S38Metropolitan Life Global Funding I 3% 1/10/23 $299 0.000% %MET23A 59217GAX7 US59217GAX79 B8FZDZ1FNMA 30YR 3.0% 01/01/2043#AR0739 $299 0.000% 3138NWZD4 US3138NWZD42FNMA 20YR 3.5% 10/01/2035#AS6048 $298 0.000% 3138WFWJ1 US3138WFWJ15GNMA II 3.5% 06/46#AS7009 $297 0.000% 36193SYE3 US36193SYE35FNMA 4.0% 03/01/2045#AY9025 $297 0.000% 3138YPA36 US3138YPA362FNMA 30YR 3.5% 03/01/2045#AY5843 $297 0.000% 3138YKP56 US3138YKP569FNMA 30YR 4% 05/01/2048#BK2527 $296 0.000% 3140HFYZ6 US3140HFYZ67FHLG 30YR 3.0% 05/01/2045#Q33468 $296 0.000% 3132QP2A1 US3132QP2A12FHLG 30YR 1.5% 03/01/2051#QC0031 $295 0.000% 3133AJA86 US3133AJA861GNII II 3.5% 07/20/2043#MA1157 $293 0.000% 36179NJA7 US36179NJA72FNMA 30YR 3.5% 03/01/2045#AY5060 $293 0.000% 3138YJTS5 US3138YJTS54FNMA 20YR 4% 04/01/2039#CA3361 $293 0.000% 3140QAWX4 US3140QAWX40FNMA 15YR 2.5% 12/01/2032#BJ2987 $293 0.000% 3140H4J96 US3140H4J968FNMA 30YR 4% 01/01/2047#BE6108 $293 0.000% 3140FRYE9 US3140FRYE94FNMA 30YR 3.0% 02/01/2043#AR7033 $290 0.000% 3138W4Y70 US3138W4Y707FNMA 30YR 3% 11/01/2027#MA1257 $290 0.000% 31418AMF2 US31418AMF20FNMA 30YR 3.0% 01/01/2043#AR3493 $289 0.000% 3138W03B3 US3138W03B31FHLG 4.00% 9/41 #Q03210 $289 0.000% 3132GJGT0 US3132GJGT07FNMA 3.50% 10/42 #AQ1181 $289 0.000% 3138MGJ30 US3138MGJ300FHLG 30YR 5.0% 07/01/2041#Q02130 $289 0.000% 3132GFLK1 US3132GFLK11FNMA 30YR 3.0% 01/01/45#AX3256 $288 0.000% 3138Y4TN9 US3138Y4TN99FHLG 15YR 3% 08/01/2032#J37452 $288 0.000% 31307UH50 US31307UH500FHLG 3.0% 8/45#Q35579 $287 0.000% 3132QSFV5 US3132QSFV50FNMA 4.00% 10/40 #AE4645 $287 0.000% 31419FET9 US31419FET93FHLG 4.50% 2/41 #A97152 $286 0.000% 3129455M6 US3129455M63FHLG 30YR 4.5% 01/01/2041# $286 0.000% 3129444V0 US3129444V09FNMA 15YR 3% 01/01/2029#MA1816 $286 0.000% 31418BAS5 US31418BAS51FNMA 30YR 4.5% 09/01/2035#AB8198 $285 0.000% 31417FDC9 US31417FDC95FNMA 30YR 4% 03/01/2046#BC8334 $284 0.000% 3140F4HL3 US3140F4HL33FNMA 30YR 3.4% 08/01/2042#AP5087 $283 0.000% 3138M8UM3 US3138M8UM31FNMA 30YR 3.5% 01/01/2048#CA1051 $281 0.000% 3140Q8EZ4 US3140Q8EZ41FNMA 4.50% 8/33 #726949 $281 0.000% 31402ETE8 US31402ETE85FHLG 30YR 3.5% 05/01/2045#Q33578 $281 0.000% 3132QP6Q2 US3132QP6Q28GNMA 4.50% 7/40 #745236 $281 0.000% 3620C04V7 US3620C04V76FNMA 4.00% 1/41 #AH1256 $281 0.000% 3138A2ME6FHLG 30YR 3% 1/1/43 #Q14696 $280 0.000% 3132HRGD6 US3132HRGD61FNMA 30YR 3.5% 2/1/43 #AR5859 $280 0.000% 3138W3QM8 US3138W3QM80FNMA 30YR 3% 08/27#MA1162 $280 0.000% 31418AJG4 US31418AJG40


500 Salem Street


108

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 15YR 3% 07/01/2032#J37270 $279 0.000% 31307UCF3 US31307UCF30FHLG 30YR 4.0% 08/01/2043#Q20763 $279 0.000% 3132JMZ44 US3132JMZ444FHLG 5.00% 4/35 #A54855 $277 0.000% 3128KHMC7 US3128KHMC75FNMA 4.00% 3/42 #AK7441 $276 0.000% 3138ECHT3 US3138ECHT33FNMA 30YR 3.0% 01/01/2043#AR1812 $276 0.000% 3138NYAN5 US3138NYAN54GNMA 5.00% 8/39 #704665 $276 0.000% 36296XZ64 US36296XZ647FHLG 20YR 4% 06/01/2038#K94293 $275 0.000% 3132LQUS4 US3132LQUS46FNMA 30YR 3.0% 11/01/2042#AQ2171 $275 0.000% 3138MHMV2 US3138MHMV29FNMA 30YR 3.5% 09/42#AP5393 $275 0.000% 3138M87F4 US3138M87F46FHLG 30YR 4% 09/01/2047#Q50433 $275 0.000% 3132XSPT1 US3132XSPT12Freddie Mac planned amortization class Series 3123Class LO 3/15/36 $273 0.000% 31396JPR0 US31396JPR04FNMA 30YR 4.0% 12/01/2040#AE7856 $273 0.000% 31419JWS3 US31419JWS31FNMA 30YR 3.5% 09/42#AQ3065 $272 0.000% 3138MJMP1 US3138MJMP17GNII II 4.00% 11/41 #005233 $272 0.000% 36202FY67 US36202FY678Freddie Mac planned amortization class Series 3145Class GO 4/15/36 $272 0.000% 31396NCS3 US31396NCS36FNMA 6.00% 9/35 #255844 $271 0.000% 31371MER4 US31371MER43FHLG 30YR 3.0% 06/01/2045#Q34104 $270 0.000% 3132QQR20 US3132QQR207FNMA 30YR 3.0% 02/01/2043#AR2943 $269 0.000% 3138W0HV4 US3138W0HV42FNMA 20YR 4% 08/01/2038#BK9756 $269 0.000% 3140HPZW0 US3140HPZW00FHLG 30YR 4.0% 03/01/2044#Q25226 $267 0.000% 3132M5PK2 US3132M5PK28FHLG 30YR 4.0% 06/01/2043#Q19744 $266 0.000% 3132JBHW6 US3132JBHW63FHLG 30YR 5.0% 07/01/2041#Q02189 $266 0.000% 3132GFNE3 US3132GFNE33FHLG 3% 2/1/43 #Q15788 $266 0.000% 3132J62W3 US3132J62W37FHLG 6.00% 12/37 #A69706 $265 0.000% 3128L1YB0 US3128L1YB06FHLG 30YR 4.0% 08/01/2044#Q27808 $265 0.000% 3132M8KV7 US3132M8KV76FNMA 30YR 4% 03/01/2042#AK6743 $265 0.000% 3138EBP58 US3138EBP586FNMA 30YR 4% 04/48#BK2485 $265 0.000% 3140HFXP9 US3140HFXP94FNMA 30YR 4.5% 09/01/2033#727139 $265 0.000% 31402EZC5 US31402EZC55FNMA 30YR 4% 01/01/2042#AJ6217 $264 0.000% 3138AX4B4 US3138AX4B48FNMA 30YR 3.0% 12/01/2042#AL2884 $264 0.000% 3138EKF26 US3138EKF265FNMA 30YR 3.5% 04/01/2045#AY7669 $263 0.000% 3138YMQX0 US3138YMQX06FNMA 30YR 4.5% 09/01/2047#BH9459 $262 0.000% 3140GYQM4 US3140GYQM45FNMA 15YR 2.5% 10/01/2031#AS8226 $262 0.000% 3138WJD88 US3138WJD884FHLG 30YR 5.0% 03/01/2041#A97686 $262 0.000% 312946RF5 US312946RF59GNMA II 3.5% 04/43#AB9891 $261 0.000% 36178W7C7 US36178W7C71FNMA 30YR 3.0% 05/01/2045#AY7630 $261 0.000% 3138YMPQ6 US3138YMPQ63FHLG 4.50% 3/41 #A97528 $260 0.000% 312946LH7 US312946LH79


500 Salem Street


109

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 3.5% 05/01/2045#AY9074 $259 0.000% 3138YPCL4 US3138YPCL45FNMA 20YR 4% 10/01/2038#BN1522 $259 0.000% 3140JHVQ3 US3140JHVQ34FHLG 30YR 5.0% 07/01/2041#Q01985 $259 0.000% 3132GFF28 US3132GFF289FHLG 30YR 3.5% 05/01/2045#Q33347 $258 0.000% 3132QPWH3 US3132QPWH35FNMA 20YR 4% 06/01/2038#BK7138 $258 0.000% 3140HL4Y9 US3140HL4Y96FHLG 3.0% 8/45#Q35367 $257 0.000% 3132QR6D7 US3132QR6D78FNMA 15YR 3% 10/01/2028#MA1633 $257 0.000% 31418AY77 US31418AY775GNMA 4.50% 11/39 #678648 $256 0.000% 36295R5H7 US36295R5H70FNMA 20YR 4% 06/01/2038#BK7139 $256 0.000% 3140HL4Z6 US3140HL4Z61FNMA 30YR 4% 11/01/2040#AE5601 $256 0.000% 31419GGK4 US31419GGK40FHLG 30YR 4.0% 11/01/2042#Q13653 $255 0.000% 3132HQBW1 US3132HQBW15FHLG 30YR 3.5% 03/01/2045#Q32124 $255 0.000% 3132QNLE7 US3132QNLE74GNMA 4.00% 10/41 #738886 $253 0.000% 3620AS2T5 US3620AS2T54GNMA 30YR 5.0% 05/15/2039#783724 $252 0.000% 3622A2D58 US3622A2D589FHLG 30YR 4% 05/01/2047#Q47872 $252 0.000% 3132WMXA7 US3132WMXA77FNMA 30YR 4.5% 05/01/2047#AS9602 $251 0.000% 3138WKU45 US3138WKU456FNMA 30YR 4.0% 12/01/2044#AW9502 $251 0.000% 3138XZRY9 US3138XZRY91FNMA 4.00% 3/42 #AK1510 $250 0.000% 3138E5VC9 US3138E5VC99GNMA 4.50% 2/40 #737015 $249 0.000% 3620AQYL1GNII 3.50% 5/42 #MA0088 $249 0.000% 36179MCZ1 US36179MCZ14FNMA 30YR 4.5% 06/01/2045#AZ1709 $248 0.000% 3138YS3T1 US3138YS3T15FNMA 4.00% 3/41 #AH2152 $247 0.000% 3138A3MA2FHLG 30YR 4% 01/01/2041# $247 0.000% 312946FC5 US312946FC56FNMA ARM 11/36 #995606 $247 0.000% 31416CAF3 US31416CAF32GNMA 3.50% 3/42 #794581 $247 0.000% 36177PCT0 US36177PCT03FHLG 4.50% 7/40 #A93142 $247 0.000% 312941P35 US312941P359FNMA 3.50% 10/42 #AP7148 $246 0.000% 3138MA5J3 US3138MA5J34FNMA 15YR 3% 02/01/2033#CA1089 $246 0.000% 3140Q8F75 US3140Q8F750FHLG 30YR 3.0% 02/01/2043#Q15786 $245 0.000% 3132J62U7 US3132J62U70FHLG 30YR 5.0% 07/01/2041#Q02067 $245 0.000% 3132GFJL2 US3132GFJL22FHLG 4.50% 2/41 #A96876 $245 0.000% 312945T99 US312945T998GNMA 4.00% 12/39 #711476 $244 0.000% 36297GMZ0 US36297GMZ09FHLG 30YR 3.0% 02/01/2043#Q15062 $244 0.000% 3132J6B86 US3132J6B869FNMA 30YR 3% 09/01/2027#MA1196 $244 0.000% 31418AKJ6 US31418AKJ69FNMA 30YR 5.0% 04/01/2041#AI1360 $242 0.000% 3138AEQN6 US3138AEQN63GNMA II 3.5% 05/20/2046#AS4758 $242 0.000% 36193PJB2 US36193PJB22GNMA 4.50% 6/40 #745138 $241 0.000% 3620C0ZB7 US3620C0ZB76GNII II 4.00% 2/41 #004945 $241 0.000% 36202FP67 US36202FP676FHLG 30YR 4.0% 07/01/2043#Q19606 $241 0.000% 3132JBDL4 US3132JBDL45


500 Salem Street


110

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 3.50% 11/41 #772088 $240 0.000% 36176PRH1 US36176PRH19GNMA 5.00% 9/40 #737454 $240 0.000% 3620ARH79 US3620ARH790FHLG 30YR 3.5% 05/01/2040#V81771 $240 0.000% 3132L66G1 US3132L66G13FHLG 15YR 3% 06/01/2031#J34584 $240 0.000% 31307RCV5 US31307RCV50GNMA 30YR 4% 01/15/2043#AC9441 $240 0.000% 36179KP24 US36179KP247GNII II 4.50% 7/40 #004746 $239 0.000% 36202FHX7 US36202FHX78FNMA 30YR 4.5% 04/01/2047#AS9417 $238 0.000% 3138WKPB5 US3138WKPB56FNMA 30YR 4% 04/46#BC3920 $238 0.000% 3140EYLA7 US3140EYLA79FNMA 30YR 3.5% 12/45#AL7890 $238 0.000% 3138EQXU1 US3138EQXU18FHLG 30YR 3.0% 01/01/2043#Q15247 $238 0.000% 3132J6HZ0 US3132J6HZ00FNMA 4.00% 12/40 #AA4757 $238 0.000% 31416NJB9 US31416NJB91Fannie Mae planned amortization class Series2005-81 Class PC, 5.5% 9/25/35 $237 0.000% 31394FCS2 US31394FCS20GNMA 4.50% 4/40 #739091 $236 0.000% 3620ATC47FNMA 15YR 2.5% 11/01/2031#AS8387 $236 0.000% 3138WJJ90 US3138WJJ907FHLG 30YR 4% 02/46#Q38782 $236 0.000% 3132QVXL0 US3132QVXL06Freddie Mac planned amortization class Series 3258Class PM, 5.5% 12/15/36 $235 0.000% 31397CXF1 US31397CXF12Freddie Mac planned amortization class Series 2520Class BE, 6% 11/15/32 $235 0.000% 31392XV96 US31392XV960Freddie Mac Series 3287 Class SD, 6.750% - 1 monthU.S. LIBOR 6.6663% 3/15/37 $235 0.000% 31397G6Z8 US31397G6Z87FNMA 30YR 3.0% 03/01/2043#AB8610 $234 0.000% 31417FR83 US31417FR838GNMA 5.00% 10/39 #710924 $234 0.000% 36297FYV8 US36297FYV83FNMA 30YR 3.5% 07/01/2043#AU1335 $233 0.000% 3138X0PV4 US3138X0PV40FNMA 30YR 4.5% 01/01/2048#BJ7280 $232 0.000% 3140H9CS0 US3140H9CS08FHLG 30YR 3% 11/1/42 #Q13148 $232 0.000% 3132HPP99 US3132HPP996Freddie Mac planned amortization class Series 2802Class OB, 6% 5/15/34 $232 0.000% 31394YPA6 US31394YPA63FHLG 30YR 3% 2/1/43 #Q15635 $232 0.000% 3132J6V50 US3132J6V503FNMA 30YR 4% 03/01/2042#AK6744 $231 0.000% 3138EBP66 US3138EBP669FNMA 15YR 3.0% 08/01/2029#890625 $230 0.000% 31410LPJ5 US31410LPJ51FNMA 30YR 3.0% 03/01/2044#AS2238 $230 0.000% 3138WBPY5 US3138WBPY50FNMA 30YR 4.5% 06/47#BE9387 $229 0.000% 3140FVND4 US3140FVND43FNMA 30YR 4.5% 04/01/2045#AY5316 $229 0.000% 3138YJ4A1 US3138YJ4A14FHLG 4.00% 4/42 #Q07441 $228 0.000% 3132GSS67 US3132GSS673GNII 30YR 4.5% 12/20/2040#004880 $227 0.000% 36202FM52 US36202FM525FHLG 30YR 3.0% 05/01/2045#Q33442 $227 0.000% 3132QPZG2 US3132QPZG25FHLG 30YR 4.0% 02/01/2043#Q15893 $226 0.000% 3132J67F5 US3132J67F58


500 Salem Street


111

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 4.00% 2/40 #678654 $226 0.000% 36295R5P9FNMA 30YR 3.5% 12/1/42 #AQ7097 $226 0.000% 3138MN3F5 US3138MN3F58GNMA 5.00% 8/39 #710776 $226 0.000% 36297FT93 US36297FT934FNMA 30YR 3.0% 03/01/2045#AX9831 $226 0.000% 3138YB4R1 US3138YB4R12GNMA 4.00% 4/41 #783307 $226 0.000% 36241LU87 US36241LU870GNMA 4.50% 2/40 #678655 $224 0.000% 36295R5Q7 US36295R5Q79GNMA 30YR 4.0% 02/15/2042#778869 $224 0.000% 36176XCE7 US36176XCE76FNMA 20YR 4% 10/01/2038#BN1957 $223 0.000% 3140JJE70 US3140JJE703FNMA 30YR 3.5% 05/01/2045#AY8779 $223 0.000% 3138YNXH5 US3138YNXH55Freddie Mac planned amortization class Series 3415Class PC, 5% 12/15/37 $223 0.000% 31397R3R5 US31397R3R53FNMA 4.0% 04/01/2045#AX9641 $223 0.000% 3138YBWB5 US3138YBWB56GNMA 4.50% 7/40 #745196 $222 0.000% 3620C03D8GNII II 3% 10/20/2049#MA6218 $221 0.000% 36179U4B5 US36179U4B51FNMA 15YR 2.5% 11/01/2031#AS8246 $221 0.000% 3138WJEU8 US3138WJEU83GNMA 30YR 4% 01/15/2047#AX5855 $220 0.000% 36196HQG8 US36196HQG82FNMA 20YR 4% 08/01/2038#BK9746 $219 0.000% 3140HPZL4 US3140HPZL45FNMA 30YR 4.5% 01/01/2048#CA0983 $218 0.000% 3140Q8CV5 US3140Q8CV54FNMA 4.00% 1/41 #AE9338 $217 0.000% 31419LLU5 US31419LLU51GNII II 4.50% 5/40 #004696 $216 0.000% 36202FGD2 US36202FGD24GNMA 4.00% 12/41 #552552 $216 0.000% 36213EZR0 US36213EZR07FNMA 30YR 4.5% 03/01/2048#BK0200 $216 0.000% 3140HDGJ7 US3140HDGJ79FNMA 30YR 3.0% 09/01/2043#AS0407 $216 0.000% 3138W9NZ9 US3138W9NZ90FNMA 30YR 4% 11/01/2040#AE7386 $215 0.000% 31419JF45 US31419JF450GNMA 3.50% 2/42 #783532 $215 0.000% 36241L4R4FHLG 30YR 4.0% 09/01/44#Q28495 $213 0.000% 3132M9C85 US3132M9C858GNMA 4.00% 2/41 #738002 $213 0.000% 3620AR3K5 US3620AR3K54FNMA 15YR 2.5% 10/01/2031#MA2775 $212 0.000% 31418CCM4 US31418CCM47FHLG 30YR 5.0% 03/01/2041#A97520 $212 0.000% 312946K96 US312946K961FHLG 30YR 4.0% 09/01/2043#Q21526 $212 0.000% 3132JNVT1 US3132JNVT17FHLG 30YR 4% 04/01/2046#Q39846 $212 0.000% 3132QW5G0 US3132QW5G01FHLG 15YR 3% 04/01/2032#J36729 $211 0.000% 31307TPN5 US31307TPN53GNMA 5.00% 9/39 #723339 $211 0.000% 3620A9S44 US3620A9S444FHLG 30YR 4.0% 10/01/2043#Q22677 $209 0.000% 3132JP6N7 US3132JP6N75FHLG 30YR 4% 09/01/2045#Q37853 $209 0.000% 3132QUWP4 US3132QUWP46FNMA 30YR 3.0% 05/01/2043#AB9341 $208 0.000% 31417GLX2 US31417GLX24FNMA 30YR 6.0% 03/01/2038#969711 $208 0.000% 31414LYG7 US31414LYG75GNII II 3.5% 05/20/2046#AS9183 $208 0.000% 36193VFY3 US36193VFY39FNMA 30YR 4.5% 04/47#BH0885 $207 0.000% 3140GN6X6 US3140GN6X69


500 Salem Street


112

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNII II 4% 10/20/2047#MA4779 $206 0.000% 36179TJY2 US36179TJY29FNMA 30YR 4.0% 12/01/2044#AY0510 $206 0.000% 3138YDR84 US3138YDR842FHLG 5.00% 5/35 #G01818 $205 0.000% 3128LXAT7 US3128LXAT79FNMA 30YR 3.0% 12/01/2042#AR1624 $205 0.000% 3138NXYW1 US3138NXYW15Freddie Mac planned amortization class Series 3110Class OP 9/15/35 $205 0.000% 31396HU49 US31396HU495FNMA 4.00% 1/42 #AJ8222 $204 0.000% 3138E1D46FNMA 30YR 4.5% 03/01/2047#AS9422 $203 0.000% 3138WKPG4 US3138WKPG44FHLG 15YR 2.5% 01/01/2031#ZS8593 $203 0.000% 3132A9RN9 US3132A9RN99FHLG 30YR 4.0% 08/01/2043#Q20785 $203 0.000% 3132JM2S7 US3132JM2S71FHLG 15YR 2.5% 11/01/2032#ZS8675 $203 0.000% 3132A9T80 US3132A9T807GNMA 4.50% 4/40 #737111 $203 0.000% 3620AQ3U5 US3620AQ3U54FNMA 30YR 4.5% 11/01/2047#CA1780 $202 0.000% 3140Q86S9 US3140Q86S93FNMA 30YR 3.0% 12/01/2042#AQ8634 $201 0.000% 3138MQSY0 US3138MQSY03GNMA 5.50% 9/38 #677307 $201 0.000% 36295QNY2 US36295QNY25FHLG 30YR 3.5% 04/46#Q39901 $201 0.000% 3132QXAB3 US3132QXAB37GNII 30YR 4.5% 04/20/2040#004673 $200 0.000% 36202FFN1 US36202FFN15Fannie Mae Series 2007-57 Class SA, 40.600% - 1month U.S. LIBOR 40.104% 6/25/37 $200 0.000% 31396WJV9 US31396WJV90Fannie Mae planned amortization class Series2006-62 Class KP 4/25/36 $200 0.000% 31395N6X0 US31395N6X06FNMA 30YR 4% 09/01/2048#BN0399 $199 0.000% 3140JGNR2 US3140JGNR26FHLG 4.50% 2/41 #A96766 $198 0.000% 312945QT8 US312945QT89GNII II 3.5% 12/20/2042#MA0699 $198 0.000% 36179MX47 US36179MX478GNII II 4.50% 3/41 #004978 $198 0.000% 36202FQ74 US36202FQ740FNMA 30YR 3.5% 4/1/43 #AT3073 $198 0.000% 3138WQMX7 US3138WQMX73FNMA 30YR 4% 11/40#AE6588 $198 0.000% 31419HKA9 US31419HKA94GNMA 5.50% 12/38 #702744 $198 0.000% 36296VWD6 US36296VWD62FNMA 30YR 3.5% 09/01/2047#CA0862 $197 0.000% 3140Q75Y9 US3140Q75Y98FHLG 30YR 4.5% 07/01/2040# $197 0.000% 312941SD0 US312941SD06FNMA 6.00% 7/38 #889733 $196 0.000% 31410KPS7 US31410KPS77FNMA 30YR 3.5% 11/01/2045#BA3906 $196 0.000% 3140E8KU1 US3140E8KU10FNMA 30YR 3.0% 09/01/2043#AS0961 $196 0.000% 3138WAB71 US3138WAB713FHLG 30YR 4.0% 12/01/2042#Q13899 $196 0.000% 3132HQKL5 US3132HQKL58FHLG 30YR 4.0% 04/01/2043#Q17518 $196 0.000% 3132J8YQ7 US3132J8YQ73FNMA 30YR 4% 02/01/2048#BJ4680 $195 0.000% 3140H6FW4 US3140H6FW44FNMA 30YR 4% 07/01/2039#AW9574 $195 0.000% 3138XZT84 US3138XZT843FNMA 30YR 4.5% 04/47#AS9614 $195 0.000% 3138WKVG7 US3138WKVG79FNMA 3.50% 5/42 #AO0693 $195 0.000% 3138LQXX7


500 Salem Street


113

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 4.0% 03/01/2043#Q16049 $194 0.000% 3132J7EX6 US3132J7EX61FHLG 30YR 4.0% 04/01/2045#Q32823 $194 0.000% 3132QPD50 US3132QPD506FNMA 20YR 4% 09/01/2039#MA3773 $194 0.000% 31418DFP2 US31418DFP24FNMA 30YR 4.0% 09/01/2040#AE3951 $194 0.000% 31419EL98 US31419EL988FHLG 30YR 4.0% 02/01/2044#Q24546 $193 0.000% 3132M4WF8 US3132M4WF84GNMA 4.50% 6/39 #720064 $193 0.000% 3620A55Z8 US3620A55Z80GNMA 4.50% 6/39 #713471 $193 0.000% 36297JT46GNMA 5.00% 7/40 #739706 $191 0.000% 3620ATYB7Freddie Mac planned amortization class Series 2095Class PE, 6% 11/15/28 $191 0.000% 3133TGWC9 US3133TGWC94GNMA 30YR 3.0% 06/15/2043#AD2454 $191 0.000% 36180DWP8 US36180DWP85FNMA 30YR 4.5% 09/01/2043#AU6807 $190 0.000% 3138X6R56 US3138X6R564GNMA 4.50% 2/40 #737007 $190 0.000% 3620AQYC1FNMA 30YR 4% 04/48#BK4838 $190 0.000% 3140HJLU3 US3140HJLU30FNMA 15YR 5.00% 9/25 #AE0552 $189 0.000% 31419ATJ6 US31419ATJ69GNII II 4% 12/20/2045#MA3311 $189 0.000% 36179RVC0 US36179RVC05GNII 3.50% 7/42 #MA0220 $188 0.000% 36179MG53 US36179MG531Ginnie Mae guaranteed REMIC pass-thru certificatessequential payer Series 2013-H06 Class HA, 1.65%1/20/63 $188 0.000% 38375BJ60 US38375BJ605GNMA 4.00% 10/41 #779843 $188 0.000% 36176YEQ6FNMA 15YR 3% 04/01/2029#MA1911 $186 0.000% 31418BDR4 US31418BDR42FHLG 30YR 5.0% 06/01/2041#Q01604 $185 0.000% 3132GEX96 US3132GEX962FNMA 30YR 3.4% 09/01/2042#AP9959 $185 0.000% 3138MEB58 US3138MEB583Fannie Mae planned amortization class Series1999-32 Class PL, 6% 7/25/29 $185 0.000% 31359WHX2 US31359WHX20FHLG 30YR 4.5% 09/01/2040#G06016 $185 0.000% 3128M8AR5 US3128M8AR56FHLG 30YR 6% 09/01/2033# $185 0.000% 31283HX75 US31283HX754FHLG 30YR 3.0% 03/01/2043#Q16470 $185 0.000% 3132J7T44 US3132J7T448FNMA 30YR 3.0% 11/01/2042#AQ4673 $185 0.000% 3138MLFP4 US3138MLFP46FNMA 4.00% 11/40 #AE3764 $184 0.000% 31419EFE4 US31419EFE41GNMA 4.00% 11/40 #749953 $184 0.000% 3620C6E27FHLM ARM 0.0% 07/01/2041#1B8505 $184 0.000% 3128UGZV2 US3128UGZV27FNMA 30YR 3.5% 10/42#AP9654 $184 0.000% 3138MDWQ1 US3138MDWQ10FHLG 30YR 3.0% 07/01/2045#Q34979 $184 0.000% 3132QRQ94 US3132QRQ942FNMA 30YR 5.0% 06/01/2041#AH7450 $182 0.000% 3138A9H49 US3138A9H491FNMA 6.00% 7/35 #357843 $182 0.000% 31376KP42 US31376KP426FHLG 30YR 5% 07/01/2035# $181 0.000% 3128MJCD0 US3128MJCD07FNMA 30YR 4.5% 06/01/2046#BC8622 $180 0.000% 3140F4SL1 US3140F4SL14


500 Salem Street


114

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 4.50% 6/40 #745127 $180 0.000% 3620C0YY8FHLG 4.00% 12/40 #A95796 $180 0.000% 312944NM9 US312944NM98GNMA 4.50% 6/40 #745088 $180 0.000% 3620C0XR4Fannie Mae sequential payer Series 2001-20 ClassZ, 6% 5/25/31 $179 0.000% 31359SXB1 US31359SXB14FNMA 20YR 6.50% 7/27 #256821 $178 0.000% 31371NG66 US31371NG669FNMA 30YR 3.0% 12/01/2042#AB7273 $178 0.000% 31417ECK5 US31417ECK55FNMA 4.00% 10/40 #AE4428 $177 0.000% 31419E4N6 US31419E4N64FHLG 5.00% 9/35 #A37119 $177 0.000% 31297S4C6 US31297S4C67FHLG 30YR 4.0% 07/01/2043#Q19764 $176 0.000% 3132JBJJ3 US3132JBJJ35GNMA 30YR 3.0% 05/15/2042#779220 $176 0.000% 36176XPD5 US36176XPD56GNMA 30YR 4% 10/15/2041#775540 $175 0.000% 36176TLV8 US36176TLV88FHLM ARM 4.24% 6/33 #847147 $175 0.000% 3128HD5G0 US3128HD5G08FNMA 30YR 4% 03/01/2048#BK3214 $174 0.000% 3140HGSC2 US3140HGSC20FNMA 30YR 4% 04/46#BC7809 $174 0.000% 3140F3VB1 US3140F3VB12FNMA 30YR 3.5% 12/01/2042#AQ8878 $174 0.000% 3138MQ2L6 US3138MQ2L62FHLG 30YR 4.0% 08/01/44#Q27794 $174 0.000% 3132M8KF2 US3132M8KF27FHLG 30YR 4.0% 06/01/2044#Q26541 $173 0.000% 3132M65A4 US3132M65A43FNMA 15YR 3% 12/01/2029#MA2178 $173 0.000% 31418BM45 US31418BM455FNMA 4.00% 3/41 #AH6233 $173 0.000% 3138A74T2 US3138A74T23FHLG 15YR 3% 06/01/2031#J34677 $173 0.000% 31307RFS9 US31307RFS94FHLG 15YR 3.5% 05/01/2030#J31652 $173 0.000% 31307MZR0 US31307MZR05Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2010-14 Class SN, 5.950% - 1 month U.S.LIBOR 5.8654% 2/16/40 $172 0.000% 38376WKH7 US38376WKH78GNMA 5.00% 4/41 #734392 $172 0.000% 3620AM2Z4GNMA 5.00% 7/40 #674064 $172 0.000% 36295LZ53FNMA 3.50% 11/42 #AQ0206 $172 0.000% 3138MFGQ4 US3138MFGQ42FNMA 30YR 3.5% 03/01/2045#AY2657 $171 0.000% 3138YF5T7 US3138YF5T77FNMA 30YR 4.5% 09/01/2041#AJ0855 $171 0.000% 3138AR5R1 US3138AR5R17GNMA 3.50% 1/41 #737901 $171 0.000% 3620ARX63 US3620ARX631FHLG 30YR 4.5% 03/41#A97555 $170 0.000% 312946MC7 US312946MC73Freddie Mac Manufactured Housing participationcertificates guaranteed sequential payer Series2056 Class Z, 6% 5/15/28 $170 0.000% 3133TDZM1 US3133TDZM19GNII II 6.00% 5/32 #003238 $170 0.000% 36202DS36 US36202DS360GNII II 4% 08/47#MA4653 $170 0.000% 36179TE27 US36179TE275GNMA 7.00% 9/32 #593212 $169 0.000% 36201UAM6FHLG 15YR 2.5% 01/33#J38270 $169 0.000% 31307VFK7 US31307VFK70


500 Salem Street


115

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 4.00% 2/40 #706789 $169 0.000% 36297BF63FNMA 6.00% 6/35 #828385 $169 0.000% 31407EJ61 US31407EJ615FNMA 30YR 3.0% 02/01/2043#AR3691 $169 0.000% 3138W1C54 US3138W1C543FHLG 30YR 4.5% 10/01/2039#A89270 $168 0.000% 312936JP3 US312936JP34FNMA 3.0% 06/45#AZ3703 $168 0.000% 3138YVDH9 US3138YVDH91FNMA 30YR 3.0% 12/01/2042#AL2860 $168 0.000% 3138EKFA8 US3138EKFA85FHLG 15YR 3.5% 02/01/2030#J30717 $166 0.000% 31307LYN2 US31307LYN27GNII II 3.5% 06/20/2042#MA0154 $166 0.000% 36179ME30 US36179ME304FHLG 30YR 4.5% 06/01/2041# $165 0.000% 3132GESV3 US3132GESV38FHLG 3.0% 8/45#Q35578 $165 0.000% 3132QSFU7 US3132QSFU77GNII 30YR 4.5% 06/20/2040#004709 $164 0.000% 36202FGS9 US36202FGS92FNMA 30YR 3.0% 12/01/2042#AR0530 $164 0.000% 3138NWSU4 US3138NWSU40Freddie Mac Series 4427 Class LI, 3.5% 2/15/34 $163 0.000% 3137BGB32 US3137BGB328Fannie Mae planned amortization class Series1999-17 Class PG, 6% 4/25/29 $163 0.000% 31359VSD6 US31359VSD63FNMA 30YR 4% 04/01/2042#AK9692 $163 0.000% 3138EEXW4 US3138EEXW44FHLG 4.50% 2/41 #A96695 $163 0.000% 312945NL8 US312945NL80FHLM ARM 4.65% 5/35 #1B2900 $162 0.000% 3128JNDE2 US3128JNDE20FHLG 15YR 3.5% 12/01/2029#J30136 $162 0.000% 31307LEH7 US31307LEH78GNMA 4.50% 4/41 #762904 $162 0.000% 36176DKR3 US36176DKR34FNMA 30YR 3.0% 05/01/2043#AB9239 $161 0.000% 31417GHR0 US31417GHR02FHLG 3.50% 10/42 #Q12211 $161 0.000% 3132HNN47 US3132HNN475GNII II 4.00% 12/40 #004882 $160 0.000% 36202FM78 US36202FM780FNMA 3.50% 9/42 #AP3391 $160 0.000% 3138M6XV4 US3138M6XV47GNMA 4.50% 6/40 #677235 $160 0.000% 36295QLQ1 US36295QLQ19GNMA 4.50% 8/40 #741372 $160 0.000% 3620AVT51 US3620AVT516FNMA 3.50% 9/42 #AP6523 $160 0.000% 3138MAG93 US3138MAG937FHLG 15YR 3% 06/01/2031#J34669 $160 0.000% 31307RFJ9 US31307RFJ95FNMA 4.50% 10/40 #AE3832 $160 0.000% 31419EHJ1 US31419EHJ10FNMA 4.50% 7/39 #931506 $160 0.000% 31412P3P4 US31412P3P49FHLG 4.50% 2/41 #A97151 $159 0.000% 3129455L8 US3129455L80Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2015-H13 Class HA, 2.5% 8/20/64 $159 0.000% 38376RCQ7 US38376RCQ74GNMA 30YR 3.5% 06/15/2043#740830 $159 0.000% 3620AVA77 US3620AVA771GNMA 4.50% 7/39 #692706 $159 0.000% 36296JR31 US36296JR312FNMA 30YR 3.5% 01/01/2045#AY2765 $159 0.000% 3138YGCB6 US3138YGCB63FNMA 30YR 3.0% 11/01/2042#AQ1978 $159 0.000% 3138MHFU2 US3138MHFU29GNMA 5.00% 6/40 #743475 $158 0.000% 3620AX6L7 US3620AX6L74FNMA 30YR 4% 12/01/2045#BC0997 $158 0.000% 3140EVDB0 US3140EVDB06


