# EDGAR Filing Document

**Accession Number:** 0000795259
**File Stem:** 0001752724-23-025558
**Filing Date:** 2023-2
**Character Count:** 207104
**Document Hash:** 6f26356f79b94b24a69eb1d78811f2ea
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-025558.hdr.sgml**: 20230215

**ACCESSION NUMBER**: 0001752724-23-025558

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230215

**DATE AS OF CHANGE**: 20230215

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MUTUAL OF AMERICA INVESTMENT CORP
- **CENTRAL INDEX KEY:** 0000795259
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05084
- **FILM NUMBER:** 23634360

**BUSINESS ADDRESS:**
- **STREET 1:** 320 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022
- **BUSINESS PHONE:** (212)224-1600

**MAIL ADDRESS:**
- **STREET 1:** 320 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10022

## Series and Classes Contracts Data

### Bond Fund (Series ID: S000009395)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000025739 | Bond Fund Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Mutual of America Investment Corp

- **b. Investment Company Act file number:** 811-05084

- **c. CIK number of Registrant:** 0000795259

- **d. LEI of Registrant:** 2549004TRCWJFA4VU540

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 320 Park Ave

  - **City:** NY

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10022

  - **Telephone number:** 212-224-1600

**Item A.2. Information about the Series.**

- **a. Name of Series:** INV CORP BOND

- **b. EDGAR series identifier (if any):** S000009395

- **c. LEI of Series:** 25490015SZU4U4H18722

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1858162300.38

**Total Liabilities:** $20078634.15

**Net Assets:** $1838083666.23

**Cash Not Reported:** $320350.14

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 350.36939100 | **1-Year:** 32193.28248600 | **5-Year:** 204278.03989500 | **10-Year:** 257677.68442400 | **30-Year:** 0.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 951.76454600 | **5-Year:** 190.93202600 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025739 | -1.18%               | 3.38%                | -0.65%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-8145677.28             | $-16797743.82                              |
| Month 2  | $-1819629.97             | $58320918.02                               |
| Month 3  | $-1688994.44             | $-14731786.18                              |