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116

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 3.5% 05/01/2045#AY9863 $158 0.000% 3138YP5Z1 US3138YP5Z11GNMA 30YR 4.0% 08/15/2042#798467 $157 0.000% 36177TMR5 US36177TMR58FNMA 30YR 5.0% 06/44#AW6246 $157 0.000% 3138XV5G1 US3138XV5G14FHLG 30YR 4.0% 07/01/2043#Q20358 $157 0.000% 3132JMMF3 US3132JMMF31FHLG 30YR 3.5% 05/01/2045#Q33623 $157 0.000% 3132QQAZ5 US3132QQAZ53FHLG 30YR 4.0% 07/01/2044#Q27067 $157 0.000% 3132M7QU5 US3132M7QU56GNMA 30YR 4.0% 06/15/2045#AN5671 $156 0.000% 36186NJQ3 US36186NJQ34FNMA 30YR 4.0% 12/01/2043#AV1877 $156 0.000% 3138XDCP3 US3138XDCP38GNMA 30YR 4.0% 07/15/2042#AB1380 $156 0.000% 36178LQ97 US36178LQ971FNMA 30YR 4.5% 12/01/2033#AL5321 $156 0.000% 3138EM4F5 US3138EM4F56GNMA 5.00% 7/40 #743665 $155 0.000% 3620AYFE1 US3620AYFE19FNMA 6.00% 3/37 #889506 $155 0.000% 31410KGP3 US31410KGP30FHLG 15YR 3.5% 06/01/2030#J31990 $154 0.000% 31307NF74 US31307NF749FNMA 30YR 3.0% 12/01/2042#AB7425 $154 0.000% 31417EHB0 US31417EHB02FNMA 30YR 4% 11/01/2040#AE7382 $154 0.000% 31419JFY9 US31419JFY91FHLG 30YR 4% 06/01/2041# $154 0.000% 3132GEVS6 US3132GEVS61FNMA 30YR 4.5% 09/01/2043#AU8493 $153 0.000% 3138X8NK3 US3138X8NK39FNMA 30YR 3.5% 11/01/2042#AP4319 $153 0.000% 3138M7YR0 US3138M7YR09GNMA II 3.5% 06/20/2046#AR9310 $152 0.000% 36193GKX2 US36193GKX24FNMA 6.00% 10/34 #357634 $152 0.000% 31376KHK5 US31376KHK51GNMA II 3.5% 01/20/2050#BR8994 $152 0.000% 3617M77F9 US3617M77F97GNMA 7.00% 8/32 #594813 $151 0.000% 36201VYJ5GNMA II 7.00% 4/32 #781432 $151 0.000% 36225BSV1 US36225BSV17GNMA 4.50% 12/39 #704808 $151 0.000% 36296YAH5 US36296YAH53GNMA II 3.5% 05/20/2046#AT2645 $150 0.000% 36194A5E3 US36194A5E33FHLG 30YR 5.0% 05/01/2041#Q00557 $150 0.000% 3132GDTN2 US3132GDTN20FNMA 30YR 5.0% 06/01/2041#AI5034 $150 0.000% 3138AJSY9 US3138AJSY97Freddie Mac sequential payer Series 2519 Class ZD,5.5% 11/15/32 $150 0.000% 31393FCL8 US31393FCL85GNMA 4.50% 2/40 #711189 $150 0.000% 36297GC24 US36297GC243Fannie Mae Series 2008-12 Class SG, 6.350% - 1month U.S. LIBOR 6.264% 3/25/38 $150 0.000% 31396YMM1 US31396YMM11Freddie Mac planned amortization class Series 2154Class PT, 6% 5/15/29 $150 0.000% 3133TKW97 US3133TKW970FHLG 30YR 4.0% 04/01/2045#Q32912 $149 0.000% 3132QPGW8 US3132QPGW85GNMA 30YR 3.0% 06/15/2043#AD3626 $149 0.000% 36180FA36 US36180FA361FNMA 30YR 4.5% 08/01/2033#729380 $149 0.000% 31402HJZ5 US31402HJZ55FHLG 7.00% 9/35 #A47784 $149 0.000% 3128K8UH7 US3128K8UH74FHLG 30YR 4.5% 01/01/2040#A90709 $148 0.000% 312938YE7 US312938YE77


500 Salem Street


117

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 3.0% 05/01/2043#AB9238 $148 0.000% 31417GHQ2 US31417GHQ29FNMA 7.50% 10/29 #507061 $147 0.000% 31383MJE4 US31383MJE49FNMA 30YR 3.0% 03/01/2043#AB8830 $147 0.000% 31417FY44 US31417FY446FHLG 30YR 4.0% 06/01/2043#Q19747 $147 0.000% 3132JBHZ9 US3132JBHZ94Fannie Mae sequential payer Series 1999-25 ClassZ, 6% 6/25/29 $147 0.000% 31359VU27 US31359VU270FNMA 6.00% 11/35 #843132 $147 0.000% 31407WVZ3 US31407WVZ30FNMA 30YR 4.0% 07/01/2045#AZ0833 $146 0.000% 3138YR4T2 US3138YR4T24GNMA 5.00% 8/40 #748482 $146 0.000% 3620C4RB8FNMA 30YR 3.0% 02/01/2043#AR5360 $146 0.000% 3138W25W1 US3138W25W14FNMA 4.50% 12/40 #AB1898 $145 0.000% 31416XDC1FHLG 30YR 3.5% 05/01/2045#Q33801 $145 0.000% 3132QQGK2 US3132QQGK21GNMA 4.00% 8/41 #768137 $144 0.000% 36176KEJ2GNMA 30YR 4.5% 09/15/2039#713871 $144 0.000% 36297KCG4 US36297KCG40FNMA 6.00% 9/38 #988684 $144 0.000% 31415TJ50 US31415TJ509FNMA 30YR 4% 10/01/2039#AW8233 $144 0.000% 3138XYEF7 US3138XYEF74FNMA 30YR 4% 11/01/2040#AE8185 $144 0.000% 31419KCX1 US31419KCX19GNMA II 3.5% 06/20/2046#AU2287 $144 0.000% 36194PRG1 US36194PRG18Freddie Mac Series 3244 Class SG, 6.660% - 1 monthU.S. LIBOR 6.5763% 11/15/36 $143 0.000% 31397CDA4 US31397CDA45FHLG 30YR 4.5% 06/01/2041# $143 0.000% 3132GET67 US3132GET671FNMA 4.00% 10/41 #AJ3485 $143 0.000% 3138AU2T3 US3138AU2T38FHLG 30YR 3.0% 06/01/2045#Q34103 $143 0.000% 3132QQRZ7 US3132QQRZ70FNMA 30YR 4% 03/48#BK1867 $143 0.000% 3140HFCD9 US3140HFCD93FHLG 30YR 4% 10/01/2047#Q51234 $143 0.000% 3132XTLQ9 US3132XTLQ91FNMA 6.00% 12/38 #970918 $142 0.000% 31414NDX9 US31414NDX93FHLG 30YR 4% 08/01/2045#Q35845 $142 0.000% 3132QSP77 US3132QSP777GNMA 4.00% 4/40 #723739 $142 0.000% 3620AABG2GNII II 4% 01/47#MA4197 $142 0.000% 36179SUW5 US36179SUW50FHLG 30YR 4.0% 06/01/2044#Q26605 $141 0.000% 3132M7AE8 US3132M7AE88GNII II 4% 01/47#MA4263 $140 0.000% 36179SWY9 US36179SWY98FNMA 30YR 4.0% 03/01/2041#AE1147 $140 0.000% 31419BHZ1 US31419BHZ13GNMA 5.00% 9/40 #733919 $139 0.000% 3620AMK84 US3620AMK845Freddie Mac planned amortization class Series 3225Class EO 10/15/36 $139 0.000% 31397BQR5 US31397BQR59GNMA 3.50% 7/42 #AA8273 $139 0.000% 36178GFN9 US36178GFN97FHLG 30YR 4.0% 01/01/2044#Q24349 $138 0.000% 3132M4QA6 US3132M4QA61FNMA 30YR 3.5% 09/01/2042#AO7372 $138 0.000% 3138LYFN2 US3138LYFN28FHLG 30YR 4.0% 11/01/2042#Q13654 $138 0.000% 3132HQBX9 US3132HQBX97


500 Salem Street


118

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 3.0% 01/01/2043#AR1276 $137 0.000% 3138NXM20 US3138NXM208FNMA 30YR 6.0% 04/01/2040#AL0013 $137 0.000% 3138EGAP9 US3138EGAP97GNMA 30YR 4% 04/15/2043#AD7475 $136 0.000% 36180KJU6 US36180KJU60FHLG 30YR 5.0% 02/01/2041#A96961 $136 0.000% 312945WW4 US312945WW45FNMA 30YR 4% 02/01/2048#BK0201 $136 0.000% 3140HDGK4 US3140HDGK43FHLG 30YR 4% 02/01/2048#Q54499 $136 0.000% 3132XW7M7 US3132XW7M72FNMA ARM 4.717% 7/35 #735778 $136 0.000% 31402RM30 US31402RM307FHLG 30YR 4.5% 12/01/2040# $135 0.000% 312944LX7 US312944LX71GNMA 4.50% 2/40 #735358 $135 0.000% 3620AN5T3GNMA 30YR 3.5% 06/15/2043#AC9654 $135 0.000% 36179KWP5 US36179KWP55Fannie Mae Series 2010-135 Class LS, 6.050% - 1month U.S. LIBOR 5.964% 12/25/40 $135 0.000% 31398SD91 US31398SD916FNMA 30YR 3.0% 05/45#AY7636 $135 0.000% 3138YMPW3 US3138YMPW32FHLM ARM 5.15% 4/35 #1N0006 $135 0.000% 3128QGAF9 US3128QGAF97FHLG 30YR 4% 10/01/2047#Q51124 $134 0.000% 3132XTHA9 US3132XTHA95FNMA 30YR 4.5% 08/01/2041#AI9672 $134 0.000% 3138APXA1 US3138APXA17FHLG 15YR 2.5% 09/01/2032#ZK8908 $134 0.000% 3131XC3R6 US3131XC3R67FNMA 20YR 4% 09/01/2038#BN0704 $134 0.000% 3140JGYA7 US3140JGYA71GNMA 4.00% 9/41 #772060 $134 0.000% 36176PQM1Fannie Mae Series 2012-100 Class WI, 3% 9/25/27 $134 0.000% 3136A8PY0 US3136A8PY09FHLG 30YR 5% 12/01/2035# $134 0.000% 3128LXFN5 US3128LXFN54FNMA 30YR 3.5% 12/01/2045#BA3904 $133 0.000% 3140E8KS6 US3140E8KS63GNMA 5.50% 3/38 #676892 $133 0.000% 36295P7D8 US36295P7D84FNMA 6.50% 12/35 #AD0723 $132 0.000% 31418MYV8 US31418MYV89FNMA 10YR 2.5% 10/01/2029#FM1701 $132 0.000% 3140X43K0 US3140X43K03FHLG 4.50% 8/41 #Q02511 $132 0.000% 3132GFYG6 US3132GFYG61FHLG 4.50% 9/41 #Q03529 $131 0.000% 3132GJSS9 US3132GJSS95FHLM ARM 5.12% 10/36 #1A1201 $131 0.000% 3128NFKN6 US3128NFKN65FHLG 30YR 4.0% 09/01/2043#Q21900 $131 0.000% 3132JPDD1 US3132JPDD15FNMA 30YR 4% 06/01/2045#AZ2719 $130 0.000% 3138YUAV3 US3138YUAV30FNMA 30YR 4% 11/01/2040#AE7376 $130 0.000% 31419JFS2 US31419JFS24FNMA 30YR 4% 02/01/2045#AY1700 $130 0.000% 3138YE3J4 US3138YE3J41FHLG 30YR 4.0% 02/01/2043#Q15107 $130 0.000% 3132J6DM3 US3132J6DM33FNMA 30YR 4.5% 12/01/2040#AE0675 $129 0.000% 31419AXD4 US31419AXD44Fannie Mae planned amortization class Series1999-33 Class PK, 6% 7/25/29 $129 0.000% 31359WKN0 US31359WKN01FNMA 30YR 4.5% 04/01/2041#AH4043 $129 0.000% 3138A5P55 US3138A5P559FNMA 30YR 4.0% 04/01/2042#MA1028 $129 0.000% 31418AEA2 US31418AEA25FHLG 15YR 3% 06/01/2031#J34623 $129 0.000% 31307RD44 US31307RD448


500 Salem Street


119

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 4.00% 11/40 #AE9065 $129 0.000% 31419LCB7FNMA 30YR 4.5% 07/01/2045#AS5393 $129 0.000% 3138WE7F0 US3138WE7F03FHLG 3.50% 9/42 #Q11420 $128 0.000% 3132HMSH5 US3132HMSH50FNMA 30YR 4.25% 11/01/2041#AJ7445 $128 0.000% 3138E0HX0 US3138E0HX06FNMA 30YR 4.5% 11/01/2044#AX6493 $128 0.000% 3138Y8GB0 US3138Y8GB03GNMA 5.00% 10/39 #723224 $127 0.000% 3620A9PH8GNII II 4.0% 01/46#MA3377 $127 0.000% 36179RXE4 US36179RXE43FNMA 30YR 5.0% 05/44#AW4672 $127 0.000% 3138XUFN7 US3138XUFN77FHLG 30YR 3.0% 10/01/2045#Q36623 $127 0.000% 3132QTLD6 US3132QTLD61GNMA 4.00% 6/41 #768770 $126 0.000% 36176K2B2 US36176K2B27FNMA 30YR 3.65% 08/01/2042#AP5088 $126 0.000% 3138M8UN1 US3138M8UN14GNMA 4.50% 11/39 #722701 $125 0.000% 3620A83J0GNMA II 3.5% 05/20/2046#AT0228 $125 0.000% 36193XHD3 US36193XHD30FHLG 30YR 6% 11/01/2032#C73584 $125 0.000% 31288B6V0 US31288B6V00FHLG 30YR 5.0% 03/01/2041#A97717 $125 0.000% 312946SE7 US312946SE75FNMA 30YR 3.0% 09/01/2043#AT7263 $125 0.000% 3138WVB91 US3138WVB917FNMA ARM 0.0% 01/01/2042#AJ8357 $124 0.000% 3138E1JB4 US3138E1JB41FNMA 30YR 4.5% 04/01/2047#BH0886 $124 0.000% 3140GN6Y4 US3140GN6Y43GNMA 5.00% 7/40 #729562 $124 0.000% 3620AGQP3FHLG 30YR 4.5% 10/43#Q22414 $124 0.000% 3132JPVF6 US3132JPVF60GNII II 4.50% 11/40 #004854 $124 0.000% 36202FMB9 US36202FMB93GNII II 4.50% 10/40 #004834 $123 0.000% 36202FLP9 US36202FLP98FNMA 30YR 3.5% 10/01/2049#BO5404 $123 0.000% 3140K1AE6 US3140K1AE65FNMA 30YR 4% 05/01/2046#BC2276 $123 0.000% 3140EWQ65 US3140EWQ651GNMA 30YR 4.0% 11/15/2041#769621 $123 0.000% 36176LYS8 US36176LYS86GNMA 5.00% 11/40 #737674 $123 0.000% 3620ARQ38FHLG 30YR 3.5% 11/01/2045#Q37070 $123 0.000% 3132QT2C9 US3132QT2C95GNMA 4.00% 6/41 #748112 $122 0.000% 3620C4DR8FNMA 30YR 4.5% 04/01/2047#AS9459 $122 0.000% 3138WKQM0 US3138WKQM03FNMA 4.00% 2/41 #AH4471 $122 0.000% 3138A56H0FNMA 30YR 4.5% 01/01/2049#CA2963 $121 0.000% 3140QAJH4 US3140QAJH47GNMA 5.00% 9/40 #747153 $121 0.000% 3620C3BW1GNMA 30YR 4% 04/15/2042#792254 $121 0.000% 36177LQG2 US36177LQG22FHLG 20YR 4% 06/01/2038#K94286 $121 0.000% 3132LQUK1 US3132LQUK10FHLG 30YR 4.5% 11/01/2040#A94862 $121 0.000% 312943MK6 US312943MK68FNMA 30YR 4.0% 04/01/2045#AV2191 $121 0.000% 3138XDNH9 US3138XDNH92FNMA ARM 5.65% 7/37 #942609 $121 0.000% 31413DVA2 US31413DVA26FNMA 4.00% 4/42 #AO0513 $121 0.000% 3138LQSB1 US3138LQSB19FNMA 4.50% 9/33 #727147 $121 0.000% 31402EZL5 US31402EZL54


500 Salem Street


120

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFannie Mae planned amortization class Series2006-45 Class OP 6/25/36 $121 0.000% 31395NEN3 US31395NEN30GNMA 30YR 3.0% 04/15/2043#666342 $121 0.000% 36295CHT1 US36295CHT18FNMA 30YR 3% 07/27#MA1128 $120 0.000% 31418AHE1 US31418AHE10FNMA 15YR 3% 12/01/2028#MA1735 $119 0.000% 31418A4V7 US31418A4V72FHLG 4.50% 8/41 #Q02763 $119 0.000% 3132GGB87 US3132GGB872FNMA 15YR 3% 07/01/2029#MA2025 $119 0.000% 31418BHB5 US31418BHB53FHLM ARM 12ML+187.9 10/42#849255 $119 0.000% 31300MH89 US31300MH890FNMA ARM 3.24% 9/33 #555935 $119 0.000% 31385XSY4 US31385XSY49FHLG 30YR 4.0% 10/01/2042#Q12164 $119 0.000% 3132HNMM8 US3132HNMM82Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2012-76 Class GS, 6.700% - 1 month U.S.LIBOR 6.6154% 6/16/42 $118 0.000% 38375C5E6 US38375C5E65FHLG 30YR 5.0% 07/01/2041#Q01871 $118 0.000% 3132GFCG0 US3132GFCG00GNMA 4.00% 5/40 #723747 $118 0.000% 3620AABQ0FHLG 30YR 4% 12/01/2040# $118 0.000% 312944H79 US312944H798GNMA 30YR 3.5% 06/15/2043#AE4598 $118 0.000% 36180XDB6 US36180XDB64GNMA 4.50% 8/39 #722204 $118 0.000% 3620A8KR3FHLG 30YR 5.0% 04/01/2041#Q00409 $118 0.000% 3132GDN24 US3132GDN247FHLG 30YR 3.5% 06/45#Q34074 $118 0.000% 3132QQQ47 US3132QQQ472FNMA 4.00% 1/41 #AH4987 $117 0.000% 3138A6RH5FNMA 4.00% 4/42 #AK9948 $116 0.000% 3138EFBS4 US3138EFBS45FHLG 15YR 3.5% 06/01/2030#J31908 $116 0.000% 31307NDM3 US31307NDM39FNMA 30YR 4.5% 06/01/2047#BH3646 $116 0.000% 3140GSBQ4 US3140GSBQ46FHLG 15YR 2.5% 12/01/2031#ZS8632 $116 0.000% 3132A9SV0 US3132A9SV07FNMA 30YR 3.0% 4/1/43 #AB9017 $116 0.000% 31417GAT3 US31417GAT31GNMA 5.00% 5/39 #713327 $115 0.000% 36297JPL2GNMA 5.00% 7/40 #719217 $115 0.000% 3620A5AS8FNMA 4.00% 9/40 #AE3950 $115 0.000% 31419EL80 US31419EL806GNMA 4.00% 9/41 #773473 $115 0.000% 36176RCJ9FNMA 30YR 4.5% 06/01/2047#BH3647 $115 0.000% 3140GSBR2 US3140GSBR29FHLG 30YR 3.0% 10/01/2042#C04268 $115 0.000% 31292LW50 US31292LW502FNMA 30YR 3.0% 04/01/2043#AT3042 $114 0.000% 3138WQLY6 US3138WQLY65FNMA 4.50% 8/33 #726923 $114 0.000% 31402ESL3 US31402ESL38FNMA 30YR 3.0% 07/01/2042 #AB5652 $114 0.000% 31417CH65 US31417CH653GNMA 4.00% 10/41 #773499 $114 0.000% 36176RDC3FNMA ARM 5.62% 3/36 #866091 $114 0.000% 31409BF85 US31409BF854FHLG 30YR 3% 11/1/42 #Q13479 $114 0.000% 3132HP2L7 US3132HP2L75FNMA 30YR 4% 10/45#AY3962 $114 0.000% 3138YHML1 US3138YHML19


500 Salem Street


121

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 4.00% 9/41 #AJ0165 $114 0.000% 3138ARFF6FHLM ARM 5.21% 3/36 #1G1851 $114 0.000% 3128QSBU9 US3128QSBU93FHLG 6.50% 1/32 #C62372 $113 0.000% 31287MT59 US31287MT597GNMA 4.50% 11/39 #710499 $113 0.000% 36297FKL5 US36297FKL57FNMA 30YR 4% 07/42#AO9948 $113 0.000% 3138M2BS4 US3138M2BS42FHLG 30YR 4.0% 04/01/2043#Q16749 $113 0.000% 3132J75K4 US3132J75K44FNMA 4.00% 12/40 #AH0851 $113 0.000% 3138A15M9FNMA 30YR 3.0% 04/01/2043 $112 0.000% 31417GAU0 US31417GAU04FNMA 30YR 3.5% 10/01/2049#FM3202 $112 0.000% 3140X6RY9 US3140X6RY94FNMA 30YR 5.0% 07/44#AW6973 $112 0.000% 3138XWXB9 US3138XWXB93FNMA 4.00% 3/36 #AH8017 $112 0.000% 3138A94B7 US3138A94B78FNMA 30YR 5.0% 08/44#AW6267 $112 0.000% 3138XV6D7 US3138XV6D73FNMA ARM 5.21% 5/36 #872503 $111 0.000% 31409JKQ2 US31409JKQ21FNMA 15YR 2.5% 10/01/2032#MA3154 $110 0.000% 31418CQG2 US31418CQG23FHLG 30YR 3.0% 05/01/2045#Q33441 $110 0.000% 3132QPZF4 US3132QPZF42Freddie Mac sequential payer Series 2281 Class ZB,6% 3/15/30 $110 0.000% 3133TNM84 US3133TNM843FNMA 15YR 2.5% 10/01/2031#AS8046 $110 0.000% 3138WH5G3 US3138WH5G31FNMA 30YR 3.5% 01/01/2047#BE1526 $110 0.000% 3140FLVU9 US3140FLVU93FNMA 6.00% 1/42 #AL2128 $110 0.000% 3138EJLJ5 US3138EJLJ57FHLG 7.00% 7/29 #C47273 $110 0.000% 31298GCJ7 US31298GCJ76GNMA 30YR 3.0% 05/15/2043#AD1015 $110 0.000% 36180CDU0 US36180CDU09FHLG 30YR 3.5% 02/01/2045#Q31307 $109 0.000% 3132QMNZ0 US3132QMNZ03FNMA 6.00% 11/35 #844228 $109 0.000% 31407X4M0Fannie Mae Series 2013-N1 Class A, 6.720% - 1month U.S. LIBOR 6.634% 6/25/35 $109 0.000% 31394D4V9 US31394D4V95FNMA 30YR 4% 08/01/2043#AS9172 $108 0.000% 3138WKFN0 US3138WKFN05Fannie Mae floater Series 2003-118 Class S, 8.100%- 1 month U.S. LIBOR 8.014% 12/25/33 $108 0.000% 31393UNH2 US31393UNH22GNMA 30YR 3.0% 04/15/2043#AA6286 $108 0.000% 36178D6X4 US36178D6X44FNMA 30YR 4% 02/01/2046#BC6378 $108 0.000% 3140F2CQ1 US3140F2CQ19GNMA 30YR 3.0% 05/15/2043#AD6332 $108 0.000% 36180JA95 US36180JA959FHLG 4.00% 4/42 #Q07573 $108 0.000% 3132GSXA2 US3132GSXA22FNMA 30YR 4% 11/01/2047#BJ0993 $108 0.000% 3140H2C71 US3140H2C710FNMA 7.50% 11/31 #545304 $107 0.000% 31385HX98 US31385HX989FNMA 6.50% 8/36 #888544 $107 0.000% 31410GER0 US31410GER02GNMA 4.50% 4/40 #723740 $107 0.000% 3620AABH0 US3620AABH00FNMA 30YR 4% 03/01/2048#BK2568 $107 0.000% 3140HF2A6 US3140HF2A64GNMA 30YR 4.0% 08/15/2043#AD5680 $107 0.000% 36180HJZ2 US36180HJZ29


500 Salem Street


122

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 30YR 3.5% 02/15/2043#AD2180 $106 0.000% 36180DM53 US36180DM536Freddie Mac sequential payer Series 2502 Class ZC,6% 9/15/32 $106 0.000% 31392UTM6 US31392UTM61 B8WRRX6GNMA 4.00% 10/39 #710482 $106 0.000% 36297FJ37FNMA 30YR 4.5% 01/01/2044#AV6341 $106 0.000% 3138XJBK2 US3138XJBK20FNMA 30YR 4.5% 09/01/2033#727060 $106 0.000% 31402EWV6 US31402EWV63FHLG 15YR 2.5% 05/01/2030#ZK7367 $106 0.000% 3131XBFG9 US3131XBFG92FNMA 20YR 4% 01/01/2039#BN4894 $106 0.000% 3140JMNL2 US3140JMNL24FHLG 30YR 4.0% 10/01/2042#Q11868 $106 0.000% 3132HNCD9 US3132HNCD93FHLG 3.0% 5/45#Q33470 $105 0.000% 3132QP2C7 US3132QP2C77FNMA 3.50% 7/42 #AO9368 $105 0.000% 3138M1MS4 US3138M1MS40FHLG 30YR 5% 02/01/2040# $105 0.000% 312939LZ2 US312939LZ27FHLG 30YR 5% 05/01/2040# $105 0.000% 312940LA5 US312940LA56FHLG 4.50% 8/41 #Q02387 $105 0.000% 3132GFUL9 US3132GFUL92FHLG 30YR 4.0% 09/01/2043#Q21524 $105 0.000% 3132JNVR5 US3132JNVR50FHLG 30YR 4.0% 07/01/2044#Q27007 $104 0.000% 3132M7NY0 US3132M7NY06FHLG 30YR 4.5% 07/01/2040#C03486 $104 0.000% 31292K2T3 US31292K2T35GNMA 30YR 4% 01/15/2042#794559 $104 0.000% 36177PB53 US36177PB539GNMA 7.00% 7/28 #468054 $104 0.000% 36209C5P7FHLG 30YR 4.0% 08/01/2044#Q28059 $104 0.000% 3132M8TQ9 US3132M8TQ90GNMA 4.50% 5/39 #698329 $104 0.000% 36296QY29 US36296QY297Fannie Mae Series 2013-134 Class SA, 6.050% - 1month U.S. LIBOR 5.964% 1/25/44 $104 0.000% 3136AHTW0 US3136AHTW01FHLG 15YR 2.5% 06/01/2030#ZS8569 $103 0.000% 3132A9QW0 US3132A9QW08FNMA 4.00% 2/41 #AB2343 $103 0.000% 31416XS92FNMA 30YR 3.5% 09/01/2047#BH6749 $103 0.000% 3140GVQB4 US3140GVQB41Petroleos de Venezuela SA 5.5% 4/12/37 $102 0.000% %PETR37 XS0294367205 B1VXHC5FHLG 15YR 2.5% 02/01/2032#ZK8527 $102 0.000% 3131XCPL5 US3131XCPL50FNMA 30YR 4% 11/01/2040#AE8135 $101 0.000% 31419KBD6 US31419KBD63FNMA 30YR 3.5% 05/01/2045#AY9077 $101 0.000% 3138YPCP5 US3138YPCP58GNMA II 3.5% 06/20/2042#783607 $101 0.000% 3622A2AG7 US3622A2AG78FHLG 7.00% 12/33 #G03583 $101 0.000% 3128M5J43 US3128M5J436FNMA 6.00% 10/35 #842152 $100 0.000% 31407VTH8 US31407VTH86FHLG 4.50% 6/41 #Q01208 $100 0.000% 3132GEKV1 US3132GEKV10FNMA ARM 4.80% 7/34 #849923 $100 0.000% 31408FG86 US31408FG863FHLG 30YR 4.0% 05/01/2043#Q18363 $100 0.000% 3132J9WZ7 US3132J9WZ73FHLG 30YR 4.0% 02/01/2044#Q24971 $99 0.000% 3132M5FL1 US3132M5FL11FNMA 30YR 3.0% 01/01/2043#AQ5772 $99 0.000% 3138MMMW9 US3138MMMW96FHLG 30YR 4.0% 04/01/2044#Q25663 $99 0.000% 3132M55Y4 US3132M55Y47


500 Salem Street


123

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 4.0% 03/01/2043#Q16131 $99 0.000% 3132J7HH8 US3132J7HH84GNMA 5.00% 8/39 #698433 $99 0.000% 36296Q4S5Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2011-94 Class SA, 6.100% - 1 month U.S.LIBOR 6.0126% 7/20/41 $99 0.000% 38377WN83 US38377WN831GNMA 30YR 4% 07/15/2046#AT7557 $99 0.000% 36194GME1 US36194GME16FNMA 30YR 4.0% 02/01/2042#AK2415 $99 0.000% 3138E6VH6 US3138E6VH69FNMA 30YR 3.5% 07/01/2045#AZ3198 $98 0.000% 3138YURU7 US3138YURU73FNMA 30YR 3.0% 11/01/2042#AQ3751 $97 0.000% 3138MKEZ5 US3138MKEZ53FNMA 30YR 3.5% 2/1/43#AR5355 $97 0.000% 3138W25R2 US3138W25R29FHLG 15YR 3% 04/01/2032#J36710 $96 0.000% 31307TN31 US31307TN310FNMA 30YR 5.0% 03/44#AW1829 $96 0.000% 3138XRA74 US3138XRA741FNMA 30YR 4.5% 09/01/2033#727221 $96 0.000% 31402E4E5 US31402E4E53GNMA 5.00% 3/41 #738106 $96 0.000% 3620ASAF6FNMA 30YR 3% 4/1/43 #AB9033 $96 0.000% 31417GBB1 US31417GBB14GNMA II 3.5% 01/20/2050#BR8996 $96 0.000% 3617M77H5 US3617M77H53GNMA 4.50% 11/39 #726916 $96 0.000% 3620ADSD5FNMA 4.00% 3/42 #AK1385 $95 0.000% 3138E5RF7FNMA 30YR 4.0% 11/01/2042#890500 $95 0.000% 31410LKM3 US31410LKM36GNMA 5.50% 1/39 #701582 $95 0.000% 36296UM72 US36296UM724GNMA 4.00% 7/41 #769093 $95 0.000% 36176LGA7 US36176LGA70FHLG 30YR 4.5% 02/01/2041# $95 0.000% 3132GE5T3 US3132GE5T39GNMA 3.50% 9/42 #AA5658 $95 0.000% 36178DJB8Freddie Mac Series 3336 Class LI, 6.580% - 1 monthU.S. LIBOR 6.4963% 6/15/37 $95 0.000% 31397J7J7 US31397J7J72FNMA 4.00% 9/40 #AE4923 $95 0.000% 31419FPH3 US31419FPH37GNMA 3.50% 3/42 #773365 $95 0.000% 36176Q6A7 US36176Q6A70GNMA 4.50% 11/39 #728315 $95 0.000% 3620AFDU8GNMA 5.00% 7/39 #704628 $94 0.000% 36296XYZ1 US36296XYZ13FHLG 30YR 4.0% 08/01/2043#G07579 $94 0.000% 3128M9XG2 US3128M9XG28GNMA 5.00% 3/39 #697924 $94 0.000% 36296QLD9 US36296QLD96GNMA 30YR 3.5% 05/15/2043#AC9627 $94 0.000% 36179KVU5 US36179KVU59FHLG 30YR 5.0% 01/01/2041#A96537 $94 0.000% 312945HN1 US312945HN11FHLG 15YR 3.5% 06/01/2027#J19500 $93 0.000% 3128Q0RV1 US3128Q0RV19GNMA 3.50% 1/42 #790493 $93 0.000% 36177JRP6 US36177JRP65FNMA 30YR 4.5% 04/01/2044#AW1064 $93 0.000% 3138XQFE6 US3138XQFE66FNMA 3.5% 8/44#AS3037 $93 0.000% 3138WCLT8 US3138WCLT84GNMA 5.00% 12/39 #728451 $93 0.000% 3620AFH42 US3620AFH423FHLG 4.00% 4/42 #Q07351 $93 0.000% 3132GSQC6 US3132GSQC60


500 Salem Street


124

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFannie Mae sequential payer Series 2001-31 ClassZC, 6.5% 7/25/31 $93 0.000% 313920CW8 US313920CW87FHLG 4.50% 8/40 #A93505 $93 0.000% 3129413N5 US3129413N55 B64WHD5FHLG 30YR 4.0% 02/01/2044#Q24973 $92 0.000% 3132M5FN7 US3132M5FN76Freddie Mac planned amortization class Series 2137Class PG, 6% 3/15/29 $92 0.000% 3133TJR70 US3133TJR709GNMA 5.00% 6/41 #738429 $92 0.000% 3620ASLJ6FHLG 30YR 4.5% 06/01/2041# $92 0.000% 3132GEQJ2 US3132GEQJ28GNMA 4.00% 11/39 #710497 $92 0.000% 36297FKJ0 US36297FKJ02FHLM ARM 4.56% 6/33 #780605 $92 0.000% 31342AU64 US31342AU643GNMA 4.00% 1/40 #711483 $92 0.000% 36297GM80 US36297GM804GNMA 4.00% 10/41 #479596 $91 0.000% 36209RXZ1 US36209RXZ18FNMA 6.00% 9/37 #942981 $91 0.000% 31413ECS2 US31413ECS28GNMA 30YR 3.0% 05/15/2043#AD0745 $91 0.000% 36180BZJ3 US36180BZJ33FNMA 30YR 3.0% 12/01/2042#AQ8767 $90 0.000% 3138MQW58 US3138MQW583FNMA 4.00% 3/41 #AH6075 $90 0.000% 3138A7XD5 US3138A7XD50FNMA 30YR 3.0% 12/01/2042#AQ6625 $90 0.000% 3138MNLF5 US3138MNLF55FNMA 30YR 3.0% 01/01/2043#AR2880 $90 0.000% 3138W0FW4 US3138W0FW43FHLG 30YR 3.5% 07/01/2046#Q41359 $89 0.000% 3132WEQM7 US3132WEQM72FNMA 7.00% 5/30 #590851 $89 0.000% 31387QL81FNMA 30YR 5.0% 07/01/2040#AD9214 $89 0.000% 31418XGY8 US31418XGY85FNMA 30YR 5.0% 06/01/2041#AI3724 $89 0.000% 3138AHD60 US3138AHD603GNMA 5.00% 11/39 #726095 $88 0.000% 3620ACUU6FNMA 15YR 2.5% 09/01/2029#AS3260 $88 0.000% 3138WCTS2 US3138WCTS20FNMA 15YR 2.5% 01/01/2033#BH9242 $88 0.000% 3140GYHU6 US3140GYHU61Freddie Mac target amortization class Series 2156Class TC, 6.25% 5/15/29 $88 0.000% 3133TKZ78 US3133TKZ783FNMA 30YR 3.5% 04/01/2045#AS4796 $88 0.000% 3138WEKJ7 US3138WEKJ77FHLG 30YR 4.0% 01/01/2043#Q15174 $88 0.000% 3132J6FQ2 US3132J6FQ29GNMA 4.00% 1/40 #724698 $87 0.000% 3620ABDB9GNMA 4.00% 7/41 #768127 $87 0.000% 36176KD87GNII II 3.50% 3/42 #005331 $87 0.000% 36202F4Q6 US36202F4Q63GNMA 5.00% 10/39 #717997 $87 0.000% 3620A3UW2GNMA 30YR 4% 03/15/2042#796180 $87 0.000% 36177Q2N2 US36177Q2N28GNMA 30YR 3.5% 06/15/2043#AE4597 $87 0.000% 36180XDA8 US36180XDA81FNMA ARM 4.64% 1/35 #813730 $87 0.000% 31406MA71 US31406MA718FHLG 30YR 4.5% 09/01/2041#Q03517 $87 0.000% 3132GJSE0 US3132GJSE00FNMA 6.50% 8/36 #AE0746 $86 0.000% 31419AZL4 US31419AZL42GNMA 4.50% 2/40 #711174 $86 0.000% 36297GCK4 US36297GCK40


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125

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 4.00% 3/42 #AK5316 $86 0.000% 3138E94A5FHLM ARM 6.29% 3/36 #1G1852 $86 0.000% 3128QSBV7 US3128QSBV76FHLG 4.50% 6/38 #G05299 $86 0.000% 3128M7GG5 US3128M7GG54GNMA 5.00% 9/39 #710848 $86 0.000% 36297FWH1FNMA 4.00% 11/40 #AE9949 $86 0.000% 31419MBT7 US31419MBT71FNMA 30YR 4% 01/01/2048#BJ1581 $85 0.000% 3140H2XK9 US3140H2XK99GNMA 4.00% 7/39 #703035 $85 0.000% 36296WBC9GNMA 4.00% 8/39 #698479 $85 0.000% 36296Q6Q7 US36296Q6Q78FHLG 30YR 4.5% 12/01/2040#A95413 $85 0.000% 312944AN1 US312944AN19FHLG 20YR 3% 02/01/2037#C91912 $85 0.000% 3128P8DR9 US3128P8DR98FHLG 30YR 4.0% 05/01/2043#Q18136 $85 0.000% 3132J9PW2 US3132J9PW26GNMA 30YR 3.0% 06/15/2043#AC2222 $85 0.000% 36179BPF5 US36179BPF57FHLG 30YR 4.0% 10/01/2043#Q22682 $85 0.000% 3132JP6T4 US3132JP6T46FNMA 20YR 3.5% 01/01/2038#MA3243 $85 0.000% 31418CS96 US31418CS963FHLG 30YR 4.5% 01/01/2041# $85 0.000% 312944YF2 US312944YF29GNMA 4.00% 9/39 #706762 $84 0.000% 36297BFB2FNMA 4.00% 12/40 #AE9416 $84 0.000% 31419LPA5FHLG 30YR 5.0% 04/01/2041#Q00334 $84 0.000% 3132GDLP5 US3132GDLP59FNMA 30YR 4% 3/46#BC5299 $84 0.000% 3140F03H5 US3140F03H57GNMA 4.50% 11/39 #722700 $84 0.000% 3620A83H4GNII 30YR 4.5% 10/39#004553 $84 0.000% 36202FBW5 US36202FBW59FNMA 3.50% 9/42 #AP4091 $84 0.000% 3138M7RM9 US3138M7RM94FHLG 15YR 2.5% 02/01/2033#ZS8685 $84 0.000% 3132A9UJ4 US3132A9UJ41GNMA 4.50% 3/40 #545934 $83 0.000% 36212WPT8FNMA 30YR 5.0% 08/01/2041#AI5189 $83 0.000% 3138AJXT4 US3138AJXT48Fannie Mae Series 2007-66 Class SB, 39.600% - 1month U.S. LIBOR 39.084% 7/25/37 $83 0.000% 31396WYZ3 US31396WYZ30GNMA 30YR 3.5% 05/15/2043#AD9112 $83 0.000% 36180NDR3 US36180NDR35FNMA 7.00% 10/28 #323336 $83 0.000% 31374TEH8FHLG 4.50% 7/41 #Q02385 $82 0.000% 3132GFUJ4 US3132GFUJ47Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2013-124 Class ES, 8.667% - 1 month U.S.LIBOR 8.5502% 4/20/39 $82 0.000% 38378WVW0 US38378WVW09FNMA 4.00% 11/40 #AE7533 $82 0.000% 31419JLP1 US31419JLP11FNMA 30YR 4.5% 05/01/2047#BH0937 $82 0.000% 3140GPBF4 US3140GPBF42GNMA 5.00% 6/40 #704995 $82 0.000% 36296YGC0FHLG 5.00% 9/33 #C01622 $82 0.000% 31292HYT5 US31292HYT57 2726069GNMA II 3.5% 01/20/2050#BR8995 $81 0.000% 3617M77G7 US3617M77G70Ginnie Mae guaranteed REMIC pass-thru certificates


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLfloater Series 2016-H20 Class FM, 1 month U.S.LIBOR + 0.400% 0.4896% 12/20/62 $81 0.000% 38376RYJ9 US38376RYJ93GNMA 30YR 4% 03/15/2041#738107 $81 0.000% 3620ASAG4 US3620ASAG44FHLG 5.00% 2/35 #A47133 $81 0.000% 3128K74S4 US3128K74S40FNMA ARM 6.34% 5/36 #872506 $81 0.000% 31409JKT6 US31409JKT69FNMA ARM 3.99% 5/34 #725828 $81 0.000% 31402DLH1 US31402DLH16FHLG 30YR 4.5% 03/01/2044#V81065 $81 0.000% 3132L6FE6 US3132L6FE60GNMA 4.50% 2/40 #735359 $80 0.000% 3620AN5U0 US3620AN5U00GNMA 30YR 4% 08/15/2041#768109 $80 0.000% 36176KDN4 US36176KDN46FNMA 30YR 3.0% 01/01/2043#AR0910 $80 0.000% 3138NXAL1 US3138NXAL16FNMA 30YR 4% 09/01/2047#BJ0197 $80 0.000% 3140H1GF1 US3140H1GF15FHLG 30YR 5% 10/01/2033# $80 0.000% 31296PKS0 US31296PKS01FHLG 30YR 5.0% 07/01/2041#Q02020 $80 0.000% 3132GFG50 US3132GFG501FHLG 6.50% 10/32 #G01766 $79 0.000% 31283H6B6 US31283H6B69FNMA 30YR 3.0% 01/01/2043#AR0988 $79 0.000% 3138NXC21 US3138NXC217FNMA 30YR 3.0% 08/01/2043#AU0597 $79 0.000% 3138WZUX8 US3138WZUX80FNMA 15YR 2.5% 12/01/2032#BJ0036 $79 0.000% 3140H1BE9 US3140H1BE94FNMA 30YR 3.5% 09/01/2046#BD7792 $79 0.000% 3140FFUS8 US3140FFUS88GNMA 4.00% 10/41 #779846 $79 0.000% 36176YET0 US36176YET01GNMA 30YR 3.5% 05/15/2043#AE2144 $79 0.000% 36180ULZ0 US36180ULZ02Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 384 Class 6, 5% 7/25/37 $78 0.000% 3136FER61 US3136FER611 B285FZ0FHLG 30YR 4% 09/01/2040#G06023 $78 0.000% 3128M8AY0 US3128M8AY08 B7GQD12FHLM ARM 6.39% 12/36 #1J1448 $78 0.000% 3128NHTD5 US3128NHTD58FNMA 30YR 3.0% 11/01/2042#AP4325 $78 0.000% 3138M7YX7 US3138M7YX76FNMA 30YR 3.5% 06/42#AB5369 $78 0.000% 31417B6F9 US31417B6F96GNMA 5.50% 8/38 #690135 $78 0.000% 36296FV42FNMA 15YR 5.00% 6/24 #995957 $78 0.000% 31416CME3 US31416CME39GNMA 3.50% 11/40 #756928 $77 0.000% 36230RVV5 US36230RVV58FHLG 30YR 4.5% 10/01/2039#G05645 $77 0.000% 3128M7TA4 US3128M7TA48Terwin Mortgage Trust Series 2003-4HE Class A1, 1month U.S. LIBOR + 0.860% 0.946% 9/25/34 $77 0.000% 881561BU7 US881561BU72GNMA 30YR 4% 11/15/2042#AB9201 $77 0.000% 36178WGJ2 US36178WGJ27GNMA 5.00% 9/39 #726316 $77 0.000% 3620AC3Z5 US3620AC3Z59FHLG 6.00% 12/37 #A69815 $77 0.000% 3128L13Y4 US3128L13Y45FNMA 30YR 3.5% 11/01/2042#AP8794 $76 0.000% 3138MCXY5 US3138MCXY51FNMA 15YR 3% 05/01/2029#MA1949 $76 0.000% 31418BEX0 US31418BEX01GNMA 5.00% 4/41 #738218 $76 0.000% 3620ASDX4 US3620ASDX40FNMA 30YR 3.5% 10/01/2047#CA0487 $76 0.000% 3140Q7RH2 US3140Q7RH23


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 30YR 4.5% 12/01/2047#BJ5376 $76 0.000% 3140H66N4 US3140H66N44FHLG 15YR 3% 02/01/2034#J40197 $76 0.000% 31307YGE4 US31307YGE41FHLG 30YR 3.0% 08/01/2042#Q10538 $76 0.000% 3132HLS38 US3132HLS387Freddie Mac planned amortization class Series 2121Class MG, 6% 2/15/29 $76 0.000% 3133TJA60 US3133TJA606FNMA ARM 2.967% 8/41#AI8879 $76 0.000% 3138AN2M4 US3138AN2M48FHLG 30YR 4% 11/01/2041# $76 0.000% 3132GK4R4 US3132GK4R47GNMA 5.00% 9/39 #726323 $76 0.000% 3620AC4G6FNMA 30YR 4.0% 07/01/2043#AL3931 $76 0.000% 3138ELLM3 US3138ELLM33GNMA 4.50% 4/40 #723745 $75 0.000% 3620AABN7 US3620AABN77GNMA 30YR 3.5% 06/15/2043#AD5457 $75 0.000% 36180HB23 US36180HB233FHLG 15YR 3.5% 05/01/2030#J31654 $75 0.000% 31307MZT6 US31307MZT60FNMA ARM 5.37% 6/36 #916726 $75 0.000% 31411WPK7 US31411WPK70FNMA ARM 4.60% 2/35 #779905 $75 0.000% 31404VNW4 US31404VNW45FNMA 4.00% 2/42 #AK3548 $74 0.000% 3138E75J9 US3138E75J95FHLM ARM 3.627% 6/1/41#1B8372 $74 0.000% 3128UGVQ7 US3128UGVQ77FNMA 4.00% 10/40 #AA4740 $74 0.000% 31416NHS4 US31416NHS45FNMA 4.50% 11/39 #935695 $74 0.000% 31412U7G9 US31412U7G95FHLG 3.0% 7/45#Q34956 $73 0.000% 3132QRQJ2 US3132QRQJ21FNMA 30YR 3.0% 01/01/2043#AR3682 $73 0.000% 3138W1CU9 US3138W1CU96FHLG 30YR 4% 04/01/2046#Q39936 $73 0.000% 3132QXBE6 US3132QXBE66FHLG 15YR 2.5% 12/01/2032#ZS8678 $73 0.000% 3132A9UB1 US3132A9UB15FHLG 30YR 3.0% 04/01/2043#Q16915 $72 0.000% 3132J8DV9 US3132J8DV97GNMA 4.00% 1/41 #759152 $72 0.000% 36230UEZ8FNMA 4.00% 9/41 #AI9692 $72 0.000% 3138APXW3GNMA 4.50% 2/40 #735365 $72 0.000% 3620AN6A3FNMA 15YR 2.5% 03/01/2033#CA1619 $72 0.000% 3140Q8YR0 US3140Q8YR05FHLM ARM 0.0% 05/01/2041#1B8124 $72 0.000% 3128UGMY0 US3128UGMY03Fannie Mae planned amortization class Series2005-102 Class CO 11/25/35 $72 0.000% 31394UHV7 US31394UHV70GNMA 4.50% 3/41 #783276 $71 0.000% 36241LT97 US36241LT971FNMA 30YR 4.0% 10/1/41 #AL1697 $71 0.000% 3138EH3F7 US3138EH3F73FNMA 30YR 4.5% 12/01/2038#AB8124 $71 0.000% 31417FA24 US31417FA248FNMA 30YR 4.0% 03/01/2045#AV2186 $71 0.000% 3138XDNC0 US3138XDNC06FNMA 7.50% 8/30 #567034 $71 0.000% 31386L4T6Freddie Mac planned amortization class Series 3121Class KO 3/15/36 $71 0.000% 31396JG74 US31396JG748FNMA 30YR 4.5% 05/47#AS9616 $71 0.000% 3138WKVJ1 US3138WKVJ19FHLG 30YR 4.0% 05/01/2043#Q18131 $71 0.000% 3132J9PR3 US3132J9PR31


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 4.50% 8/33 #726928 $70 0.000% 31402ESR0 US31402ESR08Fannie Mae planned amortization class Series1993-207 Class H, 6.5% 11/25/23 $70 0.000% 31359E3G4 US31359E3G47FNMA 30YR 3.0% 03/01/2043#AB8712 $70 0.000% 31417FVE5 US31417FVE59FNMA 4.50% 9/40 #AE3014 $70 0.000% 31419DK42 US31419DK420FNMA 4.00% 10/40 #AE5066 $70 0.000% 31419FTY2 US31419FTY24FHLM ARM 5.78% 10/35 #1N0063 $70 0.000% 3128QGB84 US3128QGB846GNMA 30YR 4% 05/15/2042#AA1859 $70 0.000% 36177YB47 US36177YB473FNMA 30YR 3.5% 04/01/2043#AT2887 $70 0.000% 3138WQF56 US3138WQF561FNMA ARM 5.35% 3/36 #920831 $70 0.000% 31412CA83 US31412CA832FNMA 30YR 5.0% 06/01/2041#AA3361 $70 0.000% 31416LWX0 US31416LWX09FNMA ARM 4.898% 5/35 #995272 $69 0.000% 31416BT57 US31416BT579FNMA 15YR 2.5% 12/32#CA3748 $69 0.000% 3140QBEW4 US3140QBEW42FHLG 30YR 4.0% 05/01/2043#Q18564 $69 0.000% 3132J96A1 US3132J96A17Aetna, Inc. 2.75% 11/15/22 $69 0.000% %AET1122 008117AP8 US008117AP87 B8L7F66GNII II 4.50% 3/36 #003828 $69 0.000% 36202EHD4GNMA 7.00% 6/31 #563290 $69 0.000% 36213SXT7FNMA 30YR 3.0% 01/01/2043#AR1270 $69 0.000% 3138NXMU8 US3138NXMU86FNMA 4.50% 10/39 #AC0435 $68 0.000% 31417JPV6 US31417JPV60FNMA 30YR 4% 08/01/2043#AU1687 $68 0.000% 3138X02V9 US3138X02V94FNMA ARM 2.691% 02/01/2042#AK2344 $68 0.000% 3138E6TA4 US3138E6TA45FNMA 30YR 4.5% 09/01/2033#741529 $68 0.000% 31402XY26 US31402XY268FNMA 30YR 3.0% 11/01/2042#AQ6832 $68 0.000% 3138MNSW1 US3138MNSW16GNMA 4.00% 10/41 #748242 $67 0.000% 3620C4HT0 US3620C4HT09FNMA 3.0% 12/44#AX8317 $67 0.000% 3138YAG33 US3138YAG338FNMA 30YR 4.5% 12/01/2044#AX6333 $67 0.000% 3138Y8BB5 US3138Y8BB57GNMA 5.00% 8/39 #710771 $67 0.000% 36297FT44FNMA 4.00% 12/41 #AJ5748 $67 0.000% 3138AXL66FHLG 30YR 4.0% 04/01/2044#Q25624 $67 0.000% 3132M54H2 US3132M54H23Freddie Mac sequential payer Series 2998 Class LY,5.5% 7/15/25 $67 0.000% 31395VV55 US31395VV553FHLG 30YR 4.0% 07/01/2043#Q20360 $67 0.000% 3132JMMH9 US3132JMMH96FNMA ARM 3.47% 3/40 #AD0820 $66 0.000% 31418M4E9 US31418M4E94FHLG 30YR 3% 08/01/2042#Q10217 $66 0.000% 3132HLG23 US3132HLG234GNMA 4.00% 4/40 #723743 $66 0.000% 3620AABL1GNMA 4.00% 6/41 #754005 $66 0.000% 36230NNW1FNMA 30YR 3.0% 01/01/2043#AQ9868 $66 0.000% 3138MR6E6 US3138MR6E65GNMA 4.00% 10/40 #737532 $66 0.000% 3620ARLM1 US3620ARLM10FNMA 30YR 3.0% 1/1/43 #AB7568 $65 0.000% 31417EMS7 US31417EMS71


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 3.0% 03/01/2045#Q31980 $65 0.000% 3132QNFW4 US3132QNFW47FHLG 30YR 5.0% 07/01/2041#Q02345 $65 0.000% 3132GFTA5 US3132GFTA56GNMA 5.00% 5/40 #704984 $65 0.000% 36296YFZ0GNMA 4.50% 9/39 #723333 $64 0.000% 3620A9SW2FNMA 30YR 4% 01/01/2048#BJ6169 $64 0.000% 3140H72B2 US3140H72B24Fannie Mae sequential payer Series 2002-16 ClassZD, 6.5% 4/25/32 $64 0.000% 31392CVK7 US31392CVK79FNMA 6.00% 8/35 #357953 $64 0.000% 31376KTJ5 US31376KTJ50FHLG 30YR 3.5% 05/01/2046#G60561 $64 0.000% 31335ATS7 US31335ATS77FNMA 30YR 3.5% 05/01/2046#BD0998 $64 0.000% 3140F8DC8 US3140F8DC83FNMA 30YR 3.5% 04/01/2047#BE9567 $64 0.000% 3140FVTZ9 US3140FVTZ90FNMA 30YR 3.0% 11/01/2042#AQ1886 $64 0.000% 3138MHCY7 US3138MHCY77FHLG 30YR 4.0% 10/01/2043#Q22486 $64 0.000% 3132JPXP2 US3132JPXP25FHLG 30YR 4% 04/01/2042# $64 0.000% 3132GSMY2 US3132GSMY27FHLG 30YR 3.5% 04/01/2043#Q16893 $64 0.000% 3132J8C73 US3132J8C731GNII 30YR 4.5% 06/20/2039#004461 $64 0.000% 36202E5W5 US36202E5W59Freddie Mac Manufactured Housing participationcertificates guaranteed sequential payer Series2043 Class ZH, 6% 4/15/28 $63 0.000% 3133TDPN0 US3133TDPN02FHLG 30YR 4.0% 08/01/2043#Q20882 $63 0.000% 3132JM6T1 US3132JM6T19FNMA 30YR 4.5% 03/01/2047#BE8187 $63 0.000% 3140FUCZ9 US3140FUCZ90GNMA 4.50% 9/39 #724340 $63 0.000% 3620AAV96GNMA 7.00% 8/31 #468589 $63 0.000% 36209DRJ5FNMA 30YR 4.5% 07/01/2045#AZ1805 $63 0.000% 3138YTAF1 US3138YTAF17FHLM ARM 5.11% 4/38 #1B3803 $62 0.000% 3128JPDH0 US3128JPDH09FHLG 30YR 4.5% 05/01/2035#A38837 $62 0.000% 31297UZA1 US31297UZA14FNMA ARM 3.753% 10/33 #746320 $62 0.000% 31403EDZ7 US31403EDZ79GNMA 5.00% 6/41 #738418 $62 0.000% 3620ASK73FNMA 30YR 3.0% 01/01/2043#AR1150 $62 0.000% 3138NXH42 US3138NXH422GNMA 30YR 4% 08/15/2043#AD5682 $62 0.000% 36180HJ33 US36180HJ335FNMA ARM 5.48% 6/47 #939994 $62 0.000% 31413AXX6 US31413AXX61FHLG 30YR 4.5% 02/01/2044#Q24572 $62 0.000% 3132M4W92 US3132M4W923FNMA 3.50% 10/42 #AP6486 $62 0.000% 3138MAF45 US3138MAF459GNMA 30YR 3.5% 09/15/2042#AB2330 $61 0.000% 36178MST9 US36178MST98FNMA 30YR 3.5% 06/01/2042#AO6386 $61 0.000% 3138LXCY3 US3138LXCY37Fannie Mae floater Series 2006-104 Class GI,6.680% - 1 month U.S. LIBOR 6.594% 11/25/36 $61 0.000% 31396LMA5 US31396LMA51FHLG 5.00% 7/40 #A92914 $61 0.000% 312941GX9 US312941GX97FHLG 30YR 4.5% 02/01/2041# $60 0.000% 312945X52 US312945X529


500 Salem Street


130

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 3.50% 10/40 #AB1611 $60 0.000% 31416WYH9 US31416WYH95FNMA 4.00% 12/41 #AJ7472 $60 0.000% 3138E0JS9FNMA 30YR 3.5% 11/01/2045#BA1614 $59 0.000% 3140E5YL2 US3140E5YL26FNMA 15YR 3% 11/01/2029#MA2144 $59 0.000% 31418BL20 US31418BL200FHLG 30YR 4% 02/46#Q38879 $59 0.000% 3132QV2M2 US3132QV2M24FNMA 30YR 5.0% 07/01/2041#AC9301 $59 0.000% 31417WKP5 US31417WKP58GNMA 4.00% 7/41 #748144 $59 0.000% 3620C4ER7Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2013-H07 Class BA, 1 month U.S.LIBOR + 0.360% 0.4496% 3/20/63 $59 0.000% 38375BQ54 US38375BQ543FNMA 30YR 3.5% 08/01/2046#BD5247 $59 0.000% 3140FCZM3 US3140FCZM33FNMA 15YR 3% 09/01/2029#MA2056 $59 0.000% 31418BJA5 US31418BJA52FHLG 30YR 4.0% 01/01/2043#Q15372 $59 0.000% 3132J6MW1 US3132J6MW14GNMA 5.50% 10/35 #612663 $59 0.000% 36202XTU1FNMA 30YR 4.0% 01/01/2041#AE9268 $59 0.000% 31419LJN4 US31419LJN47FHLG 5.00% 12/33 #A16699 $59 0.000% 31296RNQ7 US31296RNQ73FNMA 30YR 3.0% 05/01/2043#MB0249 $59 0.000% 3138MTH34 US3138MTH349FNMA 30YR 4.5% 11/01/2047#MA3184 $58 0.000% 31418CRE6 US31418CRE65FNMA 15YR 3% 12/01/2028#AV3616 $58 0.000% 3138XFAS4 US3138XFAS43GNII 30YR 4.5% 07/20/2039#004488 $58 0.000% 36202E6Z7 US36202E6Z71GNMA 30YR 4% 06/15/2042#799330 $58 0.000% 36177ULL6 US36177ULL60FNMA 30YR 4.5% 08/01/2047#BH2621 $58 0.000% 3140GQ4F0 US3140GQ4F09GNMA 5.00% 9/39 #692780 $58 0.000% 36296JUD5GNMA 5.00% 4/41 #738240 $58 0.000% 3620ASEM7 US3620ASEM75FNMA 4.00% 1/42 #AK1411 $58 0.000% 3138E5R91FHLG 7.00% 1/36 #A54473 $58 0.000% 3128KG6J2 US3128KG6J27GNII II 4.00% 8/41 #005139 $58 0.000% 36202FV86 US36202FV864Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2007-37 Class TS, 6.690% - 1 monthU.S. LIBOR 6.6054% 6/16/37 $58 0.000% 38375KNC2 US38375KNC26GNMA II 4.0% 05/20/2041#783324 $57 0.000% 36241LVR4 US36241LVR40FNMA 30YR 4.5% 07/01/2041#AH5464 $57 0.000% 3138A7CA4 US3138A7CA41FHLG 30YR 4% 02/01/2046#Q39899 $57 0.000% 3132QW7M5 US3132QW7M50FHLM 30YR 4.5% 10/01/2040# $57 0.000% 3129424K8 US3129424K89FNMA 30YR 3.5% 07/01/2045#AS5312 $57 0.000% 3138WE3W7 US3138WE3W71FNMA 15YR 4.50% 7/26 #AB3303 $57 0.000% 31416YU55FNMA 30YR 5.0% 04/01/2041#AH9677 $57 0.000% 3138ABXF1 US3138ABXF18FNMA 30YR 3.0% 11/01/2042#AQ2116 $57 0.000% 3138MHK69 US3138MHK694GNMA 4.50% 4/40 #727850 $57 0.000% 3620AETF7 US3620AETF73


500 Salem Street


131

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 4.00% 9/41 #754197 $57 0.000% 36230NUW3 US36230NUW37FHLM ARM 3.464% 5/1/41#1B8304 $57 0.000% 3128UGTL1 US3128UGTL19FNMA 20YR 6.50% 6/27 #256789 $57 0.000% 31371NF67 US31371NF679Freddie Mac sequential payer Series 2274 Class ZM,6.5% 1/15/31 $57 0.000% 3133TR4H5 US3133TR4H52FNMA 30YR 3.0% 01/01/2043#AB7497 $57 0.000% 31417EKK6 US31417EKK63FNMA 4.50% 8/33 #726956 $56 0.000% 31402ETM0 US31402ETM02FNMA 4.50% 8/33 #713686 $56 0.000% 31401N2T5 US31401N2T51FNMA 15YR 2.5% 11/01/2032#BJ2973 $56 0.000% 3140H4JT2 US3140H4JT21FNMA ARM 06/01/2042#AO2244 $56 0.000% 3138LSP61 US3138LSP619GNMA 30YR 3.5% 07/15/2043#AF1083 $56 0.000% 36181GFY0 US36181GFY08FNMA 30YR 3.4% 07/01/2042#AP1818 $56 0.000% 3138M5AU3 US3138M5AU38FNMA 30YR 3.0% 01/01/2043#AB7567 $56 0.000% 31417EMR9 US31417EMR98Freddie Mac sequential payer Series 2303 Class ZV,6% 4/15/31 $56 0.000% 3133TSTH6 US3133TSTH66FNMA 4.00% 11/40 #AE8869 $55 0.000% 31419K2B0 US31419K2B00FNMA 30YR 3.0% 12/01/2042#AR0532 $55 0.000% 3138NWSW0 US3138NWSW06GNMA 5.00% 4/41 #738229 $55 0.000% 3620ASEA3 US3620ASEA38GNMA 4.00% 11/40 #667594 $55 0.000% 36295DUT4FNMA 30YR 4.00% 1/41#AH3161 $55 0.000% 3138A4QP3 US3138A4QP33FNMA 6% 11/37 #953087 $55 0.000% 31413RJ80 US31413RJ805GNMA 7.00% 5/32 #582132 $55 0.000% 36201FVZ7 US36201FVZ79FNMA 5.00% 7/40 #AD9889 $54 0.000% 31418X7B8FNMA 30YR 3.0% 01/01/2043#AB7458 $54 0.000% 31417EJC6 US31417EJC66GNMA 5.50% 12/38 #701116 $54 0.000% 36296T3Z4FNMA 30YR 3.5% 08/43#AS0080 $54 0.000% 3138W9CS7 US3138W9CS76FNMA 4.00% 2/41 #AH9771 $54 0.000% 3138AB2D0FHLG 30YR 4.0% 10/01/2042#Q12215 $54 0.000% 3132HNN88 US3132HNN889FNMA 30YR 3.0% 03/01/2043#AR9195 $54 0.000% 3138W7GD0 US3138W7GD06GNMA 4.00% 8/39 #678637 $53 0.000% 36295R4W5FNMA 30YR 3.5% 12/01/2044#AS3935 $53 0.000% 3138WDLR0 US3138WDLR02FNMA 30YR 4% 02/48#CA1199 $53 0.000% 3140Q8KM6 US3140Q8KM63GNMA 4.00% 12/39 #710513 $53 0.000% 36297FK27GNMA 4.50% 11/39 #722699 $53 0.000% 3620A83G6 US3620A83G63FHLG 30YR 4% 01/01/2041# $53 0.000% 3132GEHF0 US3132GEHF07FNMA 30YR 4.0% 03/01/2041#AH7495 $53 0.000% 3138A9KH6 US3138A9KH67FNMA 4.00% 9/41 #AJ4287 $53 0.000% 3138AVXR1FNMA 6.00% 9/29 #793986 $53 0.000% 31405NCX1 US31405NCX12GNMA 5.00% 11/39 #704775 $53 0.000% 36296X6L3


500 Salem Street


132

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 4.5% 05/01/2041# $52 0.000% 3132GD2M3 US3132GD2M31FHLM ARM 6.36% 7/36 #1B7105 $52 0.000% 3128QPH96 US3128QPH968FHLG 30YR 4% 10/01/2040# $52 0.000% 312943B28 US312943B280FHLG 30YR 3.5% 03/01/2046#Q39250 $52 0.000% 3132QWH44 US3132QWH446FNMA 20YR 6.50% 11/27 #256993 $52 0.000% 31371NNJ0 US31371NNJ09FHLG 30YR 5% 04/01/2035# $52 0.000% 3128MJBV1 US3128MJBV14GNII II 3.5% 01/20/2044#MA1600 $51 0.000% 36179NX52 US36179NX526GNMA 4.00% 12/40 #746823 $51 0.000% 3620C2VQ4FNMA ARM 6.25% 6/36 #886983 $51 0.000% 31410EM88 US31410EM886FHLG 5.00% 11/35 #A47571 $51 0.000% 3128K8MU7 US3128K8MU77FNMA 30YR 4% 12/01/2045#BC0532 $51 0.000% 3140EUSW0 US3140EUSW05FNMA 30YR 4.5% 10/01/2047#BJ0275 $51 0.000% 3140H1JV3 US3140H1JV38Fannie Mae Series 06-116 Class SG, 6.640% - 1month U.S. LIBOR 6.554% 12/25/36 $51 0.000% 31396LZK9 US31396LZK96GNMA 5.00% 3/41 #738119 $51 0.000% 3620ASAU3FHLG 5.00% 4/35 #A32122 $51 0.000% 31297MLB2 US31297MLB27FNMA 30YR 4.0% 06/01/2044#AS2703 $50 0.000% 3138WCAD5 US3138WCAD51FHLG 30YR 4% 06/01/2041# $50 0.000% 3132GEQM5 US3132GEQM56FNMA 30YR 5.0% 07/01/2041#AI7895 $50 0.000% 3138AMXZ3 US3138AMXZ37GNMA 4.00% 12/40 #737790 $50 0.000% 3620ARUP4FHLG 30YR 4.5% 12/01/2044#Q30272 $50 0.000% 3132QLJS3 US3132QLJS33FNMA 30YR 3.0% 06/01/2043#AT3659 $50 0.000% 3138WRB58 US3138WRB584GNMA 3.50% 3/42 #783550 $50 0.000% 36241L5K8 US36241L5K80FHLG 30YR 4% 03/01/2048#Q54622 $50 0.000% 3132XXD48 US3132XXD480GNMA 30YR 4.0% 03/15/2042#773367 $49 0.000% 36176Q6C3 US36176Q6C37FHLG 30YR 4.0% 11/01/2042#Q13381 $49 0.000% 3132HPXJ8 US3132HPXJ82FNMA 30YR 3.0% 07/01/2043#AU2962 $49 0.000% 3138X2JG0 US3138X2JG03FNMA 30YR 4.5% 08/01/2037#AB8009 $49 0.000% 31417E3T6 US31417E3T63FHLG 4.50% 8/40 #A93451 $49 0.000% 312941ZQ3 US312941ZQ36 B7MNC10GNMA 4.00% 12/41 #709061 $49 0.000% 36297DWW3 US36297DWW37FNMA 30YR 4.0% 11/01/2040#AE8265 $49 0.000% 31419KFF7 US31419KFF75GNMA 4.00% 10/40 #733989 $49 0.000% 3620AMNE8GNMA 5.00% 7/40 #733784 $49 0.000% 3620AMFZ0 US3620AMFZ00FHLG 30YR 4.5% 11/01/2044#Q29656 $49 0.000% 3132MAMD0 US3132MAMD08FNMA ARM 3.228% 7/41#AI3469 $49 0.000% 3138AG2B3 US3138AG2B37FHLG 30YR 5% 10/01/2033# $49 0.000% 31296PYK2 US31296PYK29FHLM ARM 4.87% 10/35 #1M1052 $49 0.000% 3128QFEZ3 US3128QFEZ33FHLG 30YR 7.5% 01/01/2027# $48 0.000% 31283GW60 US31283GW600FNMA 7.00% 10/28 #323318 $48 0.000% 31374TDX4 US31374TDX46


500 Salem Street


133

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 4.50% 10/39 #726394 $48 0.000% 3620AC7F5GNMA 30YR 4.0% 02/15/2041#750185 $48 0.000% 3620C6NA9 US3620C6NA91FHLG 7.00% 11/34 #A45143 $48 0.000% 3128K5WC2 US3128K5WC21GNMA 7.00% 7/28 #404208 $48 0.000% 36205YAH5GNMA 5.00% 12/39 #711029 $48 0.000% 36297F4N9FHLG 30YR 4.0% 12/01/2044#Q31022 $48 0.000% 3132QMD40 US3132QMD404FNMA ARM 0.0% 07/01/2041#AI6050 $48 0.000% 3138AKWL9 US3138AKWL93GNMA 4.50% 7/39 #710714 $47 0.000% 36297FSB9GNMA 6.50% 10/34 #635855 $47 0.000% 36291RMC3Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H23 Class WA, 1 month U.S.LIBOR + 0.520% 0.6096% 10/20/62 $47 0.000% 38375BXV9 US38375BXV97FNMA 4.50% 8/40 #AE2970 $47 0.000% 31419DJQ5 US31419DJQ51GNMA 6.50% 8/34 #605311 $47 0.000% 36200NN49GNMA 4.00% 6/41 #757631 $47 0.000% 36230SPQ1 US36230SPQ11FHLG 30YR 4.5% 06/01/2041#Q01212 $47 0.000% 3132GEKZ2 US3132GEKZ24FHLG 30YR 3.5% 04/01/2045#Q33114 $46 0.000% 3132QPN83 US3132QPN836FNMA 4.00% 2/41 #AE9269 $45 0.000% 31419LJP9GNMA 30YR 3.5% 08/15/2043#AD8363 $45 0.000% 36180MJG3 US36180MJG33FNMA 30YR 4.5% 02/01/2041#AH0064 $45 0.000% 3138A1CA7 US3138A1CA70FNMA 4.50% 9/33 #734922 $45 0.000% 31402QPF2 US31402QPF27GNMA 5.00% 6/41 #738404 $45 0.000% 3620ASKR9GNMA 3.50% 3/42 #773363 $45 0.000% 36176Q5Y6 US36176Q5Y65FNMA 30YR 4.5% 11/01/2039#AC6492 $45 0.000% 31417TGA0 US31417TGA07GNMA 5.00% 5/40 #733155 $45 0.000% 3620ALQG2FNMA 4.50% 4/41 #AH9708 $45 0.000% 3138ABYE3 US3138ABYE34GNMA 5.00% 4/40 #735701 $45 0.000% 3620APKN4FNMA ARM 5.280% 3/35 #843014 $45 0.000% 31407WSB0 US31407WSB09FNMA 30YR 3.9% 04/01/2042#AO1103 $44 0.000% 3138LRGM8 US3138LRGM84FNMA 3.50% 1/41 #AB2068 $44 0.000% 31416XJN1 US31416XJN12FNMA 30YR 4.5% 03/01/2044#AW3982 $44 0.000% 3138XTM85 US3138XTM858FNMA 4.00% 3/41 #AH4121 $44 0.000% 3138A5SK9FNMA 30YR 3.5% 01/01/2047#BE7834 $44 0.000% 3140FTV40 US3140FTV407GNMA 7.00% 6/28 #476354 $44 0.000% 36209NE32FNMA 15YR 4.50% 6/25 #MA0442 $44 0.000% 31417YP43 US31417YP437FNMA 30YR 4% 05/01/2048#BK5363 $44 0.000% 3140HJ5Z0 US3140HJ5Z07FHLG 30YR 4.5% 06/01/2040# $44 0.000% 3129404Y2 US3129404Y20 B6SBY59Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2015-H07 Class FA, 1 month U.S.