### Schedule of Portfolio Investments

| Name                           | Title                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UMBS P#CB0869 3.5% 06/01/51    | FANNIE MAE POOL UMBS P#CB0869 3.50000000                               | CUSIP: 3140QK6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7288678 | NS      | $6645900.46   | 0.36%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#636445 7% 04/01/32      | FANNIE MAE POOL UMBS P#636445 7.00000000                               | CUSIP: 31389VBN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       251 | NS      | $252.79       | 0.00%             | 2032-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC2888 2.5% 04/01/51    | FREDDIE MAC POOL UMBS P#QC2888 2.50000000                              | CUSIP: 3133AMF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    923208 | NS      | $783955.40    | 0.04%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZI8476 4% 12/01/33      | FREDDIE MAC POOL UMBS P#ZI8476 4.00000000                              | CUSIP: 3131WMMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    495152 | NS      | $475578.18    | 0.03%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC 2.05% 09/11/26       | APPLE INC REGD 2.05000000                                              | CUSIP: 037833DN7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   5750000 | NS      | $5248560.21   | 0.29%             | 2026-09-11      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FHS 359 350 3.5% 10/15/47      | FREDDIE MAC STRIPS SER 359 CL 350 3.50000000                           | CUSIP: 3132J0SJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    466764 | NS      | $431527.70    | 0.02%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZA1085 5% 10/01/40      | FREDDIE MAC POOL UMBS P#ZA1085 5.00000000                              | CUSIP: 31329JF28<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    259554 | NS      | $262834.11    | 0.01%             | 2040-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#772047 4% 08/15/41      | GINNIE MAE I POOL P#772047 4.00000000                                  | CUSIP: 36176PP83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    353707 | NS      | $342396.78    | 0.02%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#741897 5% 10/01/33      | FANNIE MAE POOL UMBS P#741897 5.00000000                               | CUSIP: 31402YGE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3810 | NS      | $3890.96      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#255160 5.5% 03/01/24    | FANNIE MAE POOL UMBS P#255160 5.50000000                               | CUSIP: 31371LMH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16061 | NS      | $16103.66     | 0.00%             | 2024-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZL8594 4% 10/01/44      | FREDDIE MAC POOL UMBS P#ZL8594 4.00000000                              | CUSIP: 3131XQRP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    822707 | NS      | $786385.05    | 0.04%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1284 3% 12/01/42      | FANNIE MAE POOL UMBS P#MA1284 3.00000000                               | CUSIP: 31418ANA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    334251 | NS      | $300108.84    | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHR 2551 QK 5.5% 01/15/33      | FREDDIE MAC REMICS SER 2551 CL QK 5.50000000                           | CUSIP: 31393JBX5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     66733 | NS      | $67164.53     | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APTARGROUP INC 3.6% 03/15/32   | APTARGROUP INC REGD 3.60000000                                         | CUSIP: 038336AA1<br>LEI: VNPEQDQFAA7IY1T2PX43 | Long             | DBT              | CORP              | US        |   4430000 | NS      | $3662396.36   | 0.20%             | 2032-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE9773 4% 11/01/40      | FANNIE MAE POOL UMBS P#AE9773 4.00000000                               | CUSIP: 31419L2F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7033 | NS      | $6754.01      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL5233 4% 01/01/41      | FANNIE MAE POOL UMBS P#AL5233 4.00000000                               | CUSIP: 3138EMY70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27832 | NS      | $26728.94     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ5946 2.5% 11/01/50    | FANNIE MAE POOL UMBS P#BQ5946 2.50000000                               | CUSIP: 3140KRTC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1736379 | NS      | $1502268.99   | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ4338 3% 12/01/47      | FANNIE MAE POOL UMBS P#BJ4338 3.00000000                               | CUSIP: 3140H5ZC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    127199 | NS      | $112838.12    | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#489858 4% 11/15/41      | GINNIE MAE I POOL P#489858 4.00000000                                  | CUSIP: 36210EE70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    309795 | NS      | $299907.51    | 0.02%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZL8609 4% 10/01/44      | FREDDIE MAC POOL UMBS P#ZL8609 4.00000000                              | CUSIP: 3131XQR65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    313167 | NS      | $299960.20    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7011 3.5% 11/01/47    | FANNIE MAE POOL UMBS P#FM7011 3.50000000                               | CUSIP: 3140XAYH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5965508 | NS      | $5527873.04   | 0.30%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REINSURANCE GRP  4.7% 09/15/23 | REINSURANCE GRP OF AMER REGD MTN 4.70000000                            | CUSIP: 759351AL3<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |    980000 | NS      | $975319.13    | 0.05%             | 2023-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1865 4.5% 04/01/44    | FANNIE MAE POOL UMBS P#MA1865 4.50000000                               | CUSIP: 31418BCB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    760425 | NS      | $747096.63    | 0.04%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 4487 TA 3% 09/15/43        | FREDDIE MAC REMICS SER 4487 CL TA 3.00000000                           | CUSIP: 3137BK2H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    182267 | NS      | $177673.54    | 0.01%             | 2043-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BK1990 3.5% 04/01/48    | FANNIE MAE POOL UMBS P#BK1990 3.50000000                               | CUSIP: 3140HFF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    196493 | NS      | $178364.60    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#255874 4.5% 08/01/35    | FANNIE MAE POOL UMBS P#255874 4.50000000                               | CUSIP: 31371MFP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2115 | NS      | $2074.76      | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#738442 5.5% 09/01/33    | FANNIE MAE POOL UMBS P#738442 5.50000000                               | CUSIP: 31402ULX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1534 | NS      | $1549.30      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#786188 6.5% 07/01/34    | FANNIE MAE POOL UMBS P#786188 6.50000000                               | CUSIP: 31405DND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       804 | NS      | $824.18       | 0.00%             | 2034-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0574 2.5% 04/01/51    | FREDDIE MAC POOL UMBS P#SD0574 2.50000000                              | CUSIP: 3132DMT70<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6313132 | NS      | $5362554.85   | 0.29%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2007-6 PA 5.5% 02/25/37    | FANNIE MAE REMICS SER 2007-6 CL PA 5.50000000                          | CUSIP: 31396PRK9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      5963 | NS      | $5798.47      | 0.00%             | 2037-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#MA4423 2% 04/20/32   | GINNIE MAE II POOL P#MA4423 2.00000000                                 | CUSIP: 36179S4G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    529127 | NS      | $471445.12    | 0.03%             | 2032-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#778383 3.5% 07/15/42    | GINNIE MAE I POOL P#778383 3.50000000                                  | CUSIP: 36176WRC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    