500 Salem Street


134

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLLIBOR + 0.300% 0.3896% 3/20/65 $44 0.000% 38375UVP2 US38375UVP29FNMA ARM 5.869% 5/36 #995608 $44 0.000% 31416CAH9 US31416CAH97FNMA 30YR 4.5% 03/01/2047#BE8189 $44 0.000% 3140FUC30 US3140FUC306FHLG 30YR 4% 12/45#G60412 $43 0.000% 31335AN53 US31335AN535FNMA 20YR 4% 10/01/2038#BN1959 $43 0.000% 3140JJE96 US3140JJE968FNMA ARM 5.349% 12/34 #843013 $43 0.000% 31407WSA2 US31407WSA26FNMA ARM 3.54% 12/39 #AC8301 $43 0.000% 31417VGK3 US31417VGK35GNMA 4.50% 10/39 #711463 $43 0.000% 36297GML1 US36297GML13GNMA 30YR 4% 12/15/2042#AB8144 $43 0.000% 36178VBM2 US36178VBM28FHLG 20YR 7.00% 8/26 #C90997 $43 0.000% 3128P7DA8 US3128P7DA80GNMA 30YR 4.0% 05/15/2043#AD1390 $43 0.000% 36180CRK7 US36180CRK70GNMA 4.50% 8/41 #430360 $43 0.000% 36207FB59FNMA 7.00% 2/29 #323542 $43 0.000% 31374TLX5 US31374TLX53Freddie Mac Series 4055 Class BI, 3.5% 5/15/31 $42 0.000% 3137AQ6B9 US3137AQ6B91FNMA 30YR 3.5% 09/01/2045#AZ9193 $42 0.000% 3140E2GB1 US3140E2GB15GNII II 7% 2/32 #003202 $42 0.000% 36202DRX1 US36202DRX11FNMA 30YR 3.0% 05/01/2043#AB9340 $42 0.000% 31417GLW4 US31417GLW41FHLG 5.00% 5/34 #A21977 $42 0.000% 31296YFS7 US31296YFS72FNMA 6.00% 11/35 #842191 $42 0.000% 31407VUQ6FHLG 30YR 4.5% 11/31#G05173 $42 0.000% 3128M7CJ3 US3128M7CJ30FNMA 4.00% 11/40 #AE8271 $42 0.000% 31419KFM2Freddie Mac sequential payer Series 2135 Class JE,6% 3/15/29 $41 0.000% 3133TJWJ8 US3133TJWJ86GNMA 3.50% 1/41 #759100 $41 0.000% 36230UDD8 US36230UDD81FNMA 30YR 3.0% 12/01/2042#AR1289 $41 0.000% 3138NXNF0 US3138NXNF01GNMA 5.00% 12/39 #711059 $41 0.000% 36297F5U2FHLG 4.50% 3/41 #A97620 $41 0.000% 312946PD2 US312946PD20GNMA 4.50% 3/40 #736596 $41 0.000% 3620AQKH5 US3620AQKH50FHLG 30YR 4% 04/01/2048#Q55141 $41 0.000% 3132XXWB1 US3132XXWB16FNMA 30YR 3.0% 04/01/2043#AT2011 $41 0.000% 3138WPGV0 US3138WPGV09FNMA 30YR 3.0% 02/01/2043#AB7946 $41 0.000% 31417EZL8 US31417EZL81GNMA 4.50% 2/41 #752909 $41 0.000% 36230MGS0FNMA 30YR 5.0% 07/01/2041#AI5633 $41 0.000% 3138AKHK8 US3138AKHK85GNII II 4% 03/46#MA3522 $40 0.000% 36179R4F3 US36179R4F38FNMA ARM 4.89% 3/33 #725130 $40 0.000% 31402CST0 US31402CST08FHLG 30YR 6% 04/01/2033# $40 0.000% 31283HWZ4 US31283HWZ45 B03MF29FNMA 4.00% 3/41 #AH0358 $40 0.000% 3138A1MG3FHLM ARM 5.64% 4/36 #1J0058 $40 0.000% 3128LUB39 US3128LUB392FNMA ARM 4.58% 7/35 #995273 $40 0.000% 31416BT65 US31416BT652


500 Salem Street


135

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 20YR 7.00% 9/26 #G30299 $40 0.000% 3128CUKL9 US3128CUKL95FNMA 30YR 3% 4/1/43 #AB9016 $40 0.000% 31417GAS5 US31417GAS57GNMA 5.50% 5/39 #670200 $40 0.000% 36295GRV6FHLG 30YR 4.0% 02/01/2044#Q24839 $39 0.000% 3132M5BG6 US3132M5BG61FNMA 30YR 3.5% 06/01/2043#AL3657 $39 0.000% 3138ELB36 US3138ELB361GNMA 4.50% 4/40 #727855 $39 0.000% 3620AETL4 US3620AETL42FNMA 30YR 3.0% 03/01/2043#AB8701 $39 0.000% 31417FU30 US31417FU303FHLG 6.00% 7/37 #G03508 $39 0.000% 3128M5GR5 US3128M5GR53 B4V6963FNMA 20YR 3% 07/01/2036#MA2672 $39 0.000% 31418B6J0 US31418B6J09FNMA 4.00% 11/40 #AE6951 $39 0.000% 31419HWM0GNMA 30YR 3.5% 09/15/2043#666409 $39 0.000% 36295CKW0 US36295CKW00FNMA 30YR 3.5% 11/42#AQ6804 $39 0.000% 3138MNR28 US3138MNR283FNMA 30YR 3.5% 04/42#AK8632 $39 0.000% 3138EDSW2 US3138EDSW26GNMA 4.00% 2/40 #723727 $39 0.000% 3620AAA40FNMA 5.00% 7/35 #832414 $39 0.000% 31407JYK2 US31407JYK23FHLG 30YR 6% 07/01/2033# $39 0.000% 31283HYM1 US31283HYM14 B136K01FNMA 15YR 2.5% 11/01/2032#BJ0958 $38 0.000% 3140H2B49 US3140H2B498FNMA 30YR 3.5% 02/01/2047#BE5696 $38 0.000% 3140FRKJ3 US3140FRKJ38FHLG 5.00% 6/35 #G01839 $38 0.000% 3128LXBG4 US3128LXBG40 B15VWM0FNMA 30YR 3.0% 12/01/2042#AB7272 $38 0.000% 31417ECJ8 US31417ECJ82GNMA 30YR 4% 06/15/2042#AA7852 $38 0.000% 36178FWM4 US36178FWM49FNMA 7.00% 3/32 #254240 $38 0.000% 31371KLV1 US31371KLV16GNMA 4.00% 9/40 #737442 $38 0.000% 3620ARHT1 US3620ARHT19FHLG 4.00% 12/40 #C03633 $38 0.000% 31292LBA2 US31292LBA26GNMA 4.50% 2/40 #735366 $38 0.000% 3620AN6B1FNMA 4.00% 3/41 #AI2509 $38 0.000% 3138AFYF1GNMA 30YR 3.5% 08/15/2042#AB2238 $38 0.000% 36178MPX3 US36178MPX38FNMA ARM 6.54% 4/37 #918912 $38 0.000% 31411Y3V3 US31411Y3V37FNMA 30YR 5.0% 07/44#AW5410 $38 0.000% 3138XVAL4 US3138XVAL40GNMA 30YR 4.0% 11/15/2040#749935 $37 0.000% 3620C6EG6 US3620C6EG62FNMA 4.00% 8/39 #AC4495 $37 0.000% 31417N7H8 US31417N7H80FNMA 7.50% 7/28 #506236 $37 0.000% 31383LLR4FNMA 30YR 3.0% 01/01/2043#AR0938 $37 0.000% 3138NXBG1 US3138NXBG12FNMA 30YR 3.0% 12/01/2042#AQ8934 $37 0.000% 3138MQ4U4 US3138MQ4U44GNMA 6.50% 10/35 #643755 $37 0.000% 36292BE44GNMA 5.00% 10/39 #723228 $36 0.000% 3620A9PM7 US3620A9PM70GNMA 5.00% 6/40 #743801 $36 0.000% 3620AYKN5FNMA 6.50% 7/32 #545759 $36 0.000% 31385JJC3 US31385JJC36GNMA 7.00% 5/31 #533785 $36 0.000% 36212G6W7


500 Salem Street


136

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 4.0% 11/01/2043#Q23085 $36 0.000% 3132M3CW5 US3132M3CW54FHLG 5.00% 1/37 #G02667 $36 0.000% 3128M4JL8 US3128M4JL81FNMA ARM 4.409% 5/35 #829985 $36 0.000% 31407GCW6 US31407GCW69GNMA 30YR 4.0% 12/15/2040#737712 $36 0.000% 3620ARR94 US3620ARR948Fannie Mae Series 2013-51 Class GI, 3% 10/25/32 $36 0.000% 3136AECM7 US3136AECM70Fannie Mae planned amortization class Series2006-37 Class OW 5/25/36 $36 0.000% 31395DMG1 US31395DMG15FNMA 30YR 3.0% 12/01/2042#AR1680 $36 0.000% 3138NX2N6 US3138NX2N64FNMA 30YR 4.5% 08/01/2044#AX2369 $36 0.000% 3138Y3T35 US3138Y3T350Freddie Mac Series 2013-4281 Class AI, 4% 12/15/28 $35 0.000% 3137B6MF5 US3137B6MF52GNMA 30YR 3.5% 09/15/2042#AB6821 $35 0.000% 36178TSJ6 US36178TSJ69FNMA 30YR 3.0% 03/01/2043#AR7187 $35 0.000% 3138W46Z9 US3138W46Z99FHLG 4.50% 8/33 #C01614 $35 0.000% 31292HYK4 US31292HYK49GNMA 30YR 3.5% 09/15/2042#AB3769 $35 0.000% 36178QFJ6 US36178QFJ67FNMA 30YR 5.0% 09/01/2040#AE4424 $35 0.000% 31419E4J5 US31419E4J52Fannie Mae sequential payer Series 1997-41 ClassJ, 7.5% 6/18/27 $35 0.000% 31359PQC3 US31359PQC31FNMA 4.00% 12/40 #AE2683 $35 0.000% 31419C6V0FHLM ARM 6.49% 8/37 #1A1800 $35 0.000% 3128NF7M3 US3128NF7M35Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2004-73 Class AL, 7.200% - 1 month U.S.LIBOR 7.1154% 8/17/34 $35 0.000% 38374H2N9 US38374H2N93GNMA 30YR 3.5% 05/15/2043#AC9633 $35 0.000% 36179KV27 US36179KV278Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2015-H13 Class FL, 1 month U.S.LIBOR + 0.280% 0.3696% 5/20/63 $35 0.000% 38376RCN4 US38376RCN44GNMA 7.00% 3/31 #543989 $35 0.000% 36212UKA8FNMA 4.50% 2/41 #AH5581 $35 0.000% 3138A7FX1 US3138A7FX17GNMA 4.00% 9/41 #489861 $35 0.000% 36210EFA2 US36210EFA29GNMA 30YR 4% 05/15/2042#AA0390 $34 0.000% 36177WNF3 US36177WNF31GNMA 30YR 3.5% 12/15/2041#778657 $34 0.000% 36176WZW4 US36176WZW45FNMA 30YR 4% 02/01/2046#BC0210 $34 0.000% 3140EUGU7 US3140EUGU76GNII II 6.00% 11/31 #003160 $34 0.000% 36202DQM6 US36202DQM64Fannie Mae floater Series 2002-63 Class FN, 1month U.S. LIBOR + 1.000% 1.086% 10/25/32 $34 0.000% 31392ED23 US31392ED232FHLG 30YR 6.5% 08/01/2032# $34 0.000% 31283HS89 US31283HS895 2033275GNMA 5.50% 7/39 #670624 $34 0.000% 36295HAZ3FNMA 6.00% 7/35 #787578 $34 0.000% 31405E6P5 US31405E6P51FNMA 30YR 3.0% 06/01/2043#AT3658 $34 0.000% 3138WRB41 US3138WRB410


500 Salem Street


137

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 4.00% 7/41 #705923 $34 0.000% 36297AG80FNMA 4.00% 10/40 #AE1110 $34 0.000% 31419BGU3 US31419BGU35GNII II 3.50% 1/42 #005279 $34 0.000% 36202F2L9 US36202F2L94GNMA 4.50% 7/40 #741215 $33 0.000% 3620AVN81GNMA 4.50% 11/39 #728314 $33 0.000% 3620AFDT1FNMA 30YR 4.5% 02/01/2033#688077 $33 0.000% 31400HM26 US31400HM260FNMA 4.00% 4/42 #AO0004 $33 0.000% 3138LQAE4 US3138LQAE40FHLM ARM 3.242% 9/1/41#1B8659 $33 0.000% 3128UHAK1 US3128UHAK10GNMA 5.00% 11/39 #728319 $33 0.000% 3620AFDY0FNMA 30YR 5.0% 06/44#AW5561 $33 0.000% 3138XVFB1 US3138XVFB13FNMA 30YR 3.0% 07/01/2043#AU1978 $33 0.000% 3138X1FU5 US3138X1FU59FNMA 4.00% 9/41 #AH4609 $33 0.000% 3138A6DP2FNMA 7.00% 2/28 #190294 $33 0.000% 31368HKF9 US31368HKF90FHLG 30YR 7% 04/01/2032# $33 0.000% 31283HRL1 US31283HRL14 B9GYWK2GNMA 5.00% 9/39 #667416 $33 0.000% 36295DN96GNMA 4.00% 8/41 #748183 $33 0.000% 3620C4FY1FNMA 4.00% 12/40 #AH0493 $33 0.000% 3138A1RP8GNMA 4.50% 9/40 #748811 $33 0.000% 3620C43U2FNMA 4.50% 7/39 #AA8111 $33 0.000% 31416SAM3 US31416SAM35Fannie Mae Series 2013-133 Class IB, 3% 4/25/32 $33 0.000% 3136AHQ94 US3136AHQ948FHLG 7.00% 9/36 #C02621 $33 0.000% 31292J4E7 US31292J4E73FHLG 30YR 4% 03/01/2042# $33 0.000% 3132GR7A3 US3132GR7A30FNMA 4.00% 11/41 #AJ7139 $32 0.000% 3138AY4Z9FNMA 30YR 3.5% 05/01/2043#AT3998 $32 0.000% 3138WRNQ9 US3138WRNQ96FHLG 30YR 5% 12/01/2033# $32 0.000% 31296RHY7 US31296RHY71FNMA 30YR 3.65% 05/01/2042#AO3781 $32 0.000% 3138LUFX8 US3138LUFX87GNMA 5.00% 9/39 #726298 $32 0.000% 3620AC3F9GNMA 4.50% 8/39 #698480 $32 0.000% 36296Q6R5 US36296Q6R51FNMA 4.00% 12/40 #AE7472 $32 0.000% 31419JJS8GNMA 30YR 3.5% 07/15/2042#AA8275 $32 0.000% 36178GFQ2 US36178GFQ29FNMA 4.00% 9/41 #AI9685 $32 0.000% 3138APXP8FNMA 4.00% 10/41 #AI4003 $32 0.000% 3138AHNV4FNMA 30YR 3.0% 02/01/2043#AR4132 $32 0.000% 3138W1SW8 US3138W1SW88Fannie Mae planned amortization class Series2003-28 Class KG, 5.5% 4/25/23 $31 0.000% 31393ADJ3 US31393ADJ34FNMA 4.00% 12/41 #AK0300 $31 0.000% 3138E4KN0 US3138E4KN09FNMA 30YR 3.65% 06/01/2042#AO8925 $31 0.000% 3138M04K3 US3138M04K31Freddie Mac planned amortization class Series 2162Class PH, 6% 6/15/29 $31 0.000% 3133TLBA5 US3133TLBA52


500 Salem Street


138

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 4.50% 6/39 #720070 $31 0.000% 3620A56F1 US3620A56F18GNMA 5.00% 9/39 #719574 $31 0.000% 3620A5MX4FNMA 4.00% 1/41 #AH2978 $31 0.000% 3138A4JY2FNMA 4.00% 10/41 #AJ2387 $31 0.000% 3138ATUM0FNMA 7.00% 8/32 #659161 $31 0.000% 31390XJE1FNMA 30YR 5.0% 10/01/2035#836427 $31 0.000% 31407PHC5 US31407PHC59FNMA 30YR 4.5% 08/01/2033#723124 $31 0.000% 31402ALD6 US31402ALD62FNMA 30YR 3.0% 06/01/2043#AT9786 $31 0.000% 3138WX2U0 US3138WX2U09GNMA 5.00% 9/39 #723320 $31 0.000% 3620A9SH5FHLG 30YR 5% 02/01/2041# $31 0.000% 312945YK8 US312945YK88GNII II 4.50% 6/33 #003401 $30 0.000% 36202DX63 US36202DX634GNMA 5.00% 11/40 #734032 $30 0.000% 3620AMPR7Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2015-H19 Class FA, 1 month U.S.LIBOR + 0.200% 0.2896% 4/20/63 $30 0.000% 38376RFZ4 US38376RFZ47FNMA 30YR 5.0% 08/44#AW7942 $30 0.000% 3138XXZG4 US3138XXZG46FNMA 30YR 4.0% 09/01/2043#AU0080 $30 0.000% 3138WZCS9 US3138WZCS97GNMA 4.50% 3/40 #704931 $30 0.000% 36296YEC2 US36296YEC21GNMA 4.00% 12/41 #748314 $30 0.000% 3620C4K33FNMA 30YR 3.0% 02/01/2043#AR4275 $30 0.000% 3138W1XD4 US3138W1XD43GNMA 5.00% 6/39 #704587 $30 0.000% 36296XXQ2FNMA 4.00% 1/41 #AH2365 $30 0.000% 3138A3TX5GNMA 7.00% 7/31 #545159 $30 0.000% 36212VTQ2FHLM ARM 5.81% 1/36 #1J1262 $30 0.000% 3128NHMK6 US3128NHMK64FHLM 30YR 4% 09/01/2040# $30 0.000% 312942ME2 US312942ME26FNMA 30YR 3.5% 12/01/2041#AJ1879 $29 0.000% 3138ATCR9FNMA 5.00% 7/39 #AL0070 $29 0.000% 3138EGCG7 US3138EGCG70GNMA 4.50% 4/40 #727849 $29 0.000% 3620AETE0 US3620AETE09GNMA 4.50% 6/39 #720075 $29 0.000% 3620A56L8 US3620A56L85Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2004-32 Class GS, 6.500% - 1 month U.S.LIBOR 6.4154% 5/16/34 $29 0.000% 38374GZM7 US38374GZM76GNMA 5.00% 7/40 #719237 $29 0.000% 3620A5BE8 US3620A5BE88FHLG 3.5% 01/43 #Q16224 $29 0.000% 3132J7LE0 US3132J7LE08GNMA 8.50% 7/30 #781205 $29 0.000% 36225BKS6FNMA 4.00% 8/39 #931836 $29 0.000% 31412QHM4 US31412QHM42GNMA 4.50% 8/40 #706824 $29 0.000% 36297BG96 US36297BG963FNMA ARM 4.87% 1/35 #735833 $29 0.000% 31402RPS2 US31402RPS21FHLG 5.00% 11/40 #A95028 $29 0.000% 312943SR5 US312943SR57


500 Salem Street


139

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 4.5% 06/39#G05497 $29 0.000% 3128M7NN2 US3128M7NN23FNMA 30YR 3.25% 12/01/2041#AK9124 $29 0.000% 3138EED63 US3138EED636GNMA 4.50% 7/40 #739184 $29 0.000% 3620ATFZ5Freddie Mac Series 4149 Class IO, 3% 1/15/33 $28 0.000% 3137AXRF2 US3137AXRF29Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H21 Class DF, 1 month U.S.LIBOR + 0.650% 0.7396% 5/20/61 $28 0.000% 38375BWC2 US38375BWC26 B8B3Y67FNMA 30YR 3.5% 02/01/2048#BJ3436 $28 0.000% 3140H4ZA5 US3140H4ZA55GNMA 6.50% 9/34 #574764 $28 0.000% 36200WQR5FNMA 4.00% 12/41 #AJ9533 $28 0.000% 3138E2SX4FHLG 30YR 4.0% 01/01/2044#Q24255 $28 0.000% 3132M4MC6 US3132M4MC63FNMA 30YR 3.0% 06/01/2043#AT8809 $28 0.000% 3138WWYF0 US3138WWYF08FNMA 4.50% 12/40 #AB1887 $28 0.000% 31416XCZ1 US31416XCZ15FHLG 4.00% 9/41 #Q03407 $28 0.000% 3132GJNY1 US3132GJNY19FHLG 30YR 7.5% 11/01/2029# $28 0.000% 31292G6T8 US31292G6T88Bayview Commercial Asset Trust Series 2004-1,Class IO, 1.25% 4/25/34 $28 0.000% 07324SAK8 US07324SAK87Fannie Mae planned amortization class Series2005-73 Class SA, 17.500% - 1 month U.S. LIBOR17.3264% 8/25/35 $28 0.000% 31394EB64 US31394EB646GNMA 4.00% 10/40 #748670 $28 0.000% 3620C4W71FNMA 20YR 6.50% 5/27 #256738 $28 0.000% 31371NEK7 US31371NEK72Fannie Mae planned amortization class Series1996-28 Class PK, 6.5% 7/25/25 $27 0.000% 31359KKK2 US31359KKK24GNMA 5.00% 8/39 #664574 $27 0.000% 36295AJT3GNMA 4.00% 9/41 #773113 $27 0.000% 36176QVE1 US36176QVE15FNMA 30YR 4.5% 05/01/2041#AI3147 $27 0.000% 3138AGP93 US3138AGP930FHLM ARM 6.182% 6/37 #848188 $27 0.000% 31300LCZ6 US31300LCZ67FNMA 30YR 4.0% 01/01/2041#AH1582 $27 0.000% 3138A2XL8 US3138A2XL89GNII II 4.50% 8/40 #004771 $27 0.000% 36202FJQ0 US36202FJQ00GNMA 4.50% 10/39 #724389 $27 0.000% 3620AAXS2GNMA 5.00% 5/40 #731980 $27 0.000% 3620AKFV3FNMA ARM 4.293% 3/35 #815586 $27 0.000% 31406PCX5 US31406PCX50GNMA 30YR 4% 07/15/2041#769252 $27 0.000% 36176LL94 US36176LL943FNMA 30YR 4.0% 02/01/2041#AH6520 $27 0.000% 3138A8G67 US3138A8G677GNMA 6.00% 11/39 #719739 $27 0.000% 3620A5S42FNMA ARM 6.22% 3/37 #910296 $27 0.000% 31411KKH5 US31411KKH58GNMA 30YR 5.0% 08/15/2040#747723 $27 0.000% 3620C3VQ2 US3620C3VQ21FNMA 30YR 3.0% 05/01/2043#AT3345 $27 0.000% 3138WQWF5 US3138WQWF57


500 Salem Street


140

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 30YR 3.5% 03/15/2043#AD2295 $27 0.000% 36180DRQ2 US36180DRQ24Freddie Mac Series 06-3115 Class SM, 6.600% - 1month U.S. LIBOR 6.5163% 2/15/36 $26 0.000% 31396HLM9 US31396HLM96FNMA 20YR 6.50% 8/27 #256856 $26 0.000% 31371NH99 US31371NH998FNMA 30YR 4.0% 12/01/2040#AE6222 $26 0.000% 31419G4G6 US31419G4G68GNMA 5.00% 11/39 #710987 $26 0.000% 36297F2U5FHLG 5.00% 4/34 #A19922 $26 0.000% 31296VAX7 US31296VAX73Fannie Mae floater Series 2002-60 Class FV, 1month U.S. LIBOR + 1.000% 1.086% 4/25/32 $26 0.000% 31392EVD9 US31392EVD92FHLG 30YR 3.0% 04/01/2045#Q32568 $26 0.000% 3132QN2A6 US3132QN2A66FNMA 30YR 4% 02/01/2042#AK2717 $26 0.000% 3138E7AT1 US3138E7AT10FNMA 6.50% 10/27 #256946 $26 0.000% 31371NL37 US31371NL370GNMA 30YR 3.0% 05/15/2043#AE1959 $26 0.000% 36180UE88 US36180UE883FNMA 4.50% 5/40 #AD7419 $26 0.000% 31418VG55 US31418VG554GNMA 3.50% 2/42 #617454 $26 0.000% 36290T5P0GNMA 4.50% 6/39 #720055 $26 0.000% 3620A55Q8 US3620A55Q81FHLG 4.50% 4/41 #A97976 $26 0.000% 3129462H8 US3129462H87GNMA 5.00% 12/37 #670380 $26 0.000% 36295GXH0GNMA 30YR 4.0% 08/15/2042#AB1531 $26 0.000% 36178LVY6 US36178LVY63GNMA 30YR 4.0% 08/15/43#AF5070 $26 0.000% 36181LT32 US36181LT326FNMA 4.50% 8/33 #729713 $25 0.000% 31402HVE8 US31402HVE88FHLG 30YR 3.5% 08/01/2046#Q43328 $25 0.000% 3132WGVW4 US3132WGVW48Fannie Mae Series 07-40 Class SE, 6.440% - 1 monthU.S. LIBOR 6.354% 5/25/37 $25 0.000% 31396VYS1 US31396VYS14FHLG 30YR 5% 05/01/2034# $25 0.000% 31296XSH9 US31296XSH97GNMA 5.00% 1/40 #732376 $25 0.000% 3620AKT97GNMA 5.00% 8/41 #773093 $25 0.000% 36176QUS1GNMA 7.00% 6/31 #564650 $25 0.000% 36213UH37 US36213UH372FNMA ARM 6.34% 9/36 #893580 $25 0.000% 31410PXH1 US31410PXH18GNMA 6.00% 10/30 #515513 $25 0.000% 36211KVE1GNMA 7.00% 4/32 #581908 $25 0.000% 36201FNZ6GNMA 5.00% 9/40 #711533 $25 0.000% 36297GPS3FHLG 4.50% 2/40 #A91160 $25 0.000% 312939JD4 US312939JD43FNMA ARM 0.0% 09/01/2041#AI9813 $25 0.000% 3138AP3X4 US3138AP3X49Freddie Mac floater Series 2432 Class FE, 1 monthU.S. LIBOR + 0.900% 0.9838% 6/15/31 $25 0.000% 31339NNM4 US31339NNM47FNMA 4.00% 10/41 #AJ3924 $25 0.000% 3138AVLE3 US3138AVLE35FNMA 30YR 4.5% 12/01/2043#AV9123 $25 0.000% 3138XMD56 US3138XMD563FNMA 4.50% 7/39 #AC1585 $24 0.000% 31417KXP7 US31417KXP73


500 Salem Street


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 7.00% 6/32 #611797 $24 0.000% 31388QUW7GNMA 30YR 4.0% 08/15/2040#721759 $24 0.000% 3620A7ZY4 US3620A7ZY43Ginnie Mae guaranteed REMIC pass-thru certificatesfloater Series 2012-H26, Class CA, 1 month U.S.LIBOR + 0.530% 0.6196% 7/20/60 $24 0.000% 38375BYS5 US38375BYS59FNMA 30YR 4.5% 08/01/2041#AI7563 $24 0.000% 3138AMMM4 US3138AMMM43GNMA 30YR 4% 08/15/2041#770540 $24 0.000% 36176MZD8 US36176MZD81GNMA 30YR 4.0% 06/15/2043#AE7264 $24 0.000% 36181BB90 US36181BB903FNMA 4.00% 1/41 #AH3394 $24 0.000% 3138A4XY6 US3138A4XY66FHLG 20YR 7.00% 12/26 #C91019 $24 0.000% 3128P7DY6 US3128P7DY66FHLG 30YR 7.5% 11/01/2030# $24 0.000% 31298CPJ2 US31298CPJ26GNMA 5.00% 9/39 #717956 $24 0.000% 3620A3TM6FNMA 4.50% 4/39 #930854 $24 0.000% 31412PE31 US31412PE315FNMA 4.50% 3/41 #AH8776 $24 0.000% 3138AAXE6FNMA 4.50% 4/41 #AI0729 $24 0.000% 3138ADY33FNMA 20YR 6.50% 12/27 #257025 $24 0.000% 31371NPJ8 US31371NPJ80Fannie Mae sequential payer Series 2002-74 ClassSV, 7.550% - 1 month U.S. LIBOR 7.464% 11/25/32 $24 0.000% 31392FRK5 US31392FRK56FNMA 4.50% 8/33 #727160 $24 0.000% 31402EZZ4 US31402EZZ41FNMA 4.50% 12/40 #AE3713 $24 0.000% 31419EDT3FNMA 6.00% 1/36 #745154 $24 0.000% 31403CZT1 US31403CZT16GNII II 3.50% 10/41 #005202 $23 0.000% 36202FX76 US36202FX761GNMA 30YR 4% 03/15/2041#769036 $23 0.000% 36176LEH4 US36176LEH42GNMA 6.00% 11/39 #727692 $23 0.000% 3620AENH9FNMA 30YR 3.5% 09/01/2046#BD0711 $23 0.000% 3140F7YH6 US3140F7YH68Fannie Mae Series 2012-14 Class JS, 6.650% - 1month U.S. LIBOR 6.564% 12/25/30 $23 0.000% 3136A4WY1 US3136A4WY12Fannie Mae floater Series 2002-39 Class FD, 1month U.S. LIBOR + 1.000% 1.0874% 3/18/32 $23 0.000% 31392DPW6 US31392DPW64FNMA 30YR 3.0% 04/01/2043#AB8925 $23 0.000% 31417F4K1 US31417F4K19FNMA 4.50% 7/40 #941592 $23 0.000% 31413CRM3 US31413CRM37GNMA 4.00% 8/39 #711450 $23 0.000% 36297GL73FNMA 6.00% 5/37 #917965 $23 0.000% 31411XZ65 US31411XZ654FNMA 7.00% 12/28 #593829 $23 0.000% 31387TVW1 US31387TVW16GNMA 4.00% 1/41 #759125 $23 0.000% 36230UD63 US36230UD631FNMA 30YR 3.0% 11/01/2042#AQ2170 $23 0.000% 3138MHMU4 US3138MHMU46FHLG 30YR 6% 07/01/2032# $22 0.000% 31288AFU4 US31288AFU43GNMA 4.00% 10/40 #751249 $22 0.000% 36230KL66 US36230KL668FNMA 6.50% 8/36 #888034 $22 0.000% 31410FSX4 US31410FSX41


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% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNII II 4.00% 6/42 #MA0155 $22 0.000% 36179ME48 US36179ME486FNMA 30YR 5.0% 12/01/43#AL5959 $22 0.000% 3138ENTR0 US3138ENTR04FNMA 4.00% 1/41 #AH4404 $22 0.000% 3138A53N0 US3138A53N08GNMA 4.50% 5/40 #741269 $22 0.000% 3620AVQW5FNMA 7.00% 11/31 #637890 $22 0.000% 31389WUP8FNMA 20YR 3.5% 08/01/2037#MA3128 $22 0.000% 31418CPN8 US31418CPN82GNMA 6.00% 11/39 #709884 $22 0.000% 36297EUH6GNII II 3.5% 09/20/2040#004799 $22 0.000% 36202FKL9 US36202FKL93GNII 30YR 4.5% 02/20/2041#004948 $22 0.000% 36202FP91 US36202FP916FHLG 30YR 7.5% 09/01/2031# $22 0.000% 31292HMA9 US31292HMA94FHLG 30YR 4.0% 11/01/2041#Q04636 $22 0.000% 3132GKY91 US3132GKY918GNMA 5.00% 10/39 #723248 $22 0.000% 3620A9P96FNMA 30YR 4.0% 02/01/2041#AH4872 $22 0.000% 3138A6MW7 US3138A6MW77FNMA 15YR 2.5% 10/01/2031#BC4777 $22 0.000% 3140F0JX3 US3140F0JX31GNMA 4.00% 7/41 #769513 $22 0.000% 36176LVE2FHLG 6.50% 8/32 #C01385 $21 0.000% 31292HRE6 US31292HRE61 2660123FNMA 30YR 3.5% 05/44#AV8070 $21 0.000% 3138XK6G4 US3138XK6G40FNMA 4.50% 12/40 #AH1986 $21 0.000% 3138A3F44GNMA 4.50% 8/40 #722883 $21 0.000% 3620A9CU3FNMA 4.00% 2/41 #AE0949 $21 0.000% 31419BBT1 US31419BBT17GNMA 7.00% 7/31 #527605 $21 0.000% 36212ADJ1FNMA 6.50% 10/35 #835556 $21 0.000% 31407NH97 US31407NH974FNMA 6.50% 12/23 #765384 $21 0.000% 31404DJ58 US31404DJ580Freddie Mac sequential payer Series 2546 Class MJ,5.5% 3/15/23 $21 0.000% 31393MSV4 US31393MSV45GNII II 3.5% 11/20/2043#MA1448 $21 0.000% 36179NTD0 US36179NTD02GNII II 7.00% 3/32 #003216 $21 0.000% 36202DSD4 US36202DSD48GNMA 5.50% 4/34 #621669 $21 0.000% 36290YT24FNMA 4.00% 11/40 #AE8539 $21 0.000% 31419KPZ2 US31419KPZ20Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 339 Class 5, 5.5% 7/25/33 $20 0.000% 3136FAZ78 US3136FAZ786FHLG 20YR 7.00% 3/26 #D96943 $20 0.000% 3128E3WC4 US3128E3WC42FHLG 30YR 4.5% 06/01/2044#Q26928 $20 0.000% 3132M7LH9 US3132M7LH90FHLG 30YR 3.5% 03/01/2050#RA2362 $20 0.000% 3133KHTT3 US3133KHTT31FHLG 20YR 6.50% 1/27 #D97164 $20 0.000% 3128E35Z3 US3128E35Z39FNMA 4.50% 4/41 #AH8876 $20 0.000% 3138AA2J9FNMA 30YR 4.0% 01/01/2041#AE9509 $20 0.000% 31419LR70 US31419LR709FNMA 7.00% 10/29 #485115 $20 0.000% 31382K3Y2GNMA 4.00% 5/41 #748080 $20 0.000% 3620C4CR9


500 Salem Street


143

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 20YR 6.50% 11/26 #D97105 $20 0.000% 3128E33N2 US3128E33N27GNMA 4.50% 6/40 #733737 $20 0.000% 3620AMEJ7 US3620AMEJ76FNMA 30YR 3.0% 02/01/2043#AQ1281 $20 0.000% 3138MGM77 US3138MGM775FNMA 6.00% 9/35 #840937 $20 0.000% 31407UHN0FNMA 4.00% 10/41 #AJ4794 $20 0.000% 3138AWKG7GNMA 4.50% 9/40 #747264 $20 0.000% 3620C3FD9FHLM ARM 3.283 6/1/41 $20 0.000% 3128UGXF9 US3128UGXF94GNMA 7.00% 6/28 #433858 $19 0.000% 36207J5T6 US36207J5T60FNMA 4.50% 11/40 #AE8447 $19 0.000% 31419KL52Freddie Mac Manufactured Housing participationcertificates guaranteed floater Series 1686 ClassFA, 1 month U.S. LIBOR + 0.900% 0.9955% 2/15/24 $19 0.000% 3133T4DV5 US3133T4DV56FHLM ARM 6.466% 2/37 #848189 $19 0.000% 31300LC29 US31300LC299Fannie Mae planned amortization class Series2001-52 Class YZ, 6.5% 10/25/31 $19 0.000% 313921MN5 US313921MN51FHLG 4.50% 5/40 #A92286 $19 0.000% 312940RF8 US312940RF89GNMA 5.00% 8/39 #705835 $19 0.000% 36297AEG4GNMA 30YR 4% 12/15/2041#792596 $19 0.000% 36177L3E2 US36177L3E29GNMA II 3.5% 05/20/2042#783582 $19 0.000% 36241L6T8 US36241L6T80FNMA ARM 5.16% 9/35 #850124 $19 0.000% 31408FPH6 US31408FPH63FHLG 30YR 5% 08/01/2035# $19 0.000% 31297SPM1 US31297SPM16GNMA 4.00% 7/41 #772031 $19 0.000% 36176PPQ3FNMA 5.00% 10/29 #MA0214 $19 0.000% 31417YGY7 US31417YGY77GNMA 30YR 3.5% 01/15/2043#AC3938 $19 0.000% 36179DLT5 US36179DLT53FNMA 7.50% 2/28 #412258 $19 0.000% 31378X5T9 US31378X5T99GNMA 5.00% 2/39 #782562 $19 0.000% 36241KZ35 US36241KZ350Sequoia Mortgage Trust floater Series 2004-6 ClassA3B, 6 month U.S. LIBOR + 0.880% 1.0386% 7/20/34 $19 0.000% 81744FCU9 US81744FCU93Freddie Mac Series 4314 Class AI, 5% 3/15/34 $19 0.000% 3137B9ED3 US3137B9ED36FNMA 4.00% 12/40 #AH0573 $19 0.000% 3138A1T76FHLG 30YR 4.5% 11/01/2040# $19 0.000% 312943UM3 US312943UM33FHLG 20YR 6.50% 10/27 #C91134 $19 0.000% 3128P7HK2 US3128P7HK27GNMA 4.50% 4/40 #733607 $19 0.000% 3620AMAG7 US3620AMAG73FHLG 5.00% 8/33 #A12833 $19 0.000% 31296MEE5 US31296MEE57GNMA 30YR 4% 11/15/2041#656540 $18 0.000% 36294QLV1 US36294QLV13FHLG 30YR 5% 06/01/2035# $18 0.000% 3128MJB82 US3128MJB823FNMA 7.50% 8/29 #501998 $18 0.000% 31383FUX4 US31383FUX40GNII II 3.50% 2/42 #005304 $18 0.000% 36202F3M6 US36202F3M68FNMA 4.00% 3/41 #AH6783 $18 0.000% 3138A8RD0 US3138A8RD08


500 Salem Street


144

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 4.50% 8/40 #741227 $18 0.000% 3620AVPL0FHLG 4.50% 6/41 #Q01181 $18 0.000% 3132GEJ27 US3132GEJ276 B8Y5S13FHLG 5.00% 5/34 #A23334 $18 0.000% 31297AV35 US31297AV357FHLG 30YR 3.5% 05/01/2046#G60603 $18 0.000% 31335AU48 US31335AU480FHLG 30YR 4% 12/01/2040# $18 0.000% 312944FW6 US312944FW62GNMA 4.50% 2/40 #737035 $18 0.000% 3620AQY80 US3620AQY805Fannie Mae Series 2012-9 Class SH, 6.550% - 1month U.S. LIBOR 6.464% 6/25/41 $18 0.000% 3136A3M81 US3136A3M819GNMA 30YR 3.5% 06/15/2042#779398 $18 0.000% 36176XUX5 US36176XUX55FNMA 7.00% 9/26 #256469 $18 0.000% 31371M2A4 US31371M2A42FNMA 30YR 4.5% 07/01/2033#729327 $18 0.000% 31402HHC8 US31402HHC88FHLG 6.00% 11/31 #C01258 $17 0.000% 31292HMF8 US31292HMF81GNMA 5.00% 6/39 #698214 $17 0.000% 36296QVF3 US36296QVF35GNMA 7.00% 2/31 #548452 $17 0.000% 36213AH56 US36213AH564FHLG 30YR 4.5% 05/01/2044#Q26388 $17 0.000% 3132M6XR6 US3132M6XR61Fannie Mae sequential payer Series 2012-67 ClassAI, 4.5% 7/25/27 $17 0.000% 3136A7HT2 US3136A7HT23GNMA 7.00% 6/28 #480363 $17 0.000% 36209STU5FNMA ARM 0.0% 10/01/2041#AI6819 $17 0.000% 3138ALSH1 US3138ALSH11FNMA 6.00% 7/35 #826613 $17 0.000% 31407CK22 US31407CK229FHLG 30YR 3.5% 02/01/2046#Q38420 $17 0.000% 3132QVLA7 US3132QVLA78FNMA 30YR 3.5% 11/01/2045#AS6201 $17 0.000% 3138WF3K0 US3138WF3K07FNMA 7.00% 1/27 #256630 $17 0.000% 31371NA70 US31371NA704GNMA 30YR 4.5% 06/15/2040#741262 $17 0.000% 3620AVQP0 US3620AVQP08FNMA 7.00% 10/26 #256507 $17 0.000% 31371M3Q8 US31371M3Q84FNMA 7.00% 5/29 #494945 $17 0.000% 31382WZJ4FHLG 30YR 4.5% 08/01/2040#A93375 $17 0.000% 312941XC6 US312941XC67GNMA 7.00% 7/31 #781324 $17 0.000% 36225BPH5 US36225BPH59GNMA 4.50% 2/40 #711188 $17 0.000% 36297GCZ1 US36297GCZ19FNMA 20YR 6.50% 2/27 #256628 $17 0.000% 31371NA54 US31371NA548FNMA 6.00% 10/35 #843693 $17 0.000% 31407XKE0FNMA 20YR 6.50% 8/27 #928600 $17 0.000% 31412LUZ1 US31412LUZ11GNMA 5.00% 8/39 #722964 $17 0.000% 3620A9FD8FNMA 30YR 3.525% 05/01/2042#AO8929 $16 0.000% 3138M04P2 US3138M04P28GNMA 5.50% 3/39 #782604 $16 0.000% 36241K3M8 US36241K3M82GNMA 3.50% 12/40 #734104 $16 0.000% 3620AMRZ7 US3620AMRZ71GNMA 5.00% 11/39 #722705 $16 0.000% 3620A83N1Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 343 Class 16, 5.5% 5/25/34 $16 0.000% 3136FA6N5 US3136FA6N50


500 Salem Street


145

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 7.50% 8/29 #510166 $16 0.000% 31383QW34 US31383QW342GNMA 30YR 4% 07/15/2041#769171 $16 0.000% 36176LJQ9 US36176LJQ95FNMA 30YR 3.0% 12/01/2042#AL2890 $16 0.000% 3138EKF83 US3138EKF836GNMA 6.50% 6/37 #617570 $16 0.000% 36290UCF1FNMA 30YR 4.5% 08/01/2033#727029 $16 0.000% 31402EVW5 US31402EVW55FNMA 6.00% 11/35 #843567 $16 0.000% 31407XFG1 US31407XFG16FHLG 30YR 6% 01/01/2032# $16 0.000% 31287NDD7 US31287NDD75GNMA 4.50% 8/40 #743877 $16 0.000% 3620AYM29Fannie Mae Series 2010-139 Class NI, 4.5% 2/25/40 $16 0.000% 31398SVQ3 US31398SVQ38Freddie Mac planned amortization class Series 2101Class PD, 6% 11/15/28 $16 0.000% 3133TGPD5 US3133TGPD50FHLG 6.50% 8/32 #C70220 $16 0.000% 31287XG59 US31287XG591GNMA 30YR 3.5% 06/15/2043#AE9860 $16 0.000% 36181D5V4 US36181D5V41FNMA 7.00% 9/31 #622547 $16 0.000% 31389DTC1 US31389DTC10GNMA 4.00% 2/41 #738006 $16 0.000% 3620AR3P4 US3620AR3P42Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 348 Class 14, 6.5% 8/25/34 $16 0.000% 3136FCEU6 US3136FCEU67FHLG 30YR 4.0% 11/01/2043#Q23023 $16 0.000% 3132M3AY3 US3132M3AY39GNMA 5.00% 3/40 #727324 $16 0.000% 3620AEAZ3FNMA 7.50% 6/29 #252568 $15 0.000% 31371HQV3 US31371HQV32GNMA 6.00% 11/39 #680498 $15 0.000% 36295T7K4FNMA 15YR 5.50% 9/24 #AE0037 $15 0.000% 31419ABF3 US31419ABF30GNMA 6.50% 2/35 #486893 $15 0.000% 36210A3A3FNMA 6.50% 10/31 #903249 $15 0.000% 31411BQA4 US31411BQA43GNMA 5.50% 5/34 #572257 $15 0.000% 36200TWS3GNMA 5.00% 4/40 #729514 $15 0.000% 3620AGN76GNMA 30YR 4.0% 12/15/2040#737704 $15 0.000% 3620ARRZ6 US3620ARRZ68FNMA 6.00% 10/35 #835485 $15 0.000% 31407NF24GNMA 5.00% 4/39 #713199 $15 0.000% 36297JKL7Freddie Mac floater Series 2424 Class FM, 1 monthU.S. LIBOR + 1.000% 1.0838% 3/15/32 $15 0.000% 31339WJT4 US31339WJT45 B03R0N0GNMA 6.50% 10/34 #605529 $15 0.000% 36200NVW8FNMA 8.00% 3/37 #922475 $15 0.000% 31412D2G2 US31412D2G21GNMA 7.00% 7/32 #582277 $15 0.000% 36201F2J5 US36201F2J58FNMA 7.00% 9/29 #512465 $15 0.000% 31383TJJ8FHLG 30YR 4.5% 03/01/2042#G07492 $15 0.000% 3128M9UR1 US3128M9UR10FNMA 30YR 3.5% 04/01/2049#BN6567 $15 0.000% 3140JPJM8 US3140JPJM83GNMA 7.00% 2/32 #578193 $15 0.000% 36201BKE5FNMA 6.50% 7/35 #745092 $15 0.000% 31403CXV8 US31403CXV89


500 Salem Street


146

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 6.00% 8/35 #735744 $14 0.000% 31402RLZ0 US31402RLZ00FHLG 5.00% 8/40 #A93367 $14 0.000% 312941W45 US312941W454FNMA 15YR 5.00% 3/23 #889255 $14 0.000% 31410G5Q2 US31410G5Q23FNMA 7.00% 7/28 #406815 $14 0.000% 31378R3Y3GNII II 3.5% 08/20/2043#MA1224 $14 0.000% 36179NLD8 US36179NLD83GNMA 4.00% 11/41 #748278 $14 0.000% 3620C4JX9FNMA 15YR 3.5% 10/01/2033#MA3489 $14 0.000% 31418C2X1 US31418C2X11FHLG 30YR 4.5% 07/01/2044#Q27069 $14 0.000% 3132M7QW1 US3132M7QW13GNMA 7.00% 2/32 #569702 $14 0.000% 36200Q3K8Freddie Mac floater Series 2423 Class FA, 1 monthU.S. LIBOR + 0.900% 0.9838% 3/15/32 $14 0.000% 31339WBA3 US31339WBA36GNMA 30YR 3.0% 05/15/2045#AL1539 $14 0.000% 36183WV82 US36183WV820FNMA 30YR 3.5% 10/42#AP6241 $14 0.000% 3138M95B3 US3138M95B32FNMA 15YR 3% 10/01/2029#MA2111 $14 0.000% 31418BKZ8 US31418BKZ84GNMA 30YR 3.0% 04/15/2043#AE1960 $14 0.000% 36180UE96 US36180UE966FHLG 5.00% 8/36 #A51069 $14 0.000% 3128KDFJ9 US3128KDFJ97GNMA 30YR 3.0% 04/15/2043#AE0545 $14 0.000% 36180STA2 US36180STA23GNMA 7.00% 5/32 #584402 $14 0.000% 36201JGK9FNMA 6.50% 8/35 #830991 $14 0.000% 31407HF84FNMA 6.00% 8/35 #830989 $14 0.000% 31407HF68 US31407HF681GNII II 3.5% 10/40#004832 $13 0.000% 36202FLM6FNMA 7.00% 8/27 #313644 $13 0.000% 31374GLZ8 US31374GLZ80FNMA 6.00% 3/39 #935009 $13 0.000% 31412UGS3 US31412UGS33Ginnie Mae guaranteed REMIC pass-thru certificatesSeries 2007-35 Class SC, 40.200% - 1 month U.S.LIBOR 39.6922% 6/16/37 $13 0.000% 38375KVH2 US38375KVH21FNMA 30YR 3.0% 12/01/2042#AB7271 $13 0.000% 31417ECH2 US31417ECH27FNMA 7.00% 6/33 #724861 $13 0.000% 31402CJE3GNMA 7.00% 10/27 #780651 $13 0.000% 36225AWL0 US36225AWL06FHLG 30YR 6% 01/01/2032# $13 0.000% 31287NUQ9 US31287NUQ95GNMA 30YR 4.0% 03/15/2042#AA6826 $13 0.000% 36178ESP5 US36178ESP50FNMA 30YR 3.5% 05/01/2042#AO2976 $13 0.000% 3138LTJW9 US3138LTJW95FHLG 30YR 4.5% 12/01/2040#A95324 $13 0.000% 3129434H3 US3129434H33FNMA 6.50% 12/32 #735415 $13 0.000% 31402RAQ2 US31402RAQ20FHLM ARM 6.72% 8/37 #1N1651 $13 0.000% 3128QHZQ6 US3128QHZQ60GNII 30YR 4.5% 07/20/2040#004737 $13 0.000% 36202FHN9 US36202FHN96FNMA 7.00% 4/26 #303856 $13 0.000% 31373UQH3 US31373UQH31Fannie Mae floater Series 2002-18 Class FD, 1month U.S. LIBOR + 0.800% 0.886% 2/25/32 $13 0.000% 31392CHM9 US31392CHM91 B03NR48


500 Salem Street


147

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 5.50% 7/38 #711379 $13 0.000% 36297GJY7FNMA 20YR 7.00% 8/26 #256430 $12 0.000% 31371MY35 US31371MY359FNMA 6.00% 7/35 #826003 $12 0.000% 31407BU49FNMA 4.50% 9/40 #AC9247 $12 0.000% 31417WHZ7 US31417WHZ77FHLG 30YR 6% 10/01/2032# $12 0.000% 31283HTS4 US31283HTS49 B7YR1B3FNMA 30YR 4.0% 02/01/2042#AK3402 $12 0.000% 3138E7X82 US3138E7X829FNMA 6.50% 8/35 #830779 $12 0.000% 31407G6Q6 US31407G6Q69GNMA 7.00% 5/31 #560298 $12 0.000% 36213PNP2FHLG 5.00% 6/38 #A78486 $12 0.000% 3128LCNB8 US3128LCNB87FHLG 30YR 3.5% 08/01/45#G08659 $12 0.000% 3128MJWV8 US3128MJWV84GNMA 4.50% 3/41 #750197 $12 0.000% 3620C6NN1Fannie Mae floater Series 2002-7 Class FC, 1 monthU.S. LIBOR + 0.750% 0.836% 1/25/32 $12 0.000% 31392B2Z8 US31392B2Z83FNMA 6.00% 6/35 #829377 $12 0.000% 31407FM23FNMA 7.50% 3/26 #339830 $12 0.000% 31375NPP0FNMA 4.50% 9/39 #AC4396 $12 0.000% 31417N3E9 US31417N3E95FHLG 30YR 6% 04/01/2031# $12 0.000% 31292HJK1 US31292HJK14GNMA 30YR 3.5% 01/15/2042#778794 $12 0.000% 36176W7F2 US36176W7F23FNMA 7.50% 4/31 #571639 $12 0.000% 31386SBG1FNMA 4.50% 12/40 #AE8843 $12 0.000% 31419KZH1 US31419KZH12GNMA 5.50% 8/33 #604578 $12 0.000% 36200MUB7GNMA 5.00% 1/34 #604900 $12 0.000% 36200M7M9GNMA 6.50% 8/36 #657024 $12 0.000% 36294Q4H1FNMA 7.00% 6/32 #644809 $12 0.000% 31390FKW8GNII II 3.5% 04/20/2044#MA1838 $11 0.000% 36179QBF7 US36179QBF72FNMA 15YR 4.50% 6/24 #AA6863 $11 0.000% 31416QTV7 US31416QTV76GNMA 4.50% 8/40 #740919 $11 0.000% 3620AVDY5FNMA 4.00% 12/40 #AH1326 $11 0.000% 3138A2PL7Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 351 Class 13, 6% 3/25/34 $11 0.000% 3136FCJC1 US3136FCJC15FHLG 30YR 4.5% 05/01/2040#A92181 $11 0.000% 312940M63 US312940M630FHLG 30YR 4.5% 04/01/2041# $11 0.000% 3132GDQH8 US3132GDQH88GNMA 6.00% 11/39 #709863 $11 0.000% 36297ETU9GNMA 5.00% 8/39 #718334 $11 0.000% 3620A4BB7GNMA 5.00% 11/38 #681615 $11 0.000% 36295VGY9FNMA 7.00% 3/26 #339493 $11 0.000% 31375NC66FNMA 30YR 3.5% 04/42#890427 $11 0.000% 31410LHC9 US31410LHC90FNMA 7.00% 6/33 #720305 $11 0.000% 31401WGN3GNMA 6.50% 10/36 #654552 $11 0.000% 36294NEZ7


500 Salem Street


148

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 20YR 6.50% 7/27 #928540 $11 0.000% 31412LS50 US31412LS504GNMA 6.50% 11/34 #605771 $11 0.000% 36200N6G1 US36200N6G12GNMA 4.50% 7/40 #745237 $11 0.000% 3620C04W5 US3620C04W59GNMA 5.50% 5/34 #621407 $11 0.000% 36290YKU1GNMA 8.50% 8/29 #781078 $11 0.000% 36225BFT0GNMA 30YR 5.0% 07/15/2040#739708 $11 0.000% 3620ATYD3 US3620ATYD30FNMA 30YR 3.0% 09/01/2043#AT7264 $11 0.000% 3138WVCA7 US3138WVCA75FNMA 30YR 3.0% 10/01/2042#AQ0861 $11 0.000% 3138MF5X1 US3138MF5X19GNMA 5.00% 10/34 #781813 $11 0.000% 36241KAN8 US36241KAN81FHLG 30YR 7.5% 06/01/2032# $11 0.000% 31287T5N1 US31287T5N13FNMA 30YR 4.5% 12/01/2044#AW5937 $11 0.000% 3138XVS35 US3138XVS356GNMA 4.50% 10/39 #723234 $11 0.000% 3620A9PT2 US3620A9PT24FNMA 4.00% 12/40 #AE8783 $11 0.000% 31419KXM2GNMA 5.00% 11/39 #710988 $11 0.000% 36297F2V3FNMA 6.00% 9/35 #840657 $10 0.000% 31407T5S5FNMA 6.00% 10/35 #803376 $10 0.000% 31405YQ53FNMA 7.00% 9/30 #710936 $10 0.000% 31401KY90GNMA 5.00% 9/39 #722270 $10 0.000% 3620A8MT7FNMA 7.00% 7/32 #653555 $10 0.000% 31390RBY8GNMA 5.00% 5/39 #717129 $10 0.000% 3620A2VW3GNMA 7.00% 2/32 #573592 $10 0.000% 36200VF99FNMA 4.00% 3/41 #AH6150 $10 0.000% 3138A7ZQ4GNMA 4.50% 11/39 #782818 $10 0.000% 36241LDX1 US36241LDX10GNMA 6.50% 3/35 #640208 $10 0.000% 36291WGR6FNMA 3.50% 5/42 #AO2138 $10 0.000% 3138LSLU2 US3138LSLU29FNMA 30YR 3.5% 08/01/2043#AU3742 $10 0.000% 3138X3EQ1 US3138X3EQ13GNMA 7.50% 8/27 #452322 $10 0.000% 36208JPF3Freddie Mac floater Series 2412 Class FK, 1 monthU.S. LIBOR + 0.800% 0.8838% 1/15/32 $10 0.000% 31339DTC2 US31339DTC29GNII II 3.5% 10/20/2043#MA1375 $10 0.000% 36179NQ43 US36179NQ439GNMA 4.50% 10/39 #723247 $10 0.000% 3620A9P88GNMA 7.50% 5/27 #353479 $10 0.000% 36203MUC2GNMA 4.50% 11/39 #723418 $10 0.000% 3620A9VK4 US3620A9VK41FHLG 5.00% 12/33 #G04895 $10 0.000% 3128M6XY9 US3128M6XY94FHLG 5.00% 12/39 #A90393 $10 0.000% 312938NJ8 US312938NJ83FNMA 7.50% 8/29 #508377 $10 0.000% 31383NXE6 US31383NXE65FNMA ARM 5.344% 7/35 #834917 $10 0.000% 31407MSE6 US31407MSE65FNMA 3.50% 11/41 #AB3867 $10 0.000% 31417AJM2 US31417AJM27FNMA 7.00% 12/26 #323242 $10 0.000% 31374TBK4 US31374TBK43


500 Salem Street


149

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 4.50% 8/39 #AA9357 $10 0.000% 31416TMF3 US31416TMF39GNMA 7.00% 5/32 #569799 $10 0.000% 36200Q7L2 US36200Q7L25FNMA 7.50% 5/29 #252492 $10 0.000% 31371HNH7 US31371HNH74FHLG 4.50% 8/40 #G05937 $10 0.000% 3128M74W3 US3128M74W34 B7LVK77FNMA 15YR 5.00% 7/23 #909204 $10 0.000% 31411JDH6FHLG 15YR 4.50% 6/25 #G18356 $10 0.000% 3128MMME0 US3128MMME09FNMA 30YR 4.5% 11/01/2034#805555 $10 0.000% 31406B5Q9 US31406B5Q97FHLG 30YR 4.5% 08/01/2035#G02836 $10 0.000% 3128M4PV9 US3128M4PV99FNMA 4.50% 5/39 #AA7165 $10 0.000% 31416Q6B6 US31416Q6B66GNMA 6.00% 11/39 #680497 $10 0.000% 36295T7J7FNMA 4.50% 8/39 #AC1446 $10 0.000% 31417KTC1 US31417KTC17GNMA 6.00% 10/39 #680489 $9 0.000% 36295T7A6Ginnie Mae guaranteed REMIC pass-thru certificatesplanned amortization class Series 2011-136 ClassWI, 4.5% 5/20/40 $9 0.000% 38377YTR1 US38377YTR17FNMA 4.00% 7/39 #AC2169 $9 0.000% 31417LMT9 US31417LMT97FNMA 7.50% 4/31 #580279 $9 0.000% 31387CUC3FNMA 4.50% 8/39 #935520 $9 0.000% 31412UYR5 US31412UYR57GNMA 5.00% 9/39 #713866 $9 0.000% 36297KCB5 US36297KCB52FHLG 20YR 6.50% 2/27 #D97196 $9 0.000% 3128E37H1 US3128E37H13FNMA 7.50% 8/29 #510192 $9 0.000% 31383QXV1 US31383QXV12FHLG 30YR 4.5% 02/01/2037#G02671 $9 0.000% 3128M4JQ7 US3128M4JQ78FNMA 30YR 5.0% 03/45#AY2119 $9 0.000% 3138YFK94 US3138YFK941GNMA 7.00% 1/32 #579242 $9 0.000% 36201CP32GNMA 7.00% 5/32 #563581 $9 0.000% 36213TCS0FHLG 30YR 8% 04/01/2027# $9 0.000% 3128FMF97 US3128FMF970GNMA 4.00% 1/41 #734148 $9 0.000% 3620AMTD4FNMA 30YR 3.5% 07/42#AB5501 $9 0.000% 31417CDF9 US31417CDF95GNMA 7.50% 9/27 #449474 $9 0.000% 36208FJT8GNMA 7.00% 4/32 #569328 $9 0.000% 36200QPM0 US36200QPM05FNMA 7.00% 6/32 #648542 $9 0.000% 31390KP36FHLG 20YR 6.50% 5/26 #C90975 $9 0.000% 3128P7CL5 US3128P7CL54FNMA 7.00% 6/26 #347952 $9 0.000% 31375XQD4Freddie Mac sequential payer Series 2601 Class TB,5.5% 4/15/23 $9 0.000% 31393P4T8 US31393P4T87FNMA 6.00% 6/35 #828064 $9 0.000% 31407D5Z4 US31407D5Z41FHLM ARM 5.55% 4/37 #847748 $9 0.000% 3128JRTD8 US3128JRTD86FNMA 7.00% 7/29 #505740 $9 0.000% 31383KZD2FNMA 7.00% 6/29 #500286 $9 0.000% 31383DXP3


500 Salem Street


150

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 6.50% 7/32 #545762 $9 0.000% 31385JJF6 US31385JJF66FHLG 30YR 7.5% 12/01/2029# $9 0.000% 31292G7H3 US31292G7H32 B12P7H5FNMA 7.50% 1/28 #413862 $9 0.000% 31379AWX9FNMA 7.00% 6/28 #432548 $8 0.000% 31379XP90FNMA 7.50% 8/29 #499337 $8 0.000% 31383CV69 US31383CV690FNMA 7.00% 10/25 #303555 $8 0.000% 31373UE45 US31373UE459GNMA 5.50% 4/39 #711961 $8 0.000% 36297G5W6GNII II 6.5% 3/31 #003053 $8 0.000% 36202DMA6 US36202DMA62FHLG 6.50% 4/32 #C01343 $8 0.000% 31292HP40 US31292HP405GNMA 5.00% 4/33 #577996 $8 0.000% 36201BC95FNMA 7.50% 1/28 #409486 $8 0.000% 31378U2T8GNMA 7.00% 6/29 #487516 $8 0.000% 36210BSD8 US36210BSD81FNMA ARM 5.05% 7/34 #801635 $8 0.000% 31405WSY2 US31405WSY20GNMA 4.50% 11/39 #726467 $8 0.000% 3620ADCC4 US3620ADCC43FNMA 6.00% 8/35 #824358 $8 0.000% 31406YZX1FHLG 5.00% 6/38 #A78487 $8 0.000% 3128LCNC6 US3128LCNC60FHLG 15YR 5.50% 6/22 #G12688 $8 0.000% 3128MBF51 US3128MBF516FNMA 6.00% 5/36 #745550 $8 0.000% 31403DH36 US31403DH362FNMA 7.00% 7/37 #940208 $8 0.000% 31413BAH4 US31413BAH42FNMA 6.50% 5/35 #812274 $8 0.000% 31406KMX5FNMA 30YR 3% 05/01/43#AT3347 $8 0.000% 3138WQWH1 US3138WQWH14FHLG 30YR 7.5% 12/01/2029# $8 0.000% 31294BLF0 US31294BLF03GNMA 30YR 4.0% 11/15/2041#778597 $8 0.000% 36176WX22 US36176WX226FNMA 7.50% 8/27 #251265 $8 0.000% 31371GCA6GNII II 4.50% 10/35 #003771 $8 0.000% 36202EFL8FHLG 30YR 7% 04/01/2032# $8 0.000% 31287RQL6 US31287RQL68FNMA 7.00% 12/31 #622219 $8 0.000% 31389DG43GNMA 7.00% 12/31 #556294 $8 0.000% 36213J7F6 US36213J7F62FNMA 30YR 4.5% 01/01/2034#752919 $8 0.000% 31403MPC7 US31403MPC72Freddie Mac floater Series 2432 Class FG, 1 monthU.S. LIBOR + 0.900% 0.9838% 3/15/32 $8 0.000% 31339NNN2 US31339NNN20FNMA 4.00% 10/40 #AD8779 $8 0.000% 31418WXH8 US31418WXH86FNMA 7.00% 9/27 #313687 $8 0.000% 31374GNC7 US31374GNC77FNMA 4.00% 12/40 #AH0540 $8 0.000% 3138A1S69FNMA 7.00% 8/32 #656362 $8 0.000% 31390UFB7FHLM ARM 3.224% 4/41#1B8179 $8 0.000% 3128UGPP6 US3128UGPP68GNMA 30YR 4.5% 10/15/2040#740554 $8 0.000% 3620AUWP5 US3620AUWP50FNMA 6.50% 12/27 #257055 $8 0.000% 31371NQG3 US31371NQG33FNMA 6.00% 1/36 #839064 $8 0.000% 31407SFD9 US31407SFD99


500 Salem Street


151

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 4.00% 12/40 #MA0583 $8 0.000% 31417YUH8 US31417YUH88FNMA 7.00% 4/37 #915579 $8 0.000% 31411VFU8 US31411VFU89FNMA 7.00% 2/31 #689547 $8 0.000% 31400KBQ8FHLG 5.00% 8/33 #G01584 $8 0.000% 31283HXM2 US31283HXM23Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 351 Class 12, 5.5% 4/25/34 $8 0.000% 3136FCJB3 US3136FCJB32FNMA 7.50% 11/28 #457257 $8 0.000% 31381C5S2FNMA 30YR 4.5% 10/01/2043#AR6445 $7 0.000% 3138W4ET4 US3138W4ET45GNMA 7.00% 6/28 #460857 $7 0.000% 36208T5S5FHLG 30YR 5% 05/01/2035# $7 0.000% 31297P2R1 US31297P2R19GNMA 7.00% 5/28 #457682 $7 0.000% 36208QM78FNMA 7.50% 6/28 #251822 $7 0.000% 31371GVP2 US31371GVP26GNMA 5.00% 2/40 #737011 $7 0.000% 3620AQYG2 US3620AQYG22GNMA 7.00% 7/28 #449944 $7 0.000% 36208FZH6Fannie Mae Stripped Mortgage-Backed SecuritiesSeries 359 Class 19, 6% 7/25/35 $7 0.000% 3136FCUL8 US3136FCUL84FNMA 30YR 3.5% 09/01/2045#AS5816 $7 0.000% 3138WFPA8 US3138WFPA88GNMA 7.50% 11/25 #418148 $7 0.000% 36206QP93FNMA 7.50% 10/29 #520559 $7 0.000% 31384DJC7 US31384DJC74GNMA 7.00% 10/31 #568814 $7 0.000% 36213Y3X8FNMA 7.50% 2/30 #517827 $7 0.000% 31384AHC5FNMA 7.00% 8/28 #441292 $7 0.000% 31380JF99FNMA 7.00% 10/28 #457547 $7 0.000% 31381DHY4FNMA 30YR 4.5% 07/01/2033#720240 $7 0.000% 31401WEM7 US31401WEM73FNMA 4.00% 12/40 #AH1983 $7 0.000% 3138A3FZ5FNMA 7.00% 2/26 #337532 $7 0.000% 31375K4R5 US31375K4R53FNMA 7.50% 5/28 #251755 $7 0.000% 31371GTL4GNMA 30YR 3.5% 09/15/2042#796303 $7 0.000% 36177RAD3 US36177RAD35GNMA 3.50% 11/41 #489790 $7 0.000% 36210EC31FNMA 30YR 4% 06/01/2039#AA7503 $7 0.000% 31416RKR3 US31416RKR39FNMA 6.50% 2/37 #910700 $7 0.000% 31411KX57GNMA 30YR 4.0% 08/15/2042#AB1489 $7 0.000% 36178LUN1 US36178LUN18GNMA 7.50% 6/27 #780580 $7 0.000% 36225AUD0 US36225AUD08 2145824GNMA 8.50% 1/31 #435013 $7 0.000% 36207LGW2FNMA 7.00% 10/28 #323327 $7 0.000% 31374TD89FHLG 30YR 8% 07/01/2030# $7 0.000% 31297XWP5 US31297XWP58FNMA 7.00% 2/33 #693335 $7 0.000% 31400PHL2GNMA 6.00% 11/39 #720602 $7 0.000% 3620A6RX7FNMA 7.50% 11/27 #417739 $7 0.000% 31379FBG8


500 Salem Street


152

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 7.50% 3/28 #420501 $7 0.000% 31379JDE3FNMA 6.00% 11/35 #863262 $7 0.000% 31408XB74 US31408XB743FNMA 6.50% 2/37 #908771 $6 0.000% 31411HT42 US31411HT429FNMA 4.50% 7/39 #AA9055 $6 0.000% 31416TBZ1 US31416TBZ12FNMA 7.00% 9/28 #660494 $6 0.000% 31390YXX1GNMA 5.00% 10/33 #616015 $6 0.000% 36290SK42 US36290SK428GNMA 7.00% 4/32 #581769 $6 0.000% 36201FJN8GNMA 5.50% 4/34 #574566 $6 0.000% 36200WJK8 US36200WJK80FHLG 4.50% 11/39 #G05695 $6 0.000% 3128M7UU8 US3128M7UU82 B73Q5Z3FNMA 6.00% 7/35 #832126 $6 0.000% 31407JPK2FHLG 30YR 6% 12/01/2032# $6 0.000% 31283HUA1 US31283HUA12 2182207FNMA 6.50% 12/36 #901643 $6 0.000% 31410YWC4GNMA 7.00% 4/31 #545140 $6 0.000% 36212VS59FNMA 7.00% 9/32 #647416 $6 0.000% 31390JGZ8Fannie Mae Series 2003-21 Class SK, 8.100% - 1month U.S. LIBOR 8.014% 3/25/33 $6 0.000% 31392JY37 US31392JY377FHLG 30YR 5% 07/01/2035# $6 0.000% 31297RYJ0 US31297RYJ03 B162XL8FNMA 7.00% 1/32 #624486 $6 0.000% 31389FXP2FHLM ARM 3.88% 1/35 #848084 $6 0.000% 3128JR6V3 US3128JR6V38FHLG 30YR 8.5% 08/01/2027# $6 0.000% 31283G3U9 US31283G3U95GNMA 5.00% 6/40 #729548 $6 0.000% 3620AGP90FHLG 30YR 4.5% 09/01/2039# $6 0.000% 3128MJMN7 US3128MJMN78FNMA 7.00% 11/27 #190289 $6 0.000% 31368HKA0 US31368HKA04FNMA 7.50% 2/30 #535143 $6 0.000% 31384VP48 US31384VP484GNMA 5.50% 5/34 #616423 $6 0.000% 36290SYU9GNMA 7.50% 9/31 #551661 $6 0.000% 36213DZ27FHLG 30YR 4.5% 08/01/2039# $6 0.000% 3129342K7 US3129342K70GNMA 8.00% 12/23 #780738 $6 0.000% 36225AZB9FNMA 20YR 6.50% 10/26 #256479 $6 0.000% 31371M2L0 US31371M2L07FNMA ARM 4.358% 10/33 #754672 $6 0.000% 31403QMV9 US31403QMV94FNMA 7.50% 7/29 #507427 $6 0.000% 31383MVU4 US31383MVU43GNMA 5.50% 12/38 #782495 $6 0.000% 36241KXY9 US36241KXY99GNMA 5.00% 4/40 #733601 $6 0.000% 3620AMAA0GNII II 6.5% 11/31 #003161 $6 0.000% 36202DQN4 US36202DQN48GNMA 7.50% 7/24 #365086 $6 0.000% 36204BRF2GNII II 3.50% 12/40 #004881 $6 0.000% 36202FM60 US36202FM608FNMA 4.50% 12/40 #AE9423 $5 0.000% 31419LPH0 US31419LPH05GNMA 4.50% 7/39 #710683 $5 0.000% 36297FRC8FNMA 7.50% 1/27 #368817 $5 0.000% 31376XVJ4 US31376XVJ44


500 Salem Street


153

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 6.00% 8/35 #825795 $5 0.000% 31407BNL9FNMA 6.00% 9/35 #832175 $5 0.000% 31407JQ47FNMA 4.50% 11/40 #AE8956 $5 0.000% 31419K5S0 US31419K5S08FNMA 7.50% 8/29 #511324 $5 0.000% 31383SAZ3 US31383SAZ39FNMA 7.00% 8/26 #190273 $5 0.000% 31368HJS3 US31368HJS31FNMA 7.00% 12/24 #190295 $5 0.000% 31368HKG7 US31368HKG73FHLG 30YR 8% 08/01/2030# $5 0.000% 31297YK84 US31297YK848FNMA 7.00% 11/29 #527286 $5 0.000% 31384LXP4GNMA 7.00% 6/28 #158759 $5 0.000% 36216AJC6 US36216AJC62GNMA 6.00% 11/39 #719736 $5 0.000% 3620A5SZ3FHLG 20YR 7.00% 7/26 #D97040 $5 0.000% 3128E3ZD9 US3128E3ZD97GNII II 4.0% 10/45#MA3174 $5 0.000% 36179RQ36 US36179RQ364GNMA 7.00% 10/28 #464231 $5 0.000% 36208XVY4GNMA 7.00% 1/30 #515294 $5 0.000% 36211KNK6FNMA 4.00% 2/41 #AH0352 $5 0.000% 3138A1MA6 US3138A1MA60GNMA 7.50% 9/25 #376256 $5 0.000% 36204P5R9FNMA 7.50% 12/29 #527587 $5 0.000% 31384MCY6GNMA 7.00% 2/32 #571979 $5 0.000% 36200TM47GNMA 4.50% 11/39 #723430 $5 0.000% 3620A9VX6 US3620A9VX61FNMA 6.00% 5/32 #643194 $5 0.000% 31390DRP1GNMA 7.50% 7/28 #475895 $5 0.000% 36209MUU6FNMA 6.00% 7/35 #837280 $5 0.000% 31407QFV3 US31407QFV32GNMA 3.50% 1/42 #778796 $5 0.000% 36176W7H8FNMA 30YR 4% 03/01/2041#AE3525 $5 0.000% 31419D4K4 US31419D4K44FNMA 20YR 6.50% 1/26 #256107 $5 0.000% 31371MNY9 US31371MNY92GNMA 7.50% 8/27 #412301 $5 0.000% 36206JAA2GNMA 7.00% 11/31 #572392 $5 0.000% 36200T2Z0FNMA 7.00% 7/32 #254379 $5 0.000% 31371KQ87 US31371KQ870FHLG 5.00% 7/35 #A36061 $5 0.000% 31297RWW3 US31297RWW32FNMA 7.50% 5/27 #379801 $5 0.000% 31377K3J2GNMA 7.00% 11/31 #551093 $5 0.000% 36213DGA0FHLG 6.50% 2/37 #A57709 $5 0.000% 3128KLR66 US3128KLR662GNMA 7.50% 2/27 #399107 $5 0.000% 36205SKU8GNII II 4.0% 09/45#MA3106 $5 0.000% 36179RNX3 US36179RNX34FNMA 7.50% 8/29 #510611 $5 0.000% 31383RGU0 US31383RGU05FHLG 30YR 7.5% 04/01/2032# $5 0.000% 31287SBA4 US31287SBA42GNMA 3.50% 9/41 #783403 $5 0.000% 36241LX84 US36241LX841FNMA 20YR 7.00% 12/26 #256589 $5 0.000% 31371M7A9 US31371M7A96FNMA 7.00% 5/32 #646736 $5 0.000% 31390HPV1


500 Salem Street


154

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 1/31 #474760 $5 0.000% 36209LMH6GNMA 7.00% 7/29 #513705 $5 0.000% 36211HU66 US36211HU665FHLG 30YR 5% 09/01/2035# $5 0.000% 31297TTR4 US31297TTR40FNMA 4.50% 11/40 #AE6932 $5 0.000% 31419HV25 US31419HV253FNMA 7.50% 8/29 #498693 $5 0.000% 31383B7E1 US31383B7E17FHLG 20YR 7.00% 2/27 #D97194 $5 0.000% 3128E37F5 US3128E37F56GNMA 7.50% 10/27 #460697 $5 0.000% 36208TX21FNMA 7.50% 11/27 #404745 $5 0.000% 31378PTA1GNMA 7.00% 12/31 #570131 $5 0.000% 36200RLL4FHLG 30YR 7.5% 04/01/2028# $5 0.000% 3128G2BW3 US3128G2BW31GNMA 7.50% 12/25 #780453 $5 0.000% 36225AQE3FNMA 7.00% 8/31 #769023 $5 0.000% 31404HLC1GNMA 30YR 4.0% 06/15/2042#AA0565 $5 0.000% 36177WTW0 US36177WTW00GNMA 7.00% 6/32 #565960 $5 0.000% 36213VWV6FHLG 30YR 4.5% 07/01/2040# $5 0.000% 312941HS9 US312941HS93GNMA 7.50% 8/25 #412993 $5 0.000% 36206JXW9FNMA 4.00% 12/40 #AE8075 $5 0.000% 31419J6M5 US31419J6M54GNMA 5.00% 1/40 #723616 $5 0.000% 3620A93Z2 US3620A93Z27GNMA 7.50% 9/25 #415993 $5 0.000% 36206NC60GNMA 7.00% 10/31 #570662 $5 0.000% 36200R5X6FHLG 30YR 6% 06/01/2031# $5 0.000% 31292HJ70 US31292HJ705GNMA 5.50% 5/34 #574784 $5 0.000% 36200WRD5FHLG 30YR 4% 04/01/2040# $5 0.000% 312940C49 US312940C490GNMA 7.00% 6/32 #589983 $5 0.000% 36201QM83FNMA 7.00% 9/28 #323317 $5 0.000% 31374TDW6FNMA 7.50% 9/29 #357040 $5 0.000% 31376JS59FNMA 7.00% 10/29 #323961 $5 0.000% 31374TZ28 US31374TZ280GNMA 5.50% 3/34 #626497 $5 0.000% 36291E7J4FNMA 7.00% 8/25 #303450 $5 0.000% 31373UBT3GNMA 5.00% 7/39 #698387 $5 0.000% 36296Q2U2 US36296Q2U27Fannie Mae Series 2011-67 Class AI, 4% 7/25/26 $5 0.000% 31397U4B2 US31397U4B21GNMA 7.00% 7/31 #554247 $5 0.000% 36213GWG2 US36213GWG27GNMA 5.00% 3/41 #756893 $5 0.000% 36230RUS3FNMA 4.50% 6/39 #993203 $5 0.000% 31415YKQ1 US31415YKQ16GNMA 6.00% 12/34 #605777 $4 0.000% 36200N6N6GNMA 7.00% 9/31 #563407 $4 0.000% 36213S3Q6GNMA 7.00% 10/28 #475656 $4 0.000% 36209MMD3FHLG 30YR 6% 06/01/2029# $4 0.000% 31293R5M9 US31293R5M99GNMA 7.00% 3/32 #581891 $4 0.000% 36201FNG8


500 Salem Street


155

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 4/23 #343243 $4 0.000% 36203AHU3GNMA 7.00% 12/30 #493530 $4 0.000% 36210JHF8FNMA 7.00% 5/26 #303913 $4 0.000% 31373USA6 US31373USA69FNMA 7.50% 1/27 #368821 $4 0.000% 31376XVN5FNMA 7.50% 12/28 #323424 $4 0.000% 31374TG94FNMA 7.50% 9/26 #358464 $4 0.000% 31376LFD1GNMA 7.50% 8/28 #457796 $4 0.000% 36208QRR9FHLG 30YR 5% 09/01/2035# $4 0.000% 31297S6M2 US31297S6M22FNMA 7.50% 1/28 #451746 $4 0.000% 31380VZK5 US31380VZK50GNMA 7.00% 4/32 #568707 $4 0.000% 36213YYC0GNMA 7.00% 11/29 #518019 $4 0.000% 36211NPC6FHLG 6.50% 3/37 #A58828 $4 0.000% 3128KMYZ2 US3128KMYZ28GNMA 7.00% 7/32 #591551 $4 0.000% 36201SEY1 US36201SEY19FNMA 6.00% 10/35 #745000 $4 0.000% 31403CUZ2 US31403CUZ21GNMA 7.50% 4/27 #780545 $4 0.000% 36225ATA8GNMA 7.00% 11/31 #556007 $4 0.000% 36213JU86GNMA 7.00% 5/32 #552575 $4 0.000% 36213E2G0FNMA 7.00% 6/32 #644164 $4 0.000% 31390ETV4GNMA 4.50% 8/40 #733871 $4 0.000% 3620AMJQ6 US3620AMJQ64FNMA 7.50% 12/27 #407933 $4 0.000% 31378TEE1GNMA 7.00% 3/32 #565867 $4 0.000% 36213VTY4FNMA 15YR 5.00% 11/22 #909126 $4 0.000% 31411JA30FNMA 15YR 5.50% 3/22 #912782 $4 0.000% 31411RCT3 US31411RCT32FNMA 4.50% 8/40 #AB1379 $4 0.000% 31416WQ96 US31416WQ969GNMA 7.00% 11/31 #554171 $4 0.000% 36213GT43FNMA 6.00% 3/35 #787562 $4 0.000% 31405E5X9 US31405E5X94FHLG 30YR 5% 07/01/2040# $4 0.000% 312941NQ6 US312941NQ63FHLG 5.00% 12/34 #A30369 $4 0.000% 31297KMS8 US31297KMS86FNMA 7.50% 9/25 #322201 $4 0.000% 31374R3J0FNMA 6.00% 10/35 #848099 $4 0.000% 31408DGG3GNMA 5.50% 5/34 #623459 $4 0.000% 36291BTQ0GNMA 5.50% 5/34 #615060 $4 0.000% 36290RJD6GNMA 8.00% 9/25 #398255 $4 0.000% 36205RMC8GNMA 7.50% 7/27 #347263 $4 0.000% 36203EWY0GNMA 7.50% 12/27 #462434 $4 0.000% 36208VV36Fannie Mae Series 1993-165 Class SH, 19.800% - 1month U.S. LIBOR 19.5566% 9/25/23 $4 0.000% 31359D5R0 US31359D5R02FNMA 7.50% 3/29 #323688 $4 0.000% 31374TRH4FHLG 5.00% 5/34 #A23124 $4 0.000% 31297APH1 US31297APH13 B627BV8


500 Salem Street


156

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 5% 10/01/2033# $4 0.000% 31296PHP0 US31296PHP09GNMA 5.50% 7/33 #594354 $4 0.000% 36201VH70GNMA 7.00% 5/32 #589934 $4 0.000% 36201QLP6 US36201QLP62FNMA 4.50% 4/41 #AD1892 $4 0.000% 31418PC60GNMA 7.00% 3/32 #569213 $4 0.000% 36200QK29GNMA 7.00% 5/28 #389127 $4 0.000% 36205FHC0GNMA 7.00% 9/31 #571901 $4 0.000% 36200TKN7 US36200TKN71GNMA 5.50% 7/37 #670111 $4 0.000% 36295GN40 US36295GN400FHLM ARM 5.20% 12/35 #1A0053 $4 0.000% 3128NEBW9 US3128NEBW90GNMA 5.00% 9/37 #670351 $4 0.000% 36295GWL2FHLG 30YR 5% 11/01/2037# $4 0.000% 3128L1GA2 US3128L1GA25GNMA 4.50% 11/39 #723384 $4 0.000% 3620A9UH2FHLG 20YR 7.00% 11/26 #C91010 $4 0.000% 3128P7DP5 US3128P7DP59FNMA 7.00% 4/28 #421199 $4 0.000% 31379J3G9GNMA 7.00% 3/28 #459593 $4 0.000% 36208SRN4GNMA 7.00% 5/32 #552576 $4 0.000% 36213E2H8 US36213E2H82FNMA 7.00% 5/26 #250551 $4 0.000% 31371FH47 US31371FH473FNMA 6.50% 7/26 #256310 $4 0.000% 31371MVB0 US31371MVB08Northwestern Mutual Life Insurance Co. 6.063%3/30/40 $4 0.000% %NORW40A 668131AA3 US668131AA38 B58P7W2FHLG 30YR 5% 07/01/2035# $4 0.000% 31297R4W4 US31297R4W40FNMA 7.50% 11/27 #313835 $4 0.000% 31374GSY4 US31374GSY43FNMA 7.00% 1/26 #331598 $4 0.000% 31375DKK8FNMA 6.00% 10/35 #830817 $4 0.000% 31407HAS5GNMA 8.50% 4/30 #479294 $4 0.000% 36209RNK5GNMA 7.00% 1/29 #434145 $4 0.000% 36207KHW3 US36207KHW36FNMA 20YR 6.50% 3/27 #256653 $4 0.000% 31371NBW4 US31371NBW48GNMA 7.50% 6/23 #355712 $4 0.000% 36203QDR9FNMA 7.00% 1/26 #250440 $4 0.000% 31371FEM0GNMA 7.00% 2/28 #465971 $4 0.000% 36209AT42FNMA 7.00% 7/32 #648070 $4 0.000% 31390J6F3GNMA 7.00% 5/28 #442456 $4 0.000% 36207UQH4GNMA 8.00% 9/25 #405143 $4 0.000% 36206ABL6FHLG 30YR 4.5% 12/01/2039#A90245 $4 0.000% 312938HW6 US312938HW68GNMA 7.00% 8/31 #556226 $4 0.000% 36213J4K8FNMA 6.00% 11/38 #995876 $4 0.000% 31416CJV9 US31416CJV90GNMA 7.00% 4/32 #582105 $3 0.000% 36201FU62 US36201FU629GNMA 7.00% 7/32 #582240 $3 0.000% 36201FZD2GNMA 5.50% 6/39 #670609 $3 0.000% 36295HAJ9


500 Salem Street


157

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 11/22 #335508 $3 0.000% 36224QU95 US36224QU958FHLG 6.50% 3/30 #G02183 $3 0.000% 3128LXM80 US3128LXM807FHLG 30YR 8.5% 08/01/2027# $3 0.000% 3128FQ4A7 US3128FQ4A76GNMA 7.00% 6/32 #565952 $3 0.000% 36213VWM6GNMA 7.00% 1/28 #463468 $3 0.000% 36208WZ97GNMA 8.00% 12/25 #423436 $3 0.000% 36206WLR4GNMA 7.00% 7/28 #474002 $3 0.000% 36209KRX8GNMA 7.50% 7/27 #353726 $3 0.000% 36203M4K3GNMA 7.00% 10/31 #567252 $3 0.000% 36213XEZ3FNMA 15YR 5.50% 12/23 #995460 $3 0.000% 31416BZZ4 US31416BZZ48FHLG 30YR 5% 08/01/2035# $3 0.000% 31297SW84 US31297SW845FNMA 7.00% 11/26 #256546 $3 0.000% 31371M5F0 US31371M5F02GNMA 7.00% 7/32 #590407 $3 0.000% 36201Q3Q4GNMA 5.00% 6/39 #702085 $3 0.000% 36296U6W5GNMA 7.50% 7/27 #453200 $3 0.000% 36208KNR6GNMA 7.50% 11/22 #322933 $3 0.000% 36224AV24GNMA 7.50% 9/25 #414186 $3 0.000% 36206LCX5GNMA 7.00% 3/31 #474770 $3 0.000% 36209LMT0FNMA 7.50% 3/28 #251570 $3 0.000% 31371GMT4FNMA 6.00% 7/35 #830899 $3 0.000% 31407HDC7GNMA 6.50% 10/34 #605721 $3 0.000% 36200N4E8GNMA 5.50% 6/39 #714690 $3 0.000% 36297K7B1FNMA 7.00% 6/29 #498978 $3 0.000% 31383CJX4FNMA 4.00% 10/40 #AE3871 $3 0.000% 31419EJR1GNMA 7.00% 5/32 #582134 $3 0.000% 36201FV38GNMA 7.00% 7/31 #558746 $3 0.000% 36213MWF1FNMA 7.00% 1/26 #334042 $3 0.000% 31375GBK1 US31375GBK13GNMA 7.50% 5/26 #402555 $3 0.000% 36205WE44FNMA 6.00% 2/38 #965753 $3 0.000% 31414GMA4 US31414GMA49FNMA 15YR 6.00% 2/22 #909381 $3 0.000% 31411JJ23GNMA 7.00% 2/32 #576229 $3 0.000% 36200YEA1GNMA 6.00% 11/39 #722807 $3 0.000% 3620A9AG6GNMA 7.50% 8/27 #423082 $3 0.000% 36206V6T9GNMA 7.00% 7/28 #481133 $3 0.000% 36209TPS2 US36209TPS23FNMA 7.00% 5/24 #284385 $3 0.000% 31372V2S4FNMA 15YR 5.00% 6/23 #984809 $3 0.000% 31415PAJ7GNMA 7.50% 9/28 #484261 $3 0.000% 36209W5W8GNMA 7.50% 4/27 #432988 $3 0.000% 36207H6Z5GNMA 7.00% 9/31 #468613 $3 0.000% 36209DSA3 US36209DSA36


500 Salem Street


158

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 4/32 #582099 $3 0.000% 36201FUY1FNMA 7.50% 12/29 #252981 $3 0.000% 31371H6S2 US31371H6S22GNMA 7.00% 3/32 #582054 $3 0.000% 36201FTK3FNMA 20YR 6.50% 4/27 #928257 $3 0.000% 31412LJA9 US31412LJA98FNMA 7.50% 12/30 #563583 $3 0.000% 31386HCU3GNMA 7.00% 2/32 #471314 $3 0.000% 36209GSB4GNMA 7.00% 4/31 #560191 $3 0.000% 36213PKC4GNMA 8.00% 12/27 #387403 $3 0.000% 36205DKQ0GNMA 7.50% 10/27 #452535 $3 0.000% 36208JV41GNMA 7.00% 1/28 #455486 $3 0.000% 36208M6X8FNMA ARM 3.984% 5/33 #703915 $3 0.000% 31401CAQ6 US31401CAQ69FNMA 7.00% 2/28 #331338 $3 0.000% 31375DBF9 US31375DBF96FNMA 6.50% 7/35 #255816 $3 0.000% 31371MDV6FNMA 20YR 6.50% 3/27 #928256 $3 0.000% 31412LH94 US31412LH945GNMA 7.00% 6/31 #560426 $3 0.000% 36213PSP7FNMA 7.50% 4/28 #251615 $3 0.000% 31371GN89 US31371GN891FNMA 6.00% 11/35 #255934 $3 0.000% 31371MHK6 US31371MHK62GNMA 7.00% 4/29 #499474 $3 0.000% 36210Q2F8FHLG 30YR 5% 07/01/2035# $3 0.000% 31297RXG7 US31297RXG72FNMA 7.00% 7/26 #256384 $3 0.000% 31371MXM4 US31371MXM45GNMA 6.50% 7/35 #635384 $3 0.000% 36291Q2R4FNMA 7.50% 2/27 #356391 $3 0.000% 31376H2Y8FNMA 7.50% 6/28 #431101 $3 0.000% 31379V3J6FNMA 7.00% 1/28 #549726 $3 0.000% 31385QVT6GNMA 7.00% 6/31 #538864 $3 0.000% 36212NTV9 US36212NTV90FHLG 30YR 6% 07/01/2029# $3 0.000% 31292G4T0 US31292G4T07GNMA 7.00% 12/28 #490977 $3 0.000% 36210FM29 US36210FM296GNMA 7.00% 5/31 #520104 $3 0.000% 36211QX97 US36211QX975FNMA 7.50% 1/28 #409487 $3 0.000% 31378U2U5GNMA 5.00% 11/33 #623639 $3 0.000% 36291BZC4 US36291BZC44FNMA 4.00% 7/39 #AA9611 $3 0.000% 31416TVD8 US31416TVD89FNMA 30YR 7.5% 06/01/2027#250951 $3 0.000% 31371FWL2FNMA 7.50% 9/27 #396096 $3 0.000% 31378D7H7GNMA 7.00% 6/32 #582151 $3 0.000% 36201FWL7FNMA 15YR 6.50% 8/22 #936886 $3 0.000% 31412WJ72 US31412WJ724FNMA 6.50% 7/26 #831587 $3 0.000% 31407H2U9 US31407H2U99GNMA 7.00% 5/32 #563578 $3 0.000% 36213TCP6 US36213TCP66GNMA 7.50% 3/31 #489936 $3 0.000% 36210EHM4GNMA 7.00% 6/30 #503169 $3 0.000% 36210U6E8


500 Salem Street


159

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 7/27 #450582 $3 0.000% 36208GRB6FNMA 7.00% 11/29 #524115 $3 0.000% 31384HGY3GNMA 8.50% 11/29 #500163 $3 0.000% 36210RTU4GNMA 4.00% 5/41 #757612 $3 0.000% 36230SN59GNMA 7.00% 7/28 #475908 $3 0.000% 36209MU93 US36209MU933FNMA 6.50% 9/35 #255951 $3 0.000% 31371MH42FHLG 30YR 7.5% 07/01/2026# $3 0.000% 31335GN43 US31335GN433GNMA 7.00% 9/28 #458926 $3 0.000% 36208RYX6FNMA 6.00% 9/35 #830810 $3 0.000% 31407HAK2FNMA 7.00% 11/27 #392407 $3 0.000% 31377Z3Q3 US31377Z3Q34FNMA 7.00% 8/29 #511373 $3 0.000% 31383SCJ7GNMA 4.50% 3/41 #762832 $3 0.000% 36176DHH9 US36176DHH98FNMA 7.50% 11/27 #251298 $3 0.000% 31371GDB3 US31371GDB32FNMA 7.00% 6/30 #546336 $3 0.000% 31385J4V7 US31385J4V74GNMA 7.00% 6/28 #469552 $3 0.000% 36209ETH5GNMA 7.00% 5/28 #471508 $3 0.000% 36209GYD3FNMA 30YR 3.5% 01/01/2047#BE6673 $3 0.000% 3140FSMX8 US3140FSMX86GNMA 7.50% 9/27 #450596 $3 0.000% 36208GRR1FNMA 7.50% 1/28 #251410 $3 0.000% 31371GGT1 US31371GGT13FNMA 7.50% 6/26 #349356 $3 0.000% 31376ABZ0 US31376ABZ03GNMA 7.00% 4/32 #587924 $3 0.000% 36201ND56GNMA 7.00% 1/31 #529791 $2 0.000% 36212CRL7GNMA 7.00% 6/31 #529408 $2 0.000% 36212CDM0FNMA 4.50% 2/41 #AH3127 $2 0.000% 3138A4PM1 US3138A4PM11GNMA 7.50% 6/27 #413298 $2 0.000% 36206KDB4GNMA 7.00% 3/29 #502272 $2 0.000% 36210T6H4GNMA 7.00% 2/28 #469132 $2 0.000% 36209EED0GNMA 6.50% 10/34 #629132 $2 0.000% 36291H4R2Fannie Mae planned amortization class Series1992-168 Class KB, 7% 10/25/22 $2 0.000% 31358Q2R5 US31358Q2R58GNMA 7.50% 9/23 #361832 $2 0.000% 36203W4R6GNMA 7.00% 3/28 #464920 $2 0.000% 36208YPD5FHLG 6.50% 7/32 #G01433 $2 0.000% 31283HSW6 US31283HSW69 B79THR2FNMA 7.50% 2/26 #331387 $2 0.000% 31375DCY7FHLG 30YR 6% 05/01/2029# $2 0.000% 31293PXU4 US31293PXU47FHLG 30YR 6% 04/01/2029# $2 0.000% 31293NPA2 US31293NPA27GNMA 8.00% 12/23 #780657 $2 0.000% 36225AWS5 US36225AWS58GNMA 7.00% 6/29 #513681 $2 0.000% 36211HUE9GNMA 7.50% 8/28 #466883 $2 0.000% 36209BUG1


500 Salem Street


160

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 6/28 #447984 $2 0.000% 36208DUH6FNMA 7.50% 11/27 #401093 $2 0.000% 31378KRN6GNMA 7.00% 1/28 #462883 $2 0.000% 36208WFY4GNMA 7.50% 7/27 #452930 $2 0.000% 36208KEB1 US36208KEB17FNMA 7.00% 12/31 #614978 $2 0.000% 31388UFT2GNMA 7.50% 9/28 #468222 $2 0.000% 36209DD35GNMA 7.00% 2/28 #458387 $2 0.000% 36208RF41GNMA 7.00% 5/31 #424092 $2 0.000% 36206XC50GNMA 7.50% 8/27 #452321 $2 0.000% 36208JPE6FHLG 30YR 8% 11/01/2031# $2 0.000% 31287LNP3 US31287LNP30FNMA 7.50% 4/26 #313275 $2 0.000% 31374F6L8GNMA 4.50% 2/40 #724597 $2 0.000% 3620AA7J1 US3620AA7J18GNMA 7.50% 5/22 #322043 $2 0.000% 36223YWC0FNMA 7.00% 8/29 #504229 $2 0.000% 31383JEA4GNMA 7.00% 4/28 #462669 $2 0.000% 36208V6E0 US36208V6E02GNMA 7.50% 5/24 #390428 $2 0.000% 36205GVV0FNMA 6.00% 2/37 #889116 $2 0.000% 31410GYM9 US31410GYM94FHLG 15YR 6.00% 12/21 #E02241 $2 0.000% 31294LP23 US31294LP239GNMA 7.00% 8/32 #579720 $2 0.000% 36201DAV4GNMA 7.00% 4/29 #462175 $2 0.000% 36208VMY8GNMA 7.50% 7/27 #441655 $2 0.000% 36207TTL5GNMA 8.00% 12/27 #452821 $2 0.000% 36208KAW9 US36208KAW99GNMA 6.00% 11/37 #678760 $2 0.000% 36295SB54GNMA 7.00% 7/32 #565982 $2 0.000% 36213VXK9GNMA 7.00% 9/31 #549588 $2 0.000% 36213BRH7FNMA 7.50% 3/28 #417218 $2 0.000% 31379EPB7GNMA 7.00% 7/28 #467858 $2 0.000% 36209CWT9FNMA 6.50% 4/37 #916708 $2 0.000% 31411WNZ6GNMA 7.50% 11/25 #391630 $2 0.000% 36205JA70GNMA 7.00% 8/31 #556227 $2 0.000% 36213J4L6GNMA 7.00% 8/32 #582029 $2 0.000% 36201FSS7FNMA 6.50% 2/36 #745575 $2 0.000% 31403DJU4 US31403DJU46GNMA 7.00% 5/28 #460355 $2 0.000% 36208TMC1GNMA 7.00% 3/32 #573657 $2 0.000% 36200VJA2GNMA 7.00% 10/31 #485866 $2 0.000% 36209YW38 US36209YW389FNMA 30YR 6.0% 11/01/2038#991909 $2 0.000% 31415W3S0 US31415W3S03GNMA 7.00% 5/29 #502341 $2 0.000% 36210UBJ1GNMA 7.00% 4/31 #528852 $2 0.000% 36212BQD8GNMA 7.00% 3/31 #530585 $2 0.000% 36212DNA3


500 Salem Street


161

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 10/31 #555999 $2 0.000% 36213JUY9FNMA 6.50% 1/36 #850408 $2 0.000% 31408FYD5FNMA 7.00% 8/25 #319563 $2 0.000% 31374N5Y4GNMA 7.50% 10/27 #444009 $2 0.000% 36207WGS7GNMA 7.00% 7/29 #459211 $2 0.000% 36208SDQ2GNMA 7.00% 4/28 #433685 $2 0.000% 36207JXN8GNMA 7.00% 7/29 #422973 $2 0.000% 36206V2E6FNMA 30YR 4% 11/01/2040#AE6348 $2 0.000% 31419HBS0 US31419HBS04GNMA 7.00% 12/30 #532641 $2 0.000% 36212FWA8FNMA 7.50% 7/27 #190284 $2 0.000% 31368HJ53FNMA 7.50% 9/29 #514348 $2 0.000% 31383VL50GNMA 7.00% 9/30 #493516 $2 0.000% 36210JGZ5FNMA 6.00% 11/35 #844435 $2 0.000% 31407YEG0 US31407YEG08GNMA 7.00% 8/31 #567102 $2 0.000% 36213XAB0GNMA 8.00% 1/28 #459649 $2 0.000% 36208STE2GNMA 7.50% 10/27 #458395 $2 0.000% 36208RGC2GNMA 7.00% 12/28 #780931 $2 0.000% 36225BA81 US36225BA819FNMA 30YR 6.0% 05/01/2036#880939 $2 0.000% 31409WV81 US31409WV816FHLG 4.50% 9/39 #A90185 $2 0.000% 312938F24 US312938F240FNMA 6.00% 10/35 #836456 $2 0.000% 31407PH92FNMA 6.00% 9/35 #838762 $2 0.000% 31407RZ31FNMA 7.00% 2/30 #531078 $2 0.000% 31384Q6P3FNMA 30YR 4.5% 04/01/2039#930922 $2 0.000% 31412PG70 US31412PG708FNMA 6.50% 1/36 #850633 $2 0.000% 31408GBA4GNMA 7.00% 5/32 #587974 $2 0.000% 36201NFP0GNMA 7.00% 8/32 #781605 $2 0.000% 36225BYA0 US36225BYA06FNMA 7.50% 2/31 #570320 $2 0.000% 31386QSH5 US31386QSH55GNMA 8.00% 8/25 #395849 $2 0.000% 36205NWJ1FNMA 7.00% 12/24 #436781 $2 0.000% 31380DFW1 US31380DFW11FNMA 7.00% 12/24 #313987 $2 0.000% 31374GXQ5GNMA 7.00% 8/31 #565049 $2 0.000% 36213UWJ5 US36213UWJ59GNMA 7.00% 4/32 #581788 $2 0.000% 36201FJ99FNMA 7.00% 9/28 #443819 $2 0.000% 31380MAU0GNMA 7.50% 12/23 #780863 $2 0.000% 36225A5Y2 US36225A5Y23FNMA 7.50% 9/29 #499386 $2 0.000% 31383CXP5 US31383CXP57GNMA 30YR 4.5% 07/15/2040#745191 $2 0.000% 3620C02Y3 US3620C02Y34FHLG 30YR 5% 07/01/2035# $2 0.000% 31297R6J1 US31297R6J11FNMA 7.00% 5/32 #646414 $2 0.000% 31390HDT9GNMA 7.00% 12/27 #443834 $2 0.000% 36207WBB9


500 Salem Street


162

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 7/27 #444468 $2 0.000% 36207WW59GNMA 7.00% 11/31 #554210 $2 0.000% 36213GVB4 US36213GVB49GNMA 7.00% 1/28 #449499 $2 0.000% 36208FKL3FNMA 6.00% 9/35 #833016 $2 0.000% 31407KN96 US31407KN960GNMA 7.00% 3/32 #581935 $2 0.000% 36201FPU5GNMA 7.00% 8/29 #477009 $2 0.000% 36209N3S9FNMA 7.00% 11/25 #313063 $2 0.000% 31374FWY1GNMA 7.50% 8/27 #446830 $2 0.000% 36208CLK1 US36208CLK17GNMA 7.00% 7/31 #520056 $2 0.000% 36211QWR8GNMA 7.00% 7/32 #593188 $2 0.000% 36201T6Z5 US36201T6Z55GNMA 7.50% 11/25 #416022 $2 0.000% 36206ND36FHLG 7.50% 4/28 #G00982 $2 0.000% 31283HCT0 US31283HCT05GNMA 7.00% 11/28 #487335 $2 0.000% 36210BLQ6GNMA 7.00% 12/28 #476127 $2 0.000% 36209M4L5GNMA 7.00% 7/32 #553440 $2 0.000% 36213FZD8GNMA 7.50% 9/27 #456279 $2 0.000% 36208N2L6FNMA 7.50% 7/29 #323819 $2 0.000% 31374TVL0 US31374TVL06GNMA 7.50% 12/23 #369175 $2 0.000% 36204GCL4FNMA 7.00% 1/28 #313947 $2 0.000% 31374GWG8 US31374GWG80GNMA 7.50% 1/28 #427211 $2 0.000% 36207BR85GNMA 7.00% 12/27 #457336 $2 0.000% 36208QBD7GNMA 7.00% 6/28 #462816 $2 0.000% 36208WDV2 US36208WDV28FNMA 7.00% 6/26 #342531 $2 0.000% 31375RPQ9GNMA 7.00% 2/28 #438403 $2 0.000% 36207QAC1GNMA 7.00% 1/28 #458374 $2 0.000% 36208RFP4GNMA 7.00% 1/29 #489711 $2 0.000% 36210EAL3GNMA 7.50% 7/27 #447756 $2 0.000% 36208DMD4GNMA 7.00% 6/32 #534007 $2 0.000% 36212HGQ7 US36212HGQ74FNMA 7.00% 8/28 #437762 $2 0.000% 31380EJF2FNMA 7.00% 5/26 #303890 $2 0.000% 31373URK5GNMA 7.00% 2/28 #436198 $2 0.000% 36207MRT5GNMA 7.00% 11/32 #781548 $2 0.000% 36225BWH7 US36225BWH76FHLG 30YR 7.5% 01/01/2027# $2 0.000% 3128FKRC1 US3128FKRC15GNMA 7.00% 6/28 #443711 $2 0.000% 36207V3U8GNMA 7.00% 5/31 #552012 $2 0.000% 36213EGV2GNMA 8.00% 10/25 #409616 $2 0.000% 36206FAR3FNMA 30YR 4% 12/01/2040#AH0530 $2 0.000% 3138A1SU6 US3138A1SU60GNMA 7.50% 1/30 #479069 $2 0.000% 36209RFJ7GNMA 7.50% 9/27 #453330 $2 0.000% 36208KST7


500 Salem Street


163

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 6.00% 10/35 #836839 $2 0.000% 31407PV88 US31407PV889GNMA 7.00% 3/28 #456151 $2 0.000% 36208NWL3GNMA 4.50% 5/41 #760147 $2 0.000% 36176AHY8FHLG 30YR 7.5% 05/01/2031# $2 0.000% 31298VSX6 US31298VSX63FNMA 7.00% 10/32 #555144 $2 0.000% 31385WWD7FNMA 30YR 6.0% 05/01/2038#983876 $2 0.000% 31415L6M4 US31415L6M41FNMA 7.00% 4/32 #643105 $2 0.000% 31390DNW0FNMA 7.00% 9/26 #313264 $2 0.000% 31374F5Z8GNMA 7.00% 2/32 #581860 $2 0.000% 36201FMH7GNMA 7.50% 9/22 #329940 $2 0.000% 36224JPZ9FNMA 7.00% 4/32 #631463 $2 0.000% 31389PQQ6FNMA 7.50% 10/29 #252806 $2 0.000% 31371HYB8 US31371HYB85FNMA 7.00% 9/25 #250345 $2 0.000% 31371FBN1 US31371FBN15FNMA 7.50% 12/27 #404917 $2 0.000% 31378PYN7GNMA 7.00% 4/32 #584369 $2 0.000% 36201JFJ3 US36201JFJ34GNMA 7.00% 6/28 #450349 $2 0.000% 36208GH27GNMA 6.00% 11/39 #722797 $2 0.000% 3620A87J6GNMA 7.50% 7/27 #451900 $2 0.000% 36208H7M2 US36208H7M26 2138040GNMA 7.00% 8/25 #415425 $2 0.000% 36206MPJ0GNMA 7.00% 3/31 #474767 $2 0.000% 36209LMQ6 US36209LMQ67GNMA 7.00% 3/33 #600148 $1 0.000% 36200FWH7 US36200FWH71FNMA 6.00% 7/35 #834769 $1 0.000% 31407MMS1GNMA 7.00% 7/32 #553437 $1 0.000% 36213FZA4FNMA 7.00% 8/25 #250329 $1 0.000% 31371FA69 US31371FA692FHLG 30YR 6% 03/01/2029# $1 0.000% 31293L6C3 US31293L6C36GNMA 7.50% 12/27 #423188 $1 0.000% 36206WCZ6GNII II 6.5% 1/32 #003188 $1 0.000% 36202DRH6 US36202DRH60FNMA ARM 4.513% 12/34 #802695 $1 0.000% 31405XXY4 US31405XXY48GNMA 7.00% 6/32 #569840 $1 0.000% 36200RBH4 US36200RBH49FNMA 7.50% 2/27 #371593 $1 0.000% 31377AXW2FNMA 7.00% 3/32 #639703 $1 0.000% 31389YU41 US31389YU412GNMA 7.00% 4/28 #458877 $1 0.000% 36208RXE9FHLG 30YR 7.5% 11/01/2031# $1 0.000% 31298YTZ4 US31298YTZ42GNMA 7.00% 6/28 #466842 $1 0.000% 36209BS74 US36209BS740FNMA 7.50% 1/28 #413578 $1 0.000% 31379AM36 US31379AM360FNMA 7.00% 2/32 #545513 $1 0.000% 31385JAN8GNMA 7.50% 12/22 #339413 $1 0.000% 36224VAN5GNMA 7.00% 4/32 #533932 $1 0.000% 36212HED8FNMA 7.00% 4/31 #575585 $1 0.000% 31386WNA2


500 Salem Street


164

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 1/29 #486804 $1 0.000% 36210AX93GNMA 7.00% 1/28 #427209 $1 0.000% 36207BR69GNMA 7.50% 12/27 #455904 $1 0.000% 36208NNV1GNMA 7.00% 10/30 #493519 $1 0.000% 36210JG44 US36210JG449GNMA 7.50% 6/24 #389975 $1 0.000% 36205GFQ9GNMA 7.00% 10/26 #442063 $1 0.000% 36207UB80FNMA 7.00% 5/26 #303884 $1 0.000% 31373URD1 US31373URD18FNMA 7.50% 8/29 #511255 $1 0.000% 31383R5Q1 US31383R5Q11GNMA 7.50% 3/28 #465985 $1 0.000% 36209AUJ7GNMA 7.00% 2/28 #458859 $1 0.000% 36208RWU4FNMA 7.00% 1/29 #323500 $1 0.000% 31374TKM0 US31374TKM08GNMA 7.00% 2/30 #477030 $1 0.000% 36209N4P4 US36209N4P48GNMA 7.00% 2/28 #433616 $1 0.000% 36207JVH3GNMA 7.50% 7/26 #426127 $1 0.000% 36207ALG5GNMA 7.00% 6/32 #552620 $1 0.000% 36213E4D5 US36213E4D50FNMA 7.50% 8/29 #509683 $1 0.000% 31383QFY5 US31383QFY52FNMA 7.00% 7/32 #648019 $1 0.000% 31390J4C2GNMA 7.00% 5/32 #569780 $1 0.000% 36200Q6R0 US36200Q6R04GNMA 7.50% 6/28 #475419 $1 0.000% 36209MDY7FNMA 7.00% 9/31 #254058 $1 0.000% 31371KE72GNMA 7.00% 3/32 #538328 $1 0.000% 36212NA56 US36212NA564FNMA 7.00% 11/23 #246330 $1 0.000% 31371AST1GNMA 7.00% 7/31 #560462 $1 0.000% 36213PTT8GNMA 7.50% 9/27 #448957 $1 0.000% 36208EWS8GNMA 8.00% 12/27 #435445 $1 0.000% 36207LWE4GNMA 7.50% 11/25 #406771 $1 0.000% 36206B2C4GNMA 7.00% 2/32 #581664 $1 0.000% 36201FFD4 US36201FFD42GNMA 7.00% 11/31 #567305 $1 0.000% 36213XGN8 US36213XGN84FNMA 7.00% 11/27 #251286 $1 0.000% 31371GCX6GNMA 7.00% 3/28 #444774 $1 0.000% 36207XCK6GNMA 7.00% 1/29 #495896 $1 0.000% 36210L3D3GNMA 7.00% 3/28 #467726 $1 0.000% 36209CSP2 US36209CSP22GNMA 7.50% 12/27 #460654 $1 0.000% 36208TWP1FHLG 30YR 5% 07/01/2035# $1 0.000% 31297R6H5 US31297R6H54FNMA 6.00% 8/35 #255815 $1 0.000% 31371MDU8FNMA 7.00% 3/24 #050994 $1 0.000% 313615UT1GNMA 7.00% 8/31 #545170 $1 0.000% 36212VT33FNMA 7.50% 10/27 #397256 $1 0.000% 31378FH99GNMA 7.00% 6/28 #466882 $1 0.000% 36209BUF3


500 Salem Street


165

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLM ARM 4.889% 3/33 #847126 $1 0.000% 3128HD4K2 US3128HD4K29FNMA 7.50% 6/30 #538847 $1 0.000% 31385ATC1 US31385ATC17GNMA 7.50% 1/26 #425073 $1 0.000% 36206YFN6GNMA 7.50% 8/28 #480476 $1 0.000% 36209SXD8GNMA 7.50% 1/31 #781247 $1 0.000% 36225BL48GNMA 7.00% 1/28 #449219 $1 0.000% 36208FAU4FHLG 30YR 7.5% 06/01/2027# $1 0.000% 31283GZC4 US31283GZC40FNMA 7.50% 1/28 #402895 $1 0.000% 31378MRQ5 US31378MRQ59FHLG 15YR 6.00% 1/23 #J06714 $1 0.000% 3128PJN78 US3128PJN789GNMA 7.00% 5/28 #473923 $1 0.000% 36209KPG7FHLG 6.00% 11/29 #C46106 $1 0.000% 31298EYB5 US31298EYB54GNMA 7.50% 8/27 #455273 $1 0.000% 36208MXA8FNMA 7.00% 2/28 #416823 $1 0.000% 31379EAY3GNMA 6.50% 8/34 #629115 $1 0.000% 36291H3Y8FNMA 7.00% 10/29 #252805 $1 0.000% 31371HYA0 US31371HYA03FHLG 30YR 5% 07/01/2035# $1 0.000% 31297RYP6 US31297RYP62GNMA 5.50% 3/34 #607116 $1 0.000% 36201YN93GNMA 7.50% 5/24 #386199 $1 0.000% 36205B7L0GNMA 7.00% 3/32 #576466 $1 0.000% 36200YMP9GNMA 7.00% 4/30 #515361 $1 0.000% 36211KQN7GNMA 5.50% 7/38 #782360 $1 0.000% 36241KTR9GNMA 7.50% 8/26 #430778 $1 0.000% 36207FQ79FNMA 7.00% 8/28 #437140 $1 0.000% 31380DS56GNMA 7.00% 3/28 #465988 $1 0.000% 36209AUM0FNMA 7.00% 3/29 #323657 $1 0.000% 31374TQJ1FNMA 7.50% 9/29 #514305 $1 0.000% 31383VKS1GNMA 7.00% 3/29 #487575 $1 0.000% 36210BT88GNMA 7.00% 7/28 #463983 $1 0.000% 36208XM81GNMA 5.00% 12/32 #552938 $1 0.000% 36213FHP1GNMA 7.00% 8/29 #488260 $1 0.000% 36210CMH3GNMA 7.50% 4/27 #424845 $1 0.000% 36206X5E9GNMA 7.50% 7/27 #445661 $1 0.000% 36207YB66FNMA 7.50% 9/27 #398926 $1 0.000% 31378HD73GNMA 7.00% 9/31 #555867 $1 0.000% 36213JQU2 US36213JQU24GNMA 7.50% 12/27 #436026 $1 0.000% 36207MLF1FHLG 6.00% 7/29 #C29204 $1 0.000% 31293TGM3 US31293TGM36FNMA 7.50% 2/28 #416207 $1 0.000% 31379DKU2GNMA 7.00% 5/32 #584361 $1 0.000% 36201JFA2GNMA 5.50% 4/34 #605189 $1 0.000% 36200NKA8 US36200NKA80


500 Salem Street


166

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 6% 03/01/2029# $1 0.000% 31293LSQ8 US31293LSQ85GNMA 7.50% 7/24 #401072 $1 0.000% 36205UQZ6FNMA 7.50% 7/27 #394197 $1 0.000% 31378B3E2GNMA 7.00% 7/28 #449952 $1 0.000% 36208FZR4GNMA 7.50% 11/25 #396837 $1 0.000% 36205PZA2GNMA 7.00% 5/32 #781584 $1 0.000% 36225BXM5 US36225BXM52FNMA 7.00% 12/25 #250510 $1 0.000% 31371FGT3FNMA 7.50% 12/27 #405830 $1 0.000% 31378QY39FNMA 7.00% 11/28 #572167 $1 0.000% 31386STY3FNMA 7.50% 2/28 #411846 $1 0.000% 31378XP75FNMA 7.50% 9/26 #358466 $1 0.000% 31376LFF6GNMA 7.50% 11/25 #404665 $1 0.000% 36205YQS4FHLG 6.00% 6/29 #C28186 $1 0.000% 31293SCX5 US31293SCX53GNMA 7.50% 6/29 #508278 $1 0.000% 36211BUB8FNMA 7.00% 5/29 #323704 $1 0.000% 31374TRZ4FHLG 30YR 4.5% 08/01/2035#G01853 $1 0.000% 3128LXBW9 US3128LXBW99FNMA 7.00% 7/31 #596248 $1 0.000% 31387WL54 US31387WL542FNMA 7.50% 11/27 #398101 $1 0.000% 31378GGJ6GNMA 7.50% 6/27 #353706 $1 0.000% 36203M3P3 US36203M3P36GNMA 5.50% 5/34 #626541 $1 0.000% 36291FBJ6GNMA 7.00% 6/28 #473582 $1 0.000% 36209KCT3GNMA 7.50% 9/25 #245463 $1 0.000% 36219CTU8 US36219CTU89GNII II 6.5% 8/31 #003120 $1 0.000% 36202DPD7 US36202DPD74GNMA 7.50% 5/27 #447102 $1 0.000% 36208CU39GNMA 7.50% 9/25 #420228 $1 0.000% 36206SYZ1FNMA 7.50% 2/28 #415610 $1 0.000% 31379CVB4FNMA 7.50% 1/28 #414333 $1 0.000% 31379BHJ5FNMA 7.00% 10/29 #323968 $1 0.000% 31374TZ93FNMA 7.00% 3/26 #335002 $1 0.000% 31375HDF8GNMA 7.00% 2/32 #551697 $1 0.000% 36213D3E6 US36213D3E60GNMA 7.50% 12/27 #461139 $1 0.000% 36208UHQ3GNMA 7.50% 9/27 #449982 $1 0.000% 36208F2P4FHLG 30YR 6% 07/01/2029# $1 0.000% 31293TGY7 US31293TGY73GNMA 7.50% 8/27 #443220 $1 0.000% 36207VK96FNMA 6.50% 3/27 #256708 $1 0.000% 31371NDM4 US31371NDM48FNMA 7.00% 11/28 #755971 $1 0.000% 31403R2C1 US31403R2C16GNMA 7.00% 4/32 #562581 $1 0.000% 36213R6S1GNMA 7.00% 10/29 #488767 $1 0.000% 36210C6C2GNMA 7.50% 7/27 #446434 $1 0.000% 36207Y4T4 US36207Y4T45


500 Salem Street


167

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 11/25 #412134 $1 0.000% 36206HY77GNMA 5.50% 5/34 #628119 $1 0.000% 36291GYQ3FNMA 30YR 6.0% 08/01/2038#929854 $1 0.000% 31412NBX3 US31412NBX30GNMA 7.00% 8/32 #583152 $1 0.000% 36201GZR9GNMA 7.50% 8/28 #464767 $1 0.000% 36208YJL4GNMA 7.00% 10/28 #485009 $1 0.000% 36209XYE4FNMA 6.00% 7/36 #897984 $1 0.000% 31410UUH3 US31410UUH30GNMA 7.50% 7/27 #431989 $1 0.000% 36207G2W8 US36207G2W80 2145307GNMA 7.00% 5/32 #584359 $1 0.000% 36201JE88GNMA 5.50% 11/33 #616068 $1 0.000% 36290SMR9FNMA 7.00% 10/32 #646799 $1 0.000% 31390HRU1GNII II 6.5% 7/31 #003107 $1 0.000% 36202DNY3 US36202DNY30GNMA 7.00% 5/31 #560279 $1 0.000% 36213PM40FNMA 7.00% 2/26 #331672 $1 0.000% 31375DMV2FNMA 7.00% 4/29 #572495 $1 0.000% 31386S7G6 US31386S7G61GNII II 6.5% 4/31 #003068 $1 0.000% 36202DMR9 US36202DMR97GNMA 8.00% 7/27 #451326 $1 0.000% 36208HLF1 US36208HLF19FNMA 7.00% 7/32 #545813 $1 0.000% 31385JK23 US31385JK230FNMA 7.50% 9/25 #318815 $1 0.000% 31374NDU3FNMA 7.00% 9/31 #597037 $1 0.000% 31387XHN8GNMA 7.50% 6/24 #365072 $1 0.000% 36204BQZ9GNMA 5.50% 1/34 #609542 $1 0.000% 36202UEP4 US36202UEP49GNMA 7.00% 4/32 #781469 $1 0.000% 36225BT24 US36225BT249 2032818FNMA 7.50% 8/28 #251975 $1 0.000% 31371G2G4 US31371G2G48GNMA 7.50% 10/27 #455324 $1 0.000% 36208MYV1FNMA 30YR 4.5% 05/01/2034#781041 $1 0.000% 31404WWA0 US31404WWA07GNMA 8.00% 7/25 #780195 $1 0.000% 36225AGC8 US36225AGC80FHLG 30YR 5% 10/01/2033# $1 0.000% 31292HZM9 US31292HZM95 B12XXL5GNMA 7.00% 2/30 #515336 $1 0.000% 36211KPV0FNMA 7.50% 12/27 #405312 $1 0.000% 31378QGV7GNMA 7.50% 6/27 #441653 $1 0.000% 36207TTJ0GNMA 7.00% 4/32 #583573 $1 0.000% 36201HJS3FHLG 30YR 6% 01/01/2029# $1 0.000% 31293HR88 US31293HR888GNMA 7.00% 4/28 #454037 $1 0.000% 36208LLS4GNMA 7.00% 2/28 #452761 $1 0.000% 36208J5W8FHLG 30YR 5% 09/01/2033# $1 0.000% 31296MKP3 US31296MKP31GNMA 5.50% 7/37 #671315 $1 0.000% 36295HYL8 US36295HYL85FNMA 7.00% 6/32 #639393 $1 0.000% 31389YKE0FNMA 7.50% 11/27 #404440 $1 0.000% 31378PHR7


500 Salem Street


168

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 7.00% 3/26 #250495 $1 0.000% 31371FGC0 US31371FGC05GNMA 7.50% 8/23 #351159 $1 0.000% 36203KB45 US36203KB450FHLG 7.50% 8/26 #G00529 $1 0.000% 31283GSS7 US31283GSS74FNMA 6.00% 8/35 #837316 $1 0.000% 31407QGZ3GNMA 5.00% 6/33 #614479 $1 0.000% 36290QUC7GNMA 6.50% 9/35 #638082 $1 0.000% 36291T2P2GNMA 7.00% 8/31 #551116 $1 0.000% 36213DGZ5 US36213DGZ50GNMA 7.50% 11/25 #419275 $1 0.000% 36206RXC5FNMA 7.00% 11/26 #572166 $1 0.000% 31386STX5GNMA 7.50% 11/22 #206073 $1 0.000% 36217W2E1GNMA 7.50% 10/27 #353919 $1 0.000% 36203NDY1 US36203NDY13GNMA 7.50% 1/26 #411561 $1 0.000% 36206HFA1GNMA 7.00% 5/32 #552578 $1 0.000% 36213E2K1 US36213E2K12GNMA 7.00% 3/28 #454375 $1 0.000% 36208LXC6GNMA 7.50% 8/27 #353768 $1 0.000% 36203M6D7GNMA 7.00% 11/28 #477527 $1 0.000% 36209PPL5GNMA 7.50% 7/23 #344038 $1 0.000% 36203BEK6FNMA 7.50% 1/28 #412598 $1 0.000% 31378YKK9FNMA 7.00% 10/31 #604935 $1 0.000% 31388HBC2FNMA 7.00% 9/31 #604620 $1 0.000% 31388GVM0FHLG 30YR 6% 02/01/2029# $1 0.000% 31293JRN1 US31293JRN18FHLG 30YR 8.5% 12/01/2022# $1 0.000% 3139644Z8 US3139644Z85GNMA 7.00% 1/28 #466901 $1 0.000% 36209BU22GNMA 7.50% 9/27 #426490 $1 0.000% 36207AXT4FHLG 15YR 6.50% 12/21 #G12483 $1 0.000% 3128M1UG2 US3128M1UG29FNMA 7.00% 9/25 #319213 $1 0.000% 31374NSA1FHLG 30YR 8% 10/01/2030# $1 0.000% 31298CD48 US31298CD482FHLG 30YR 6% 07/01/2029# $1 0.000% 31293S6T1 US31293S6T16GNMA 7.00% 1/30 #781130 $1 0.000% 36225BHF8 US36225BHF85FNMA 7.00% 11/28 #527248 $1 0.000% 31384LWH3GNMA 7.00% 1/28 #443837 $1 0.000% 36207WBE3FHLG 30YR 7.5% 09/01/2030# $1 0.000% 31298APJ6 US31298APJ69GNMA 7.50% 6/27 #353501 $1 0.000% 36203MU24GNMA 7.50% 11/25 #415760 $1 0.000% 36206MZZ3GNMA 7.00% 8/29 #781272 $1 0.000% 36225BMV7 US36225BMV70FNMA 7.00% 8/29 #479545 $1 0.000% 31382DWE0FNMA 7.00% 3/32 #634294 $1 0.000% 31389SUT9FNMA 6.50% 1/26 #401130 $1 0.000% 31378KST2FNMA 7.00% 5/32 #647513 $1 0.000% 31390JK26


500 Salem Street


169

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNII II 6.50% 6/31 #003095 $1 0.000% 36202DNL1 US36202DNL19GNMA 7.50% 11/27 #445540 $1 0.000% 36207X4Z2GNMA 7.00% 5/30 #526311 $1 0.000% 36211XVC7GNMA 7.00% 8/32 #589476 $1 0.000% 36201P2H7GNMA 7.00% 3/26 #429349 $1 0.000% 36207D5J1 US36207D5J16FNMA 7.00% 8/25 #307059 $1 0.000% 31373YB40GNMA 7.00% 6/28 #477158 $1 0.000% 36209PB30GNMA 7.00% 4/28 #467737 $1 0.000% 36209CS23 US36209CS235GNMA 7.00% 2/28 #458805 $1 0.000% 36208RU69FNMA 7.50% 8/25 #319913 $1 0.000% 31374PK22GNMA 7.00% 7/28 #476119 $1 0.000% 36209M4C5GNMA 8.00% 12/27 #436032 $1 0.000% 36207MLM6GNMA 7.00% 7/28 #464692 $1 0.000% 36208YF95GNMA 7.00% 8/31 #468593 $1 0.000% 36209DRN6GNMA 7.00% 3/29 #781006 $1 0.000% 36225BDK1 US36225BDK17FNMA 7.00% 5/26 #339193 $1 0.000% 31375MXW8GNMA 7.50% 10/27 #430267 $1 0.000% 36207E6C3 US36207E6C36GNMA 7.00% 1/28 #427235 $1 0.000% 36207BSY7 US36207BSY73FNMA 7.50% 5/27 #369318 $1 0.000% 31376YG34GNMA 7.50% 10/27 #449061 $1 0.000% 36208EZ22GNMA 7.50% 12/27 #462004 $1 0.000% 36208VGM1GNMA 7.50% 11/23 #368832 $1 0.000% 36204FVZ4FNMA 7.00% 10/27 #401771 $1 0.000% 31378LJQ6GNMA 7.50% 6/27 #436794 $1 0.000% 36207NGB4 US36207NGB47 2145437GNMA 8.00% 12/27 #436017 $1 0.000% 36207MK62 US36207MK623GNMA 7.50% 9/27 #374580 $1 0.000% 36204NCR6GNMA 8.00% 11/29 #500162 $1 0.000% 36210RTT7FNMA 7.00% 11/25 #329280 $1 0.000% 31375AXH7FNMA 7.00% 12/24 #303302 $1 0.000% 31373T3K4FNMA 4.00% 5/41 #AI0974 $1 0.000% 3138AECL5 US3138AECL53FNMA 7.50% 8/30 #549602 $1 0.000% 31385QRX2 US31385QRX24GNMA 7.50% 7/29 #481600 $1 0.000% 36209T7M5FHLG 30YR 6% 07/01/2029# $1 0.000% 31293TDU8 US31293TDU88 B02G4L4FNMA 7.00% 9/25 #324193 $1 0.000% 31374UC61FNMA 7.50% 12/29 #524241 $1 0.000% 31384HLW1GNMA 7.00% 7/29 #453080 $1 0.000% 36208KJZ3GNMA 8.00% 8/27 #780622 $1 0.000% 36225AVP2 US36225AVP29GNMA 7.00% 4/28 #780777 $1 0.000% 36225A2J8 US36225A2J82FNMA 7.00% 10/25 #250359 $1 0.000% 31371FB43 US31371FB435


500 Salem Street


170

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 12/30 #545022 $1 0.000% 36212VPF0GNMA 7.00% 3/31 #549552 $1 0.000% 36213BQD7GNMA 7.00% 3/29 #503025 $1 0.000% 36210UYW7 US36210UYW79GNMA 7.00% 2/32 #555696 $1 0.000% 36213JKH7FHLG 30YR 8.5% 08/01/2027# $1 0.000% 31283G6U6 US31283G6U68GNMA 7.50% 9/25 #416282 $1 0.000% 36206NM77FNMA 7.50% 8/27 #393409 $1 0.000% 31378BAJ3FNMA 7.00% 9/29 #535762 $1 0.000% 31384WFB1 US31384WFB19GNMA 7.00% 7/28 #468084 $1 0.000% 36209C6V3GNMA 8.00% 4/24 #400217 $1 0.000% 36205TSE4GNMA 7.00% 3/31 #544721 $1 0.000% 36212VD22GNMA 7.00% 5/32 #590306 $1 0.000% 36201QYB3 US36201QYB30GNMA 7.50% 9/22 #297620 $1 0.000% 362205SH0FNMA 7.00% 6/26 #250609 $1 0.000% 31371FKW1GNMA 7.50% 8/25 #780213 $1 0.000% 36225AGW4 US36225AGW45GNMA 7.00% 4/28 #433689 $1 0.000% 36207JXS7 US36207JXS76FNMA 7.00% 12/32 #254613 $1 0.000% 31371KYJ4FNMA 7.50% 7/25 #317259 $1 0.000% 31374LMG8FNMA 7.00% 4/23 #214992 $1 0.000% 31369MXV8GNMA 8.00% 6/25 #409861 $1 0.000% 36206FJE3GNMA 7.00% 12/27 #449782 $1 0.000% 36208FUF5 US36208FUF51GNMA 7.50% 4/23 #343197 $1 0.000% 36203AGE0GNMA 7.00% 3/29 #458547 $1 0.000% 36208RL44GNMA 7.00% 1/29 #495202 $1 0.000% 36210LDF7FNMA 7.50% 1/28 #420914 $1 0.000% 31379JSB3GNMA 7.50% 7/27 #452204 $1 0.000% 36208JKR2 US36208JKR22GNMA 7.50% 10/23 #352051 $1 0.000% 36203LBU5GNMA 7.00% 6/29 #513653 $1 0.000% 36211HTJ0GNMA 7.50% 7/24 #403195 $1 0.000% 36205W3C8 US36205W3C84FHLG 30YR 7.5% 11/01/2030# $1 0.000% 31298C2P3 US31298C2P33FNMA 7.00% 7/29 #492695 $1 0.000% 31382UKG0GNMA 7.50% 11/25 #418755 $1 0.000% 36206RE44GNMA 7.00% 2/30 #515311 $1 0.000% 36211KN42GNMA 7.00% 1/28 #433521 $1 0.000% 36207JSJ3FNMA 7.00% 4/23 #190215 $1 0.000% 31368HGY3GNMA 7.00% 6/28 #465748 $1 0.000% 36209AL57FHLG 30YR 8% 12/01/2026# $1 0.000% 31335GQF5 US31335GQF53GNMA 7.50% 6/27 #447236 $1 0.000% 36208CY92GNMA 7.50% 5/27 #432484 $1 0.000% 36207HM95


500 Salem Street


171

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 1/28 #433528 $1 0.000% 36207JSR5FNMA 7.00% 2/27 #250853 $1 0.000% 31371FTJ1GNMA 7.00% 6/32 #581406 $1 0.000% 36201E3P3FHLG 5.00% 7/34 #A24424 $1 0.000% 31297B4H2 US31297B4H27FNMA 7.00% 1/32 #625027 $1 0.000% 31389GLG3GNMA 7.50% 11/27 #423152 $1 0.000% 36206WBV6FNMA 6.00% 6/35 #823041 $1 0.000% 31406XLW0FNMA 7.00% 4/28 #418412 $1 0.000% 31379FYH1GNMA 7.00% 12/27 #425823 $1 0.000% 36207AAY8FNMA 7.50% 11/28 #453481 $1 0.000% 31380XXJ6GNMA 8.00% 8/27 #780618 $1 0.000% 36225AVK3FHLG 30YR 8% 07/01/2024# $1 0.000% 31292GL87 US31292GL877FNMA 7.50% 10/27 #401255 $1 0.000% 31378KWQ3GNMA 7.00% 3/29 #781031 $1 0.000% 36225BEC8GNMA 5.50% 2/37 #658285 $1 0.000% 36294SJ65 US36294SJ653FNMA 7.50% 5/28 #428795 $1 0.000% 31379TKG8FNMA 6.00% 6/35 #357831 $1 0.000% 31376KPQ3 US31376KPQ30GNMA 7.00% 6/28 #476062 $1 0.000% 36209MZ31FNMA 7.50% 8/29 #511366 $1 0.000% 31383SCB4 US31383SCB43FNMA 7.50% 3/28 #412685 $1 0.000% 31378YNA8GNMA 8.00% 12/27 #461047 $1 0.000% 36208UEU7FNMA 7.00% 10/25 #324623 $1 0.000% 31374USL1GNMA 6.50% 10/34 #605731 $1 0.000% 36200N4Q1GNMA 7.00% 9/28 #483639 $1 0.000% 36209WHQ8 US36209WHQ87GNMA 7.50% 10/27 #453745 $1 0.000% 36208LBN6GNMA 7.50% 10/23 #365682 $1 0.000% 36204CFX4GNMA 7.50% 6/27 #411802 $1 0.000% 36206HNT1FHLG 30YR 8.5% 08/01/2026# $1 0.000% 31292GQ41 US31292GQ413GNMA 7.50% 12/27 #385030 $1 0.000% 36205AVX9GNMA 7.00% 8/32 #579718 $1 0.000% 36201DAT9 US36201DAT90GNMA 7.00% 12/28 #781277 $1 0.000% 36225BM21 US36225BM210GNMA 7.00% 6/28 #478191 $1 0.000% 36209QF83FNMA 7.50% 11/29 #523195 $1 0.000% 31384GGC3GNMA 7.00% 6/28 #471698 $1 0.000% 36209G7K7GNMA 7.50% 9/23 #365976 $1 0.000% 36204CQ53FHLG 6.00% 5/29 #C00764 $1 0.000% 31292GZ58 US31292GZ588FHLG 5.00% 11/34 #A28446 $1 0.000% 31297GL33 US31297GL330GNMA 8.00% 9/24 #403965 $1 0.000% 36205XW26GNMA 7.50% 9/27 #439623 $1 0.000% 36207RLC7


500 Salem Street


172

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 10/25 #393055 $1 0.000% 36205KTL6FNMA 7.50% 2/28 #251500 $1 0.000% 31371GKM1 US31371GKM14GNMA 7.00% 8/32 #593193 $1 0.000% 36201T7E1FHLG 30YR 8% 02/01/2030# $1 0.000% 31292HAX2 US31292HAX26 B02YKM1GNMA 7.50% 6/29 #501931 $1 0.000% 36210TSU1FNMA 7.00% 7/31 #253907 $1 0.000% 31371KAG6 US31371KAG67FNMA 7.00% 8/25 #320060 $1 0.000% 31374PQM2FNMA 7.50% 9/27 #399562 $1 0.000% 31378HZ38FNMA 6.00% 6/35 #826971 $1 0.000% 31407CW86 US31407CW869FHLG 6.00% 2/29 #C22365 $1 0.000% 31293KTW6 US31293KTW61FHLG 30YR 6% 02/01/2029# $1 0.000% 31292GZX7 US31292GZX77FNMA 7.50% 10/27 #395593 $1 0.000% 31378DNJ5FNMA 7.00% 3/28 #492905 $1 0.000% 31382UR24GNMA 7.50% 6/24 #401000 $1 0.000% 36205UNR7GNMA 7.00% 6/28 #443709 $1 0.000% 36207V3S3GNMA 8.00% 9/24 #390038 $1 0.000% 36205GHP9GNMA 8.00% 9/29 #478716 $1 0.000% 36209QYM1GNMA 7.50% 9/27 #455561 $1 0.000% 36208NB69FNMA 7.50% 5/27 #379219 $1 0.000% 31377KG41GNMA 7.50% 9/27 #455544 $1 0.000% 36208NBM4GNMA 7.00% 4/32 #576026 $1 0.000% 36200X4K2FNMA 7.50% 6/27 #357002 $1 0.000% 31376JRX9 US31376JRX99GNMA 7.00% 12/28 #434101 $1 0.000% 36207KGJ3GNMA 7.00% 4/31 #474776 $1 0.000% 36209LMZ6FNMA 7.50% 11/26 #358481 $1 0.000% 31376LFW9GNMA 7.50% 10/27 #458421 $1 0.000% 36208RG65GNMA 5.50% 5/37 #621244 $1 0.000% 36290YER5 US36290YER53GNMA 7.00% 12/27 #450614 $1 0.000% 36208GSB5FHLG 30YR 6% 07/01/2029# $1 0.000% 31293S6F1 US31293S6F12GNMA 7.00% 7/28 #471517 $1 0.000% 36209GYN1FNMA 7.00% 11/25 #250383 $1 0.000% 31371FCU4 US31371FCU49GNMA 7.50% 4/27 #399249 $1 0.000% 36205SQA6FNMA 7.50% 11/29 #520975 $1 0.000% 31384DXC1Fannie Mae Series 2011-83 Class DI, 6% 9/25/26 $1 0.000% 3136A0U39 US3136A0U396GNMA 7.00% 6/28 #464955 $1 0.000% 36208YQG7GNMA 7.50% 12/27 #427792 $1 0.000% 36207CF94FNMA 6.00% 8/35 #826763 $1 0.000% 31407CQQ3FNMA 7.50% 10/27 #400382 $0 0.000% 31378JXK8FNMA 7.00% 8/25 #318732 $0 0.000% 31374NA93


500 Salem Street


173

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 6/32 #569880 $0 0.000% 36200RCR1FHLG 30YR 6% 05/01/2029# $0 0.000% 31293QHZ9 US31293QHZ90FNMA 7.00% 8/29 #252646 $0 0.000% 31371HTB4GNMA 7.50% 11/27 #437435 $0 0.000% 36207N4U5GNMA 7.00% 5/32 #556039 $0 0.000% 36213JV85 US36213JV855FNMA 7.50% 9/27 #313711 $0 0.000% 31374GN45GNMA 7.00% 6/29 #513652 $0 0.000% 36211HTH4FNMA 7.50% 10/26 #313182 $0 0.000% 31374F2P3 US31374F2P35GNMA 7.50% 11/25 #406650 $0 0.000% 36206BWK3FNMA 4.00% 2/41 #AH2122 $0 0.000% 3138A3LC9GNMA 7.00% 7/28 #433864 $0 0.000% 36207J5Z2 US36207J5Z21FNMA 7.00% 12/25 #332858 $0 0.000% 31375EWT4GNMA 7.50% 8/23 #352113 $0 0.000% 36203LDS8FNMA 15YR 5.00% 7/23 #987206 $0 0.000% 31415RU77FNMA 7.00% 2/32 #626419 $0 0.000% 31389H4C9GNMA 8.00% 11/24 #385989 $0 0.000% 36205BXS6GNMA 7.00% 8/29 #513757 $0 0.000% 36211HWS6 US36211HWS65GNMA 7.00% 4/28 #474192 $0 0.000% 36209KXV5GNMA 7.50% 6/23 #353125 $0 0.000% 36203MHA1GNMA 7.00% 7/28 #474003 $0 0.000% 36209KRY6 US36209KRY63 2277073FNMA 7.50% 5/27 #250912 $0 0.000% 31371FVD1GNMA 7.00% 1/27 #780499 $0 0.000% 36225ARU6 US36225ARU69FHLG 30YR 7.5% 02/01/2027# $0 0.000% 31283GXZ5 US31283GXZ52GNMA 7.00% 6/28 #449039 $0 0.000% 36208EZC0GNMA 7.50% 10/25 #387165 $0 0.000% 36205DCA4FNMA 7.50% 9/27 #399824 $0 0.000% 31378JD53GNMA 7.50% 11/23 #352026 $0 0.000% 36203LA36GNMA 7.00% 3/28 #436264 $0 0.000% 36207MTV8 US36207MTV80FNMA 7.00% 4/26 #342459 $0 0.000% 31375RMG4FHLG 30YR 6% 01/01/2029# $0 0.000% 31293JH93 US31293JH935GNMA 8.00% 11/27 #412362 $0 0.000% 36206JB78 US36206JB786GNMA 7.50% 7/24 #388655 $0 0.000% 36205EWQ5FNMA 7.50% 8/29 #323868 $0 0.000% 31374TW54GNMA 7.50% 12/22 #341490 $0 0.000% 36224XKB6GNMA 7.50% 10/27 #456294 $0 0.000% 36208N3B7FNMA 7.50% 1/28 #415853 $0 0.000% 31379C5N7GNMA 8.00% 5/22 #320911 $0 0.000% 36223XN40GNMA 8.50% 12/29 #510858 $0 0.000% 36211EQK7FNMA 7.50% 10/27 #411518 $0 0.000% 31378XDX1 US31378XDX12


500 Salem Street


174

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 7.50% 7/25 #318544 $0 0.000% 31374MZH0GNMA 7.50% 11/27 #412374 $0 0.000% 36206JCK8GNMA 7.50% 10/27 #451506 $0 0.000% 36208HR32 US36208HR329FHLG 30YR 8% 04/01/2032# $0 0.000% 31283HRW7 US31283HRW78FNMA 7.50% 10/26 #250736 $0 0.000% 31371FPV8 US31371FPV84FNMA 7.00% 9/25 #322438 $0 0.000% 31374SEK3GNMA 7.00% 10/25 #416564 $0 0.000% 36206NWZ4FHLG 30YR 8% 01/01/2031# $0 0.000% 31298FZT2 US31298FZT29FNMA 7.00% 8/31 #253895 $0 0.000% 31371J7G3 US31371J7G39FNMA 7.50% 12/26 #365832 $0 0.000% 31376ULM4GNMA 7.50% 8/28 #464768 $0 0.000% 36208YJM2FNMA 7.00% 12/29 #527579 $0 0.000% 31384MCQ3GNMA 7.00% 9/31 #560801 $0 0.000% 36213QAA7 US36213QAA76FHLG 30YR 6% 02/01/2029# $0 0.000% 31293JKZ1 US31293JKZ11GNMA 7.50% 2/27 #439497 $0 0.000% 36207RGE9GNMA 7.00% 2/29 #502245 $0 0.000% 36210T5E2 US36210T5E29FNMA 7.50% 9/26 #358195 $0 0.000% 31376K3C8GNMA 7.00% 3/28 #458872 $0 0.000% 36208RW91 US36208RW914FNMA 7.50% 7/25 #250307 $0 0.000% 31371FAG7GNMA 7.50% 11/22 #340269 $0 0.000% 36224V6E0GNMA 8.50% 11/31 #781413 $0 0.000% 36225BSA7GNMA 7.00% 5/28 #433788 $0 0.000% 36207J2V4GNMA 7.00% 5/28 #473563 $0 0.000% 36209KB80FNMA 7.50% 9/27 #395391 $0 0.000% 31378DF88GNMA 8.00% 10/24 #383287 $0 0.000% 36204XXQ3 US36204XXQ32FNMA 7.50% 10/27 #401788 $0 0.000% 31378LJ94GNMA 7.50% 10/27 #458667 $0 0.000% 36208RQU1FNMA 7.00% 1/32 #627296 $0 0.000% 31389J3D4GNMA 7.50% 6/26 #404732 $0 0.000% 36205YSV5GNMA 7.00% 9/29 #477007 $0 0.000% 36209N3Q3GNMA 7.00% 9/28 #465349 $0 0.000% 36208Y5J4GNMA 7.00% 10/29 #477011 $0 0.000% 36209N3U4GNMA 7.00% 7/32 #552668 $0 0.000% 36213E6D3GNMA 7.00% 9/31 #564867 $0 0.000% 36213UQU7FNMA 7.50% 1/30 #527725 $0 0.000% 31384MHA3GNMA 7.50% 6/24 #357377 $0 0.000% 36203R6N4GNMA 7.00% 2/28 #462548 $0 0.000% 36208VZM0GNMA 7.50% 1/24 #351387 $0 0.000% 36203KJ88FHLG 30YR 7.5% 10/01/2027# $0 0.000% 31292GTL0 US31292GTL04


500 Salem Street


175

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 15YR 5.50% 4/22 #915584 $0 0.000% 31411VFZ7 US31411VFZ76GNMA 7.00% 5/28 #455124 $0 0.000% 36208MSM8GNMA 8.00% 10/29 #515956 $0 0.000% 36211LE57FNMA 7.00% 2/26 #334999 $0 0.000% 31375HDC5GNMA 7.00% 7/28 #433882 $0 0.000% 36207J6T5FNMA 7.50% 11/27 #313853 $0 0.000% 31374GTJ6FNMA 7.50% 10/27 #396031 $0 0.000% 31378D4Q0GNMA 7.50% 6/27 #449600 $0 0.000% 36208FNR7GNMA 8.00% 8/25 #414089 $0 0.000% 36206K7A3GNMA 7.50% 11/22 #341252 $0 0.000% 36224XBV2FNMA 7.50% 10/28 #252084 $0 0.000% 31371G6V7FNMA 7.50% 10/26 #250701 $0 0.000% 31371FNS7GNMA 7.00% 7/28 #464690 $0 0.000% 36208YF79GNMA 7.00% 9/28 #473871 $0 0.000% 36209KMU9FNMA 7.00% 7/28 #416921 $0 0.000% 31379ED20GNMA 7.50% 7/27 #451321 $0 0.000% 36208HLA2 US36208HLA22FHLG 30YR 8.5% 05/01/2027# $0 0.000% 31283GYU5 US31283GYU56GNMA 7.00% 12/25 #420846 $0 0.000% 36206TP71GNMA 7.50% 5/27 #444382 $0 0.000% 36207WUF9GNMA 7.50% 10/22 #339499 $0 0.000% 36224VDC6 US36224VDC63GNMA 7.50% 7/27 #447688 $0 0.000% 36208DJ97FNMA 7.50% 2/30 #532153 $0 0.000% 31384SE21 US31384SE211GNMA 7.00% 6/29 #513680 $0 0.000% 36211HUD1FHLG 30YR 6% 02/01/2029# $0 0.000% 31293KN36 US31293KN360 B12P7Z3GNMA 7.00% 12/28 #457919 $0 0.000% 36208QVL7GNMA 7.50% 10/23 #366568 $0 0.000% 36204DFH7GNMA 7.00% 4/28 #450333 $0 0.000% 36208GHJ0 US36208GHJ04FNMA 7.00% 9/31 #608317 $0 0.000% 31388LYN4GNMA 7.00% 2/29 #432896 $0 0.000% 36207H3D7GNMA 7.50% 10/25 #412507 $0 0.000% 36206JGQ1GNMA 7.50% 10/27 #455818 $0 0.000% 36208NK77 US36208NK777GNMA 7.50% 8/28 #482687 $0 0.000% 36209VF41GNMA 7.00% 8/28 #468133 $0 0.000% 36209DBA1GNMA 7.50% 4/23 #352217 $0 0.000% 36203LG22 US36203LG226GNMA 7.00% 8/28 #464145 $0 0.000% 36208XTA9FNMA 7.00% 9/27 #398576 $0 0.000% 31378GXD0GNMA 7.00% 3/32 #574467 $0 0.000% 36200WFG1 US36200WFG15GNMA 7.00% 8/31 #485694 $0 0.000% 36209YRP5GNMA 7.00% 9/28 #486540 $0 0.000% 36210APZ4


500 Salem Street


176

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 7.50% 6/27 #391253 $0 0.000% 31377YTJ4FNMA 7.50% 2/32 #627932 $0 0.000% 31389KSV4GNMA 7.00% 11/30 #412251 $0 0.000% 36206H5L8GNMA 7.50% 4/27 #440301 $0 0.000% 36207SDE0 US36207SDE00GNMA 7.00% 3/29 #781019 $0 0.000% 36225BDY1FNMA 7.50% 11/27 #404971 $0 0.000% 31378P2C6GNMA 7.50% 4/27 #446901 $0 0.000% 36208CNS2GNMA 7.00% 12/27 #455891 $0 0.000% 36208NNG4FNMA 7.50% 9/27 #397068 $0 0.000% 31378FCD5GNMA 7.50% 9/27 #353838 $0 0.000% 36203NBF4GNMA 8.50% 11/27 #780795 $0 0.000% 36225A3C2GNMA 7.00% 4/26 #422649 $0 0.000% 36206VQA8FNMA 7.50% 9/29 #252717 $0 0.000% 31371HVJ4 US31371HVJ49GNMA 7.50% 12/27 #416994 $0 0.000% 36206PGB0GNMA 7.00% 7/28 #464005 $0 0.000% 36208XNW7GNMA 7.50% 4/27 #372408 $0 0.000% 36204KU92GNMA 8.00% 9/25 #780247 $0 0.000% 36225AHY9GNMA 7.00% 2/28 #463090 $0 0.000% 36208WNF6GNMA 7.00% 2/28 #469082 $0 0.000% 36209ECT7GNMA 7.50% 8/23 #334707 $0 0.000% 36224PYC6GNMA 7.00% 3/24 #371692 $0 0.000% 36204J2Z8FNMA 7.00% 2/32 #634194 $0 0.000% 31389SRP1FNMA 7.00% 9/26 #355023 $0 0.000% 31376GLC7GNMA 7.50% 4/27 #448514 $0 0.000% 36208EGX5FNMA 7.50% 9/27 #396994 $0 0.000% 31378E7F9FNMA 7.00% 6/28 #430194 $0 0.000% 31379U3B5FNMA 7.50% 1/28 #406641 $0 0.000% 31378RWA3FHLG 30YR 8.5% 05/01/2027# $0 0.000% 31283GYN1 US31283GYN14GNMA 7.00% 12/31 #564543 $0 0.000% 36213UEQ9FNMA 7.50% 8/27 #396088 $0 0.000% 31378D6Z8GNMA 7.50% 4/27 #448536 $0 0.000% 36208EHM8FNMA 7.50% 6/27 #391692 $0 0.000% 31377ZC59GNMA 7.00% 2/28 #436199 $0 0.000% 36207MRU2 US36207MRU26FNMA 7.50% 1/26 #328952 $0 0.000% 31375AL98GNMA 8.00% 6/25 #401443 $0 0.000% 36205U5C0FHLG 30YR 6% 06/01/2029# $0 0.000% 31293RTS0 US31293RTS03GNMA 7.50% 11/27 #461022 $0 0.000% 36208UD38FNMA 7.50% 7/25 #315883 $0 0.000% 31374J2Q3GNMA 7.00% 6/28 #456205 $0 0.000% 36208NYA5


500 Salem Street


177

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 10/25 #387161 $0 0.000% 36205DB64GNMA 8.00% 5/24 #388594 $0 0.000% 36205EUT1GNMA 7.00% 9/27 #780631 $0 0.000% 36225AVY3FNMA 7.00% 3/26 #339167 $0 0.000% 31375MW41GNMA 7.00% 5/28 #433774 $0 0.000% 36207J2F9GNMA 7.50% 10/27 #461545 $0 0.000% 36208UWE3GNMA 7.50% 8/27 #451362 $0 0.000% 36208HMK9 US36208HMK94 2145266FNMA ARM 4.801% 2/33 #695019 $0 0.000% 31400RDY4 US31400RDY45GNMA 8.00% 6/24 #389982 $0 0.000% 36205GFX4 US36205GFX43GNMA 7.00% 7/28 #464694 $0 0.000% 36208YGB9FNMA 7.00% 7/29 #506994 $0 0.000% 31383MGB3FNMA 7.50% 6/26 #349340 $0 0.000% 31376ABH0GNMA 7.50% 4/23 #321957 $0 0.000% 36223YTN0 US36223YTN03FNMA 15YR 6.00% 11/21 #881278 $0 0.000% 31409XCP2GNMA 8.00% 9/22 #329026 $0 0.000% 36224HPK6GNMA 7.00% 1/26 #780299 $0 0.000% 36225AKL3 US36225AKL34GNMA 7.50% 12/27 #780798 $0 0.000% 36225A3F5 US36225A3F51Freddie Mac planned amortization class Series 3786Class HI, 4% 3/15/38 $0 0.000% 3137A5SJ4 US3137A5SJ48GNMA 7.00% 6/28 #460837 $0 0.000% 36208T4W7GNMA 7.50% 2/23 #342527 $0 0.000% 36224YPL7 US36224YPL73GNMA 7.50% 8/23 #351525 $0 0.000% 36203KPJ7FNMA 7.00% 8/25 #250407 $0 0.000% 31371FDL3FNMA 7.00% 11/25 #330420 $0 0.000% 31375CAV7FNMA 7.00% 8/29 #506458 $0 0.000% 31383LTP0GNMA 7.00% 1/29 #486846 $0 0.000% 36210AZK6 US36210AZK68GNMA 7.50% 12/27 #451150 $0 0.000% 36208HEX0FNMA 7.00% 7/32 #639103 $0 0.000% 31389YAC5FNMA 7.00% 2/30 #535336 $0 0.000% 31384VV58 US31384VV581GNMA 7.50% 8/24 #391743 $0 0.000% 36205JEQ4FHLG 30YR 6% 03/01/2029# $0 0.000% 31293LG40 US31293LG404FNMA 7.00% 3/32 #636867 $0 0.000% 31389VQU4 US31389VQU43GNMA 7.50% 10/22 #315235 $0 0.000% 36223REG6GNMA 7.00% 2/29 #443405 $0 0.000% 36207VR24 US36207VR249GNMA 7.00% 12/25 #412531 $0 0.000% 36206JHG2GNMA 7.50% 9/27 #372445 $0 0.000% 36204KWE9FNMA 7.50% 1/27 #250799 $0 0.000% 31371FRU8 US31371FRU83FNMA 7.50% 9/27 #379287 $0 0.000% 31377KJ89GNMA 7.00% 4/31 #550440 $0 0.000% 36213CPZ7 US36213CPZ76


500 Salem Street


178

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 1/28 #446073 $0 0.000% 36207YQ29FHLG 30YR 8.5% 04/01/2025# $0 0.000% 31356N5T7 US31356N5T70GNMA 7.50% 10/23 #354667 $0 0.000% 36203N6C7GNMA 7.00% 12/28 #781176 $0 0.000% 36225BJV1 US36225BJV18FNMA 7.50% 7/27 #250990 $0 0.000% 31371FXT4GNMA 7.00% 3/28 #462619 $0 0.000% 36208V4C6 US36208V4C63GNMA 7.50% 8/27 #446822 $0 0.000% 36208CLB1 US36208CLB18 2145813FNMA 7.00% 10/28 #563100 $0 0.000% 31386GRV7GNMA 7.00% 6/24 #354832 $0 0.000% 36203PED1GNMA 7.00% 11/28 #781129 $0 0.000% 36225BHE1FHLG 30YR 6% 07/01/2029# $0 0.000% 31293TDP9 US31293TDP93GNMA 7.00% 5/28 #456183 $0 0.000% 36208NXL2FNMA 7.00% 9/25 #321076 $0 0.000% 31374QT96GNMA 7.00% 12/25 #421411 $0 0.000% 36206UDQ9GNMA 7.00% 9/28 #490591 $0 0.000% 36210E7C7GNMA 7.00% 12/26 #780481 $0 0.000% 36225ARA0 US36225ARA06 2136561GNMA 7.50% 6/27 #446423 $0 0.000% 36207Y4G2FNMA 7.50% 9/26 #351873 $0 0.000% 31376C2E3GNMA 7.00% 1/28 #461493 $0 0.000% 36208UUS4GNMA 7.50% 11/27 #427281 $0 0.000% 36207BUE8FNMA 7.50% 10/27 #401913 $0 0.000% 31378LN65GNMA 7.50% 7/23 #348177 $0 0.000% 36203FXE0GNMA 7.50% 12/27 #455358 $0 0.000% 36208MZX6FNMA 7.50% 9/25 #321084 $0 0.000% 31374QUH6GNMA 8.00% 6/25 #380195 $0 0.000% 36204UKG5GNMA 7.00% 11/27 #462363 $0 0.000% 36208VTU9GNMA 7.00% 10/28 #476949 $0 0.000% 36209NZN5FHLG 30YR 8.5% 09/01/2026# $0 0.000% 3128FGB29 US3128FGB294FNMA 7.50% 12/27 #403301 $0 0.000% 31378NAA6FHLG 30YR 8.5% 01/01/2028# $0 0.000% 31283G7J0 US31283G7J05FNMA 7.00% 11/28 #452490 $0 0.000% 31380WUP7FNMA 6.50% 7/23 #124920 $0 0.000% 31365DVM4FNMA 7.00% 2/28 #251569 $0 0.000% 31371GMS6FNMA 7.00% 2/24 #190257 $0 0.000% 31368HJA2FNMA 7.00% 3/26 #331390 $0 0.000% 31375DC35GNMA 7.50% 5/27 #432499 $0 0.000% 36207HNQ6 US36207HNQ64GNMA 7.50% 4/27 #443941 $0 0.000% 36207WEN0GNMA 7.00% 3/28 #469164 $0 0.000% 36209EFD9GNMA 7.50% 6/23 #334644 $0 0.000% 36224PWD6 US36224PWD67


500 Salem Street


179

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 1/31 #543785 $0 0.000% 36212UCW9GNMA 7.00% 12/30 #443191 $0 0.000% 36207VKC9 US36207VKC99GNMA 7.50% 1/24 #357726 $0 0.000% 36203SLF2GNMA 7.50% 8/29 #491644 $0 0.000% 36210GER1GNMA 7.50% 3/26 #422511 $0 0.000% 36206VKY2FNMA 7.50% 11/27 #404846 $0 0.000% 31378PWF6FHLG 15YR 6.50% 3/22 #G18186 $0 0.000% 3128MMF40 US3128MMF406GNMA 7.50% 3/27 #447458 $0 0.000% 36208DB38 US36208DB389GNMA 7.00% 4/28 #474137 $0 0.000% 36209KV62 US36209KV620GNMA 7.50% 7/23 #184077 $0 0.000% 362165M25 US362165M252FHLG 30YR 8% 07/01/2025# $0 0.000% 31292GN36 US31292GN360FNMA 7.00% 8/25 #303505 $0 0.000% 31373UDJ3 US31373UDJ34FNMA 7.00% 11/23 #050930 $0 0.000% 313615ST4GNMA 7.50% 8/26 #780412 $0 0.000% 36225AN55 US36225AN558GNMA 7.00% 5/28 #462916 $0 0.000% 36208WGZ0GNMA 7.50% 8/27 #452939 $0 0.000% 36208KEL9GNMA 7.00% 5/32 #585381 $0 0.000% 36201KJ23FNMA 7.50% 4/29 #323645 $0 0.000% 31374TP60 US31374TP604GNMA 7.00% 5/27 #780570 $0 0.000% 36225AT34 US36225AT340GNMA 7.50% 11/23 #370889 $0 0.000% 36204H7A2 US36204H7A29FNMA 7.00% 1/28 #251409 $0 0.000% 31371GGS3GNMA 7.00% 6/32 #565482 $0 0.000% 36213VFX1GNMA 7.50% 3/22 #319186 $0 0.000% 36223VRF5GNMA 7.50% 10/23 #348284 $0 0.000% 36203F2R5 US36203F2R54FNMA 7.50% 8/27 #397106 $0 0.000% 31378FDK8 US31378FDK84GNMA 8.00% 7/22 #326787 $0 0.000% 36224E6Y4FNMA 7.00% 11/25 #328609 $0 0.000% 31375AAJ8GNMA 7.00% 5/28 #465792 $0 0.000% 36209ANH9 US36209ANH94FHLG 30YR 6% 03/01/2029# $0 0.000% 31293LSS4 US31293LSS42GNMA 7.00% 8/25 #375087 $0 0.000% 36204NUL9FNMA 7.00% 11/25 #250414 $0 0.000% 31371FDT6 US31371FDT66GNMA 7.50% 2/23 #334877 $0 0.000% 36224P6N3GNMA 7.50% 12/22 #288861 $0 0.000% 36220UZ20 US36220UZ205GNMA 7.50% 6/24 #385264 $0 0.000% 36205A5Z3FHLG 30YR 6% 07/01/2029# $0 0.000% 31293TF28 US31293TF284FNMA 7.00% 5/24 #250030 $0 0.000% 31371EVX0GNMA 7.00% 12/27 #433517 $0 0.000% 36207JSE4 US36207JSE46GNMA 7.50% 3/24 #389637 $0 0.000% 36205FZA4FNMA 15YR 6.00% 1/22 #904963 $0 0.000% 31411DML0


500 Salem Street


180

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 1/28 #454115 $0 0.000% 36208LN86 US36208LN866FNMA 7.00% 8/25 #319640 $0 0.000% 31374PBH9GNMA 7.50% 12/22 #336661 $0 0.000% 36224R5W0FHLG 30YR 7.5% 10/01/2030# $0 0.000% 31298B7F2 US31298B7F24GNMA 7.50% 6/27 #446811 $0 0.000% 36208CKY2 US36208CKY20GNMA 7.50% 4/23 #355472 $0 0.000% 36203P2D4FNMA 7.00% 10/31 #606354 $0 0.000% 31388JTK1FNMA 7.50% 2/28 #416634 $0 0.000% 31379DY78FNMA 7.00% 5/32 #645346 $0 0.000% 31390F5F2 US31390F5F22GNMA 7.50% 9/25 #365448 $0 0.000% 36204B5H2FHLG 30YR 8.5% 12/01/2027# $0 0.000% 31283G6V4 US31283G6V42FNMA 7.50% 9/27 #397084 $0 0.000% 31378FCV5FNMA 7.00% 3/26 #303780 $0 0.000% 31373UM53 US31373UM536FHLG 30YR 6% 04/01/2029# $0 0.000% 31293PFU4 US31293PFU49GNMA 7.50% 1/23 #335448 $0 0.000% 36224QTD8GNMA 7.50% 10/27 #449183 $0 0.000% 36208E6U2FNMA 7.00% 12/27 #399910 $0 0.000% 31378JGT8FNMA 7.00% 5/28 #251886 $0 0.000% 31371GXP0FNMA 7.00% 7/28 #432909 $0 0.000% 31379X3S2GNMA 7.50% 11/25 #419889 $0 0.000% 36206SNE0GNMA 7.50% 11/25 #419884 $0 0.000% 36206SM92GNMA 8.00% 4/24 #390868 $0 0.000% 36205HFH7 US36205HFH75FNMA 7.50% 8/28 #323297 $0 0.000% 31374TDA4FNMA 7.00% 4/26 #344561 $0 0.000% 31375TWW4FNMA 7.50% 9/27 #397053 $0 0.000% 31378FBW4FHLG 30YR 7.5% 12/01/2030# $0 0.000% 31298ET39 US31298ET393GNMA 7.50% 1/26 #420658 $0 0.000% 36206TJB9FNMA 7.50% 8/25 #319648 $0 0.000% 31374PBR7GNMA 7.00% 12/23 #780373 $0 0.000% 36225AMW7 US36225AMW70GNMA 7.00% 11/22 #336643 $0 0.000% 36224R5C4FNMA 7.00% 5/24 #269592 $0 0.000% 31372DNH5GNMA 8.00% 12/24 #404012 $0 0.000% 36205XYH1FNMA 7.50% 9/29 #516134 $0 0.000% 31383XLP2 US31383XLP23FNMA 7.00% 10/28 #481840 $0 0.000% 31382GHR1GNMA 7.50% 11/22 #321719 $0 0.000% 36223YK82FHLG 30YR 8% 07/01/2025# $0 0.000% 31335GLB9 US31335GLB94FNMA 7.00% 2/27 #361825 $0 0.000% 31376P4J1GNMA 7.50% 4/27 #432429 $0 0.000% 36207HLJ4GNMA 7.00% 2/28 #458809 $0 0.000% 36208RVA9 US36208RVA93


500 Salem Street


181

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 1/24 #380423 $0 0.000% 36204USL6FHLG 30YR 7.5% 03/01/2027# $0 0.000% 31292GRV0 US31292GRV04GNMA 7.00% 10/31 #566254 $0 0.000% 36213WBX3GNMA 7.00% 8/28 #486467 $0 0.000% 36210AMQ7 US36210AMQ75GNMA 7.00% 9/31 #550866 $0 0.000% 36213C6B1GNMA 7.50% 11/23 #345405 $0 0.000% 36203CU67 US36203CU671GNMA 7.50% 9/27 #456541 $0 0.000% 36208PEN4FHLG 8.00% 8/30 #C41636 $0 0.000% 31297YY97 US31297YY971GNMA 7.50% 1/23 #343532 $0 0.000% 36203ASV9GNMA 7.50% 1/24 #376375 $0 0.000% 36204QCL2GNMA 8.00% 10/24 #385920 $0 0.000% 36205BVM1 US36205BVM17GNMA 7.00% 9/25 #413425 $0 0.000% 36206KHA2GNMA 8.00% 6/25 #410041 $0 0.000% 36206FP22 US36206FP222GNMA 7.50% 11/25 #415757 $0 0.000% 36206MZW0GNMA 7.50% 12/22 #329372 $0 0.000% 36224H2D7 US36224H2D78FHLG 6.00% 2/29 #C21724 $0 0.000% 31293J4H9 US31293J4H94GNMA 8.00% 6/22 #328016 $0 0.000% 36224GK56GNMA 7.50% 9/23 #358743 $0 0.000% 36203TP41FNMA 7.50% 9/27 #395754 $0 0.000% 31378DTK6GNMA 7.00% 4/29 #781027 $0 0.000% 36225BD88 US36225BD888GNMA 7.00% 4/28 #460810 $0 0.000% 36208T3T5FNMA 7.50% 8/27 #395367 $0 0.000% 31378DFG0GNMA 7.00% 4/28 #454044 $0 0.000% 36208LLZ8 US36208LLZ84FHLG 30YR 7.5% 04/01/2022# $0 0.000% 31283GU21 US31283GU216GNMA 7.00% 9/28 #476632 $0 0.000% 36209NPR7GNMA 8.00% 9/26 #433215 $0 0.000% 36207JGY3FNMA 7.50% 9/29 #504525 $0 0.000% 31383JPJ3FHLG 30YR 6% 07/01/2028# $0 0.000% 31292WQ38 US31292WQ386GNMA 7.50% 8/23 #367228 $0 0.000% 36204D4M8 US36204D4M84GNMA 7.50% 6/27 #418913 $0 0.000% 36206RK21GNMA 7.00% 4/29 #506694 $0 0.000% 36210Y3B9GNMA 7.50% 4/23 #345265 $0 0.000% 36203CQS4 US36203CQS43GNMA 7.00% 7/29 #513722 $0 0.000% 36211HVP3 US36211HVP36Freddie Mac Series 2844 Class SD, 86.400% - 1month U.S. LIBOR 85.3612% 8/15/24 $0 0.000% 31395EWX1 US31395EWX11GNMA 7.50% 11/23 #370119 $0 0.000% 36204HDY3GNMA 7.00% 2/28 #427241 $0 0.000% 36207BS68GNMA 8.00% 11/25 #415762 $0 0.000% 36206MZ34FNMA 15YR 5.50% 11/21 #904306 $0 0.000% 31411CU74 US31411CU741


500 Salem Street


182

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 8% 09/01/2030# $0 0.000% 31298AYN7 US31298AYN70FHLG 30YR 6% 04/01/2029# $0 0.000% 31293NNR7 US31293NNR79FNMA 7.00% 7/29 #545331 $0 0.000% 31385HY48FHLG 6.50% 3/32 #C64888 $0 0.000% 31287QND9 US31287QND96GNMA 7.00% 1/24 #377920 $0 0.000% 36204RYR3GNMA 7.50% 2/23 #328986 $0 0.000% 36224HNB8FNMA 15YR 6.00% 1/22 #922384 $0 0.000% 31412DXM5GNMA 7.50% 5/23 #352193 $0 0.000% 36203LGA4 US36203LGA44GNMA 8.00% 8/25 #397870 $0 0.000% 36205Q6F1FNMA 6.50% 1/24 #266169 $0 0.000% 31371YT27GNMA 7.50% 7/24 #377223 $0 0.000% 36204RAY4FNMA 7.50% 6/25 #306974 $0 0.000% 31373X6K2GNMA 7.00% 12/22 #183933 $0 0.000% 362165HJ4FNMA 7.00% 10/27 #313828 $0 0.000% 31374GSR9 US31374GSR91GNMA 7.00% 1/28 #458370 $0 0.000% 36208RFK5FNMA 7.00% 1/26 #330162 $0 0.000% 31375BWX1GNMA 7.50% 9/25 #405489 $0 0.000% 36206ANE9GNMA 7.50% 7/27 #372430 $0 0.000% 36204KVX8FHLG 30YR 7.5% 09/01/2030# $0 0.000% 31298ASP9 US31298ASP92GNMA 7.50% 3/26 #416180 $0 0.000% 36206NJZ9GNMA 7.50% 7/23 #337471 $0 0.000% 36224S2C5FNMA 7.50% 9/27 #398564 $0 0.000% 31378GWZ2FNMA 7.00% 5/27 #250911 $0 0.000% 31371FVC3FNMA 7.00% 9/27 #399716 $0 0.000% 31378JAR8GNMA 7.00% 8/25 #414500 $0 0.000% 36206LNR6GNMA 7.00% 12/28 #780995 $0 0.000% 36225BC89 US36225BC898GNMA 7.50% 4/26 #345614 $0 0.000% 36203C3X8GNMA 7.50% 6/26 #436604 $0 0.000% 36207NAD6GNMA 8.00% 9/24 #369534 $0 0.000% 36204GPT3 US36204GPT30FNMA 7.00% 4/32 #641860 $0 0.000% 31390CB54GNMA 7.50% 7/25 #780194 $0 0.000% 36225AGB0GNMA 8.00% 9/24 #369524 $0 0.000% 36204GPH9FNMA 7.00% 9/23 #190240 $0 0.000% 31368HHR7FHLG 30YR 8.5% 04/01/2025# $0 0.000% 31356N2D5 US31356N2D55FNMA 7.50% 1/28 #420260 $0 0.000% 31379HZZ6GNMA 7.50% 3/23 #342821 $0 0.000% 36224YYS2GNMA 7.50% 6/24 #400837 $0 0.000% 36205UHN3 US36205UHN37FNMA 15YR 4.50% 12/23 #AC2348 $0 0.000% 31417LTE5 US31417LTE55GNMA 8.00% 10/24 #385300 $0 0.000% 36205A7M0


500 Salem Street


183

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.50% 11/25 #414838 $0 0.000% 36206LZB8FNMA 7.50% 8/29 #511096 $0 0.000% 31383RXZ0 US31383RXZ09GNMA 7.50% 10/28 #469630 $0 0.000% 36209EVX7 US36209EVX74GNMA 7.00% 5/32 #533981 $0 0.000% 36212HFW5 US36212HFW51FNMA 7.00% 2/26 #331385 $0 0.000% 31375DCW1 US31375DCW11GNMA 7.00% 8/25 #413424 $0 0.000% 36206KG96GNMA 7.50% 7/23 #349519 $0 0.000% 36203HG47FHLG 5.00% 4/34 #A21008 $0 0.000% 31296XDM4 US31296XDM48FNMA 7.50% 9/29 #511461 $0 0.000% 31383SFA3 US31383SFA33FNMA 7.00% 10/23 #125245 $0 0.000% 31365EBN2GNMA 7.50% 8/27 #449451 $0 0.000% 36208FH45GNMA 8.00% 8/25 #418746 $0 0.000% 36206RET9 US36206RET95GNMA 7.50% 5/23 #359750 $0 0.000% 36203UTF9FNMA 7.00% 11/23 #246876 $0 0.000% 31371BFR7GNMA 8.00% 8/24 #390034 $0 0.000% 36205GHK0FNMA 7.50% 8/27 #394970 $0 0.000% 31378CW73GNMA 8.00% 4/24 #390760 $0 0.000% 36205HB57FNMA 7.50% 1/28 #412145 $0 0.000% 31378XZJ8FNMA 7.00% 12/27 #405310 $0 0.000% 31378QGT2GNMA 7.00% 6/28 #456947 $0 0.000% 36208PTC2GNMA 8.00% 9/22 #329828 $0 0.000% 36224JLH3GNMA 7.00% 2/28 #430604 $0 0.000% 36207FKR1FNMA 7.00% 5/24 #283580 $0 0.000% 31372U6R4GNMA 7.00% 9/28 #464855 $0 0.000% 36208YMC0 US36208YMC02FNMA 7.00% 9/31 #602930 $0 0.000% 31388EY34GNMA 8.00% 8/24 #380592 $0 0.000% 36204UXV8GNMA 7.00% 9/28 #468231 $0 0.000% 36209DEC4 US36209DEC48GNMA 7.50% 10/25 #414636 $0 0.000% 36206LSZ3FNMA 7.00% 7/27 #250989 $0 0.000% 31371FXS6GNMA 7.50% 12/23 #372834 $0 0.000% 36204LEF4FHLG 8.00% 8/30 #C01034 $0 0.000% 31292HEF7 US31292HEF73Freddie Mac Series 2844 Class SC, 46.800% - 1month U.S. LIBOR 46.2556% 8/15/24 $0 0.000% 31395EWW3 US31395EWW38GNMA 7.50% 4/28 #462670 $0 0.000% 36208V6F7FNMA 7.00% 10/23 #050913 $0 0.000% 313615SA5GNMA 8.00% 8/22 #297140 $0 0.000% 362205BH8GNMA 8.00% 3/25 #780075 $0 0.000% 36225ACL2GNMA 7.00% 2/29 #434182 $0 0.000% 36207KJ35 US36207KJ355FNMA 15YR 5.00% 1/22 #899018 $0 0.000% 31410VYP9


500 Salem Street


184

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 7.00% 2/28 #460758 $0 0.000% 36208TZX1FNMA 7.00% 2/32 #627252 $0 0.000% 31389JZR8 US31389JZR84GNMA 7.50% 4/27 #448528 $0 0.000% 36208EHD8GNMA 8.00% 6/22 #324394 $0 0.000% 36224CKF3GNMA 8.00% 7/24 #403923 $0 0.000% 36205XVQ4 US36205XVQ41GNMA 7.00% 6/31 #539796 $0 0.000% 36212PUV2FNMA 7.50% 8/27 #251115 $0 0.000% 31371F3Y6GNMA 7.00% 3/23 #342550 $0 0.000% 36224YQB8 US36224YQB82GNMA 7.50% 4/29 #499454 $0 0.000% 36210QZT2GNMA 7.50% 4/27 #780551 $0 0.000% 36225ATG5 US36225ATG57FNMA 15YR 6.00% 10/22 #953514 $0 0.000% 31413RYK6 US31413RYK66GNMA 8.00% 7/22 #314311 $0 0.000% 36223QDQ7FNMA 7.00% 10/26 #323811 $0 0.000% 31374TVC0FNMA 7.50% 12/27 #411484 $0 0.000% 31378XCV6 US31378XCV64FNMA 7.00% 11/25 #330664 $0 0.000% 31375CJH9GNMA 8.00% 3/25 #780089 $0 0.000% 36225AC24GNMA 7.00% 3/32 #569233 $0 0.000% 36200QLN2FNMA 7.00% 7/26 #346292 $0 0.000% 31375VUR2GNMA 9.00% 1/22 #342846 $0 0.000% 36224YZK8GNMA 7.00% 1/24 #380191 $0 0.000% 36204UKC4FNMA 7.00% 4/23 #207834 $0 0.000% 31369DY70GNMA 7.00% 4/28 #442336 $0 0.000% 36207ULR7FNMA 7.00% 8/24 #341664 $0 0.000% 31375QQR8GNMA 7.50% 5/27 #442542 $0 0.000% 36207US74 US36207US744FNMA 7.50% 9/27 #397334 $0 0.000% 31378FLP8FNMA 7.50% 4/27 #370548 $0 0.000% 31376ZTD5GNMA 7.50% 9/23 #348220 $0 0.000% 36203FYR0GNMA 8.00% 6/25 #394234 $0 0.000% 36205L4T4GNMA 7.50% 6/23 #349785 $0 0.000% 36203HRE3GNMA 8.00% 7/24 #376241 $0 0.000% 36204P5A6GNMA 7.50% 6/23 #348813 $0 0.000% 36203GN66GNMA 8.00% 6/22 #311562 $0 0.000% 36223MB70GNMA 8.00% 7/22 #325164 $0 0.000% 36224DFD2GNMA 7.00% 11/22 #334996 $0 0.000% 36224QC95GNMA 7.50% 2/22 #319330 $0 0.000% 36223VVX1FNMA 7.00% 3/23 #341662 $0 0.000% 31375QQP2GNMA 7.50% 9/27 #451459 $0 0.000% 36208HQL3GNMA 7.00% 7/31 #564706 $0 0.000% 36213UKT6GNMA 7.50% 8/25 #410082 $0 0.000% 36206FRB0 US36206FRB03


500 Salem Street


185

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLGNMA 8.00% 6/25 #401859 $0 0.000% 36205VMG0GNMA 7.00% 8/29 #513746 $0 0.000% 36211HWF4 US36211HWF45GNMA 7.50% 3/23 #343546 $0 0.000% 36203ATB2GNMA 7.50% 9/25 #410104 $0 0.000% 36206FRZ7GNMA 8.00% 8/22 #325182 $0 0.000% 36224DFX8 US36224DFX84GNMA 7.00% 11/22 #325618 $0 0.000% 36224DVK8GNMA 7.00% 11/22 #344166 $0 0.000% 36203BJK1FHLG 7.50% 11/30 #C01086 $0 0.000% 31292HF33 US31292HF331GNMA 7.50% 7/27 #353744 $0 0.000% 36203M5D8GNMA 7.50% 12/22 #342480 $0 0.000% 36224YM55 US36224YM553FNMA 7.50% 12/27 #404950 $0 0.000% 31378PZP1 US31378PZP16GNMA 7.50% 9/25 #780250 $0 0.000% 36225AH37 US36225AH378GNMA 7.50% 5/27 #439214 $0 0.000% 36207Q3X3FNMA 7.00% 5/24 #279709 $0 0.000% 31372QVA2FNMA 7.50% 5/26 #303887 $0 0.000% 31373URG4FHLG 30YR 8.5% 05/01/2026# $0 0.000% 31283GRD1 US31283GRD15FNMA 7.00% 12/25 #329666 $0 0.000% 31375BFF9FNMA 15YR 5.50% 10/21 #903352 $0 0.000% 31411BTH6 US31411BTH68FNMA 7.50% 9/31 #597301 $0 0.000% 31387XRW7 US31387XRW73GNMA 8.00% 3/22 #320928 $0 0.000% 36223XPM8GNMA 7.00% 6/28 #447982 $0 0.000% 36208DUF0FNMA 7.50% 7/26 #352776 $0 0.000% 31376D2H4FNMA 7.00% 9/27 #398669 $0 0.000% 31378G2A0GNMA 8.00% 3/22 #317292 $0 0.000% 36223TNH0FNMA 7.50% 9/25 #322344 $0 0.000% 31374SBM2FHLG 30YR 8.5% 08/01/2027# $0 0.000% 31292GTE6 US31292GTE60GNMA 7.50% 3/22 #321496 $0 0.000% 36223YC99GNMA 8.00% 6/27 #450879 $0 0.000% 36208G2L1FHLG 30YR 8.5% 05/01/2025# $0 0.000% 31283GY92 US31283GY929FNMA 7.50% 9/25 #250340 $0 0.000% 31371FBH4 US31371FBH47FNMA 7.50% 8/25 #319496 $0 0.000% 31374N3D2GNMA 7.50% 9/23 #345035 $0 0.000% 36203CHL9GNMA 7.50% 8/23 #353139 $0 0.000% 36203MHQ6GNMA 7.00% 11/22 #338165 $0 0.000% 36224TTW0GNMA 7.50% 3/23 #337306 $0 0.000% 36224SU75FNMA 6.50% 9/23 #125229 $0 0.000% 31365EA60GNMA 7.50% 6/24 #376533 $0 0.000% 36204QHJ2FHLG 30YR 8.5% 01/01/2025# $0 0.000% 31292GM86 US31292GM867GNMA 7.50% 4/22 #316137 $0 0.000% 36223SEJ8 US36223SEJ87


500 Salem Street


186

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFNMA 8.00% 8/29 #506030 $0 0.000% 31383LEB7FNMA 7.00% 4/23 #050725 $0 0.000% 313615LE4GNMA 7.50% 6/24 #354826 $0 0.000% 36203PD75 US36203PD752FNMA 7.00% 10/25 #326888 $0 0.000% 31374XCZ1GNMA 7.50% 5/27 #439558 $0 0.000% 36207RJB2GNMA 7.50% 12/22 #329846 $0 0.000% 36224JL34GNMA 7.50% 12/22 #183927 $0 0.000% 362165HC9FNMA 7.00% 3/24 #265750 $0 0.000% 31371YEX5 US31371YEX58FNMA 7.00% 7/23 #050765 $0 0.000% 313615MN3GNMA 7.50% 1/23 #342503 $0 0.000% 36224YNU9GNMA 7.50% 8/23 #352115 $0 0.000% 36203LDU3 US36203LDU35GNMA 8.00% 11/22 #780232 $0 0.000% 36225AHH6FNMA 7.00% 11/23 #190096 $0 0.000% 31368HC92 US31368HC922FNMA 7.50% 4/22 #154882 $0 0.000% 31366P6T9GNMA 7.50% 8/23 #357957 $0 0.000% 36203STN7 US36203STN70GNMA 7.50% 7/23 #344971 $0 0.000% 36203CFL1FNMA 6.50% 3/22 #254232 $0 0.000% 31371KLM1 US31371KLM17GNMA 7.50% 11/25 #415761 $0 0.000% 36206MZ26 US36206MZ268GNMA 8.00% 3/24 #390724 $0 0.000% 36205HAZ2FNMA 7.50% 10/25 #250350 $0 0.000% 31371FBT8GNMA 8.00% 8/22 #331786 $0 0.000% 36224LRF6 US36224LRF66FNMA 15YR 5.00% 1/22 #817999 $0 0.000% 31406RX42 US31406RX420GNMA 7.50% 6/22 #324385 $0 0.000% 36224CJ65FNMA 7.50% 9/25 #325499 $0 0.000% 31374VRU0GNMA 7.50% 10/23 #352053 $0 0.000% 36203LBW1FNMA 7.50% 8/26 #353989 $0 0.000% 31376FF69GNMA 8.00% 8/25 #356741 $0 0.000% 36203RHS1GNMA 7.50% 7/23 #352142 $0 0.000% 36203LEP3GNMA 8.50% 11/21 #301866 $0 0.000% 36223AJK9GNMA 7.50% 9/23 #359412 $0 0.000% 36203UGV8GNMA 7.50% 10/22 #338159 $0 0.000% 36224TTQ3 US36224TTQ30FNMA 7.50% 2/27 #421456 $0 0.000% 31379KE58GNMA 8.00% 1/22 #318657 $0 0.000% 36223U5S3GNMA 8.00% 6/22 #323425 $0 0.000% 36224BHA0GNMA 7.50% 3/23 #342552 $0 0.000% 36224YQD4 US36224YQD49GNMA 7.00% 4/23 #326955 $0 0.000% 36224FE48GNMA 7.50% 8/27 #442678 $0 0.000% 36207UXF0FNMA 15YR 5.50% 12/21 #831963 $0 0.000% 31407JJG8 US31407JJG85GNMA 8.00% 3/22 #315147 $0 0.000% 36223RBQ7


500 Salem Street


187

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLFHLG 30YR 8.5% 05/01/2022# $0 0.000% 31292GEE2 US31292GEE26GNMA 8.00% 12/21 #315812 $0 0.000% 36223RYH2GNMA 8.00% 5/22 #321080 $0 0.000% 36223XUD2FNMA 6.50% 7/23 #124921 $0 0.000% 31365DVN2GNMA 7.50% 11/22 #338514 $0 0.000% 36224UAP2 US36224UAP21GNMA 7.50% 5/27 #443095 $0 0.000% 36207VGC4GNMA 7.50% 2/23 #349314 $0 0.000% 36203HAP6GNMA 7.50% 10/22 #330538 $0 0.000% 36224KEK1 US36224KEK16FNMA 7.00% 7/28 #425856 $0 0.000% 31379QBZ2GNMA 7.50% 8/23 #351142 $0 0.000% 36203KBK9FHLG 30YR 8.5% 03/01/2025# $0 0.000% 31335GJ63 US31335GJ639GNMA 7.00% 11/22 #315256 $0 0.000% 36223RE50GNMA 8.00% 12/22 #342482 $0 0.000% 36224YM71GNMA 8.00% 12/21 #316843 $0 0.000% 36223S5C3FNMA 7.50% 2/22 #050562 $0 0.000% 313615FB7GNMA 8.00% 7/22 #325594 $0 0.000% 36224DUT0Bayview Commercial Asset Trust Series 2006-3A,Class IO, 0% 10/25/36 $0 0.000% 07324NAM5 US07324NAM56 BD60P65GNMA 8.00% 2/22 #315129 $0 0.000% 36223RA62London Clearing House -$154 -0.000% LC2023London Clearing House -$175 -0.000% LC2051London Clearing House -$196 -0.000% LCH2028London Clearing House -$204 -0.000% LCH1231London Clearing House -$515 -0.000% LC1226Sblofi Swap Cy451600 12/16/72 -$6,744 -0.000%Sblofi Swap Cy451600 12/16/72 -$12,206 -0.000%Gscofi Swap Cy451600 12/16/72 -$12,931 -0.000%Credit Default Swap buy Volvo Treas AB (1%)Citibank, N.A. 6/2024 -$104,162 -0.003%Credit Default Swap buy Standard Chartered Bank(1%) Goldman Sachs Bank U.S.A. 6/2022 -$114,432 -0.003%Credit Default Swap buy Gas Natural CapitalMarkets SA (1%) Goldman Sachs Bank U.S.A. 6/2022 -$223,860 -0.006%Credit Default Swap buy Shell InternationalFinance BV (1%) Citibank, N.A. 12/2026 -$580,468 -0.015%Credit Default Swap buy Daimler AG (1%) Citibank,N.A. 12/2026 -$585,881 -0.015%Credit Default Swap buy BMW Finance NV (1%)Citibank, N.A. 12/2026 -$595,183 -0.016%


500 Salem Street


188

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLCredit Default Swap buy Barclays PLC (1%) JPMorganChase Bank, N.A. 12/2026 -$598,313 -0.016%Credit Default Swap buy Assicurazioni Generali SpA(1%) BNP Paribas SA 12/2026 -$598,421 -0.016%Credit Default Swap buy Axa SA (1%) Citibank, N.A.12/2026 -$605,177 -0.016%Credit Default Swap buy Akzo Nobel NV (1%)Citibank, N.A. 6/2024 -$641,616 -0.017%

Bonds Total: $368,464,955 9.7%

Short-Term/Money Market & Net Other Assets

Fidelity Cash Central Fund 0.06% $89,138,802 2.345% CF.TAXMM 31635A105 US31635A1051U.S. Treasury Bill 0.04% 12/2/21 $8,125,361 0.214% 9127965G0 US9127965G05 BMHSTG9U.S. Treasury Bill 0.02% 10/14/21 $3,059,970 0.080% 912796G52 US912796G525 BMCRW73U.S. Treasury Bill 0.07% 11/4/21 $1,296,967 0.034% 9127964W6 US9127964W63 BLB1VF0U.S. Treasury Bill 0.05% 11/12/21 $1,059,938 0.028% 912796H51 US912796H515 BNQQ6H1UniCredit SpA 6.572% 1/14/22 $501,947 0.013% %UCGM22A 904678AJ8 US904678AJ86 BJ2NYC9Thb 11/24/2021 Forward Cc $416,425 0.011%Gbp Spot Cc $370,494 0.010%Goldman Sachs Group, Inc. 2.876% 10/31/22 $329,863 0.009% %GS1022 38148YAC2 US38148YAC21 BYZKWW8Rub 11/24/2021 Forward Cc $327,868 0.009%Eur Spot Cc $288,854 0.008%Pln 11/24/2021 Forward Cc $271,159 0.007%U.S. Treasury Bill 0.04% 11/26/21 $231,977 0.006% 912796H77 US912796H770 BM9BQS7Czk 11/24/2021 Forward Cc $173,393 0.005%Chf Spot Cc $167,512 0.004%Egp 11/24/2021 Forward Cc $155,093 0.004%Myr 11/24/2021 Forward Cc $148,473 0.004%Huf 11/24/2021 Forward Cc $121,415 0.003%Citigroup, Inc. 2.7% 10/27/22 $117,868 0.003% %C1022 172967LQ2 US172967LQ21 BYWG519Hkd Spot Cc $74,694 0.002%U.S. Treasury Bill 0.08% 10/21/21 $69,997 0.002% 912796G60 US912796G608 BMG87F5Brl 11/24/2021 Forward Cc $66,659 0.002%Mxn 11/24/2021 Forward Cc $63,323 0.002%Morgan Stanley 4.875% 11/1/22 $59,583 0.002% %MS1122 6174824M3 US6174824M37 B6Z5NF7


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189

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLDeutsche Bank AG New York Branch 5% 2/14/22 $59,028 0.002% %DB222 251526CA5 US251526CA59 BJBZTC1AbbVie, Inc. 3.45% 3/15/22 $53,764 0.001% %ABVI22 00287YCS6 US00287YCS63 BMWTZV4Credit Suisse Group Funding Guernsey Ltd. 3.8%9/15/22 $48,109 0.001% %CS22 225433AH4 US225433AH43 BYVXP44Citigroup, Inc. 4.05% 7/30/22 $46,446 0.001% %CIT722 172967GK1 US172967GK16 B8RC822Cop 11/24/2021 Forward Cc $45,949 0.001%Clp 11/24/2021 Forward Cc $33,236 0.001%Volkswagen Group of America Finance LLC 2.9%5/13/22 $32,015 0.001% %VW522A 928668BC5 US928668BC59 BMV7683Air Lease Corp. 3.75% 2/1/22 $29,379 0.001% %AL22 00912XAQ7 US00912XAQ79 BV99GN9Zar 11/24/2021 Forward Cc $24,308 0.001%Idr 11/24/2021 Forward Cc $22,834 0.001%BBVA Bancomer SA Texas Branch 6.75% 9/30/22 $20,424 0.001% %BBVA22A 05533UAC2 US05533UAC27 B844FP3Viatris, Inc. 1.125% 6/22/22 $17,727 0.000% %UPJO22A 91533BAA8 US91533BAA89 BL57WH3Synchrony Bank 3% 6/15/22 $16,150 0.000% %SYF22 87166FAA1 US87166FAA12 BDD1FC7Try 11/24/2021 Forward Cc $15,265 0.000%Regency Energy Partners LP/Regency Energy FinanceCorp. 5.875% 3/1/22 $11,614 0.000% %RGP22 75886AAL2 US75886AAL26 BJSVP24Discover Financial Services 5.2% 4/27/22 $10,888 0.000% %DFS422 254709AG3 US254709AG33 B92LVK0Hewlett Packard Enterprise Co. 4.4% 10/15/22 $10,003 0.000% %HPE22 42824CAN9 US42824CAN92 BYXLJZ5Synchrony Financial 2.85% 7/25/22 $9,612 0.000% %SYF2022 87165BAQ6 US87165BAQ68 BJBL220Cad 10/1/2021 Forward Cc $6,826 0.000%Fox Corp. 3.666% 1/25/22 $4,671 0.000% %FOXA22 35137LAF2 US35137LAF22 BL96PJ9BB&T Corp. 3.95% 3/22/22 $4,342 0.000% %BBTC322 05531GAA9 US05531GAA94 B6Z5LL9Kimco Realty Corp. 3.375% 10/15/22 $3,224 0.000% %WRI1022 948741AH6 US948741AH62 B81VX75AerCap Ireland Capital Ltd./AerCap Global AviationTrust 3.5% 5/26/22 $2,143 0.000% %AER2022 00774MAA3 US00774MAA36 BZ072L0Prudential Financial, Inc. 4.5% 11/16/21 $1,904 0.000% %PRU21 74432QBT1 US74432QBT13 B78G9B2General Motors Financial Co., Inc. 3.45% 4/10/22 $1,638 0.000% %GM22 37045XAW6 US37045XAW65 BWTXKZ8Fifth Third Bancorp 3.5% 3/15/22 $1,532 0.000% %FITB22 316773CL2 US316773CL24 B4MRJP4Sempra Energy 2.875% 10/1/22 $1,522 0.000% %SRE22 816851AT6 US816851AT63 B81Z5C6Unknown Security $15 0.000%Unknown Security $0 0.000%Unknown Security $0 0.000%Pen 11/24/2021 Forward Cc -$6,250 -0.000%Aud 10/29/2021 Forward Cc -$11,955 -0.000%Inr 11/24/2021 Forward Cc -$25,012 -0.001%Php 11/24/2021 Forward Cc -$26,950 -0.001%Cad 10/29/2021 Forward Cc -$41,721 -0.001%


500 Salem Street


190

% of NetSecurity Name Market Value Assets Ticker CUSIP ISIN SEDOLRon 11/24/2021 Forward Cc -$51,203 -0.001%Eur 10/1/2021 Forward Cc -$213,182 -0.006%Jpy Spot Cc -$385,861 -0.010%Credit Default Swap buy Intesa Sanpaolo SpA (1%)JPMorgan Chase Bank, N.A. 12/2026 -$586,503 -0.015%Credit Default Swap buy Societe Generale (1%) BNPParibas SA 12/2026 -$601,692 -0.016%Credit Default Swap buy Deutsche Bank AG (1%)Citibank, N.A. 12/2026 -$604,336 -0.016%Cad Spot Cc -$763,244 -0.020%Eur 10/15/2021 Forward Cc -$7,310,475 -0.192%Gbp 10/29/2021 Forward Cc -$12,386,916 -0.326%Eur 10/29/2021 Forward Cc -$21,408,301 -0.563%

Short-Term/Money Market & Net Other Assets Total: $62,748,603 1.7%


500 Salem Street


191

portfolio holdings listing fidelity asset manager 85%

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