880490 | NS      | $828046.69    | 0.05%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA C V/R 01/23/26 | BANK OF AMERICA CORP REGD V/R 3.36600000                               | CUSIP: 06051GGZ6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5160000 | NS      | $4919964.75   | 0.27%             | 2026-01-23      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1546 3.5% 08/01/43    | FANNIE MAE POOL UMBS P#MA1546 3.50000000                               | CUSIP: 31418AWG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1602288 | NS      | $1496618.94   | 0.08%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA6906 3% 02/01/50      | FREDDIE MAC POOL UMBS P#QA6906 3.00000000                              | CUSIP: 3133A1U75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2152209 | NS      | $1924524.33   | 0.10%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#754732 5.5% 03/01/34    | FANNIE MAE POOL UMBS P#754732 5.50000000                               | CUSIP: 31403QPR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       364 | NS      | $364.70       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.75% 05/15/25    | UNITED STATES TREASURY NOTE 2.75000000                                 | CUSIP: 91282CEQ0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  30000000 | NS      | $28928906.40  | 1.57%             | 2025-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZL9378 3.5% 04/01/45    | FREDDIE MAC POOL UMBS P#ZL9378 3.50000000                              | CUSIP: 3131XRM35<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    821585 | NS      | $766308.39    | 0.04%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC1038 3% 04/01/51      | FREDDIE MAC POOL UMBS P#QC1038 3.00000000                              | CUSIP: 3133AKEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1232482 | NS      | $1083015.49   | 0.06%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANC 4.3% 01/16/24 | FIFTH THIRD BANCORP REGD 4.30000000                                    | CUSIP: 316773CP3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   4895000 | NS      | $4843875.45   | 0.26%             | 2024-01-16      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#931104 5% 05/01/39      | FANNIE MAE POOL UMBS P#931104 5.00000000                               | CUSIP: 31412PNV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    194257 | NS      | $195262.23    | 0.01%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#918503 5.5% 06/01/37    | FANNIE MAE POOL UMBS P#918503 5.50000000                               | CUSIP: 31411YNU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2286 | NS      | $2370.55      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP1357 3.5% 03/01/50    | FANNIE MAE POOL UMBS P#BP1357 3.50000000                               | CUSIP: 3140K8QK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3242248 | NS      | $2985019.18   | 0.16%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QN2424 2.5% 06/01/35    | FREDDIE MAC POOL UMBS P#QN2424 2.50000000                              | CUSIP: 3133G8VR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2036136 | NS      | $1868488.87   | 0.10%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MEAD JOHNSON N 4.125% 11/15/25 | MEAD JOHNSON NUTRITION C REGD 4.12500000                               | CUSIP: 582839AH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1910000 | NS      | $1870365.46   | 0.10%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1402 2% 03/01/52      | FANNIE MAE POOL UMBS P#FS1402 2.00000000                               | CUSIP: 3140XGRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5607047 | NS      | $4573895.67   | 0.25%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT7243 V/R 09/01/51     | FANNIE MAE POOL UMBS P#BT7243 V/R 1.81800000                           | CUSIP: 3140LWBM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10019677 | NS      | $8795649.80   | 0.48%             | 2051-09-01      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q12965 3% 11/01/42     | FREDDIE MAC GOLD POOL P#Q12965 3.00000000                              | CUSIP: 3132HPJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     19237 | NS      | $17525.00     | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CB0573 2.5% 05/01/46    | FANNIE MAE POOL UMBS P#CB0573 2.50000000                               | CUSIP: 3140QKT73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8145063 | NS      | $7021775.81   | 0.38%             | 2046-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3.125% 11/15/28   | UNITED STATES TREASURY NOTE 3.12500000                                 | CUSIP: 9128285M8<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3915000 | NS      | $3734084.17   | 0.20%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#786354 5.5% 07/01/34    | FANNIE MAE POOL UMBS P#786354 5.50000000                               | CUSIP: 31405DTK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2071 | NS      | $2096.32      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BC3490 3.5% 02/01/46    | FANNIE MAE POOL UMBS P#BC3490 3.50000000                               | CUSIP: 3140EX2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    551410 | NS      | $512626.43    | 0.03%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#254766 5% 06/01/33      | FANNIE MAE POOL UMBS P#254766 5.00000000                               | CUSIP: 31371K6B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3186 | NS      | $3248.58      | 0.00%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ1905 2% 10/01/50      | FANNIE MAE POOL UMBS P#BQ1905 2.00000000                               | CUSIP: 3140KMDK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3434788 | NS      | $2821252.69   | 0.15%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP7735 2.5% 10/01/50    | FANNIE MAE POOL UMBS P#BP7735 2.50000000                               | CUSIP: 3140KFSZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3019186 | NS      | $2565222.56   | 0.14%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.875% 05/15/49   | UNITED STATES TREASURY BOND 2.87500000                                 | CUSIP: 912810SH2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   6000000 | NS      | $4827890.64   | 0.26%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE4080 5% 06/01/52      | FREDDIE MAC POOL UMBS P#QE4080 5.00000000                              | CUSIP: 3133BDQ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6648470 | NS      | $6566338.79   | 0.36%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNS 411 A3 3% 08/25/42         | FANNIE MAE INTEREST STRIP SER 411 CL A3 3.00000000                     | CUSIP: 31395QCY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    507522 | NS      | $455807.72    | 0.02%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#757380 3% 07/15/46      | GINNIE MAE I POOL P#757380 3.00000000                                  | CUSIP: 36230SFV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1947030 | NS      | $1738829.11   | 0.09%             | 2046-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.125% 08/15/40   | UNITED STATES TREASURY BOND 1.12500000                                 | CUSIP: 912810SQ2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  60750000 | NS      | $37726698.92  | 2.05%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#254383 7.5% 06/01/32    | FANNIE MAE POOL UMBS P#254383 7.50000000                               | CUSIP: 31371KRC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19102 | NS      | $20165.09     | 0.00%             | 2032-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC V/R 03/17/33     | CITIGROUP INC REGD V/R 3.78500000                                      | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5330000 | NS      | $4558703.96   | 0.25%             | 2033-03-17      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q14428 3.5% 01/01/43   | FREDDIE MAC GOLD POOL P#Q14428 3.50000000                              | CUSIP: 3132HQ4M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20592 | NS      | $19297.54     | 0.00%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC0569 2.5% 04/01/51    | FREDDIE MAC POOL UMBS P#QC0569 2.50000000                              | CUSIP: 3133AJT29<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5071997 | NS      | $4355233.39   | 0.24%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.5% 11/30/28     | UNITED STATES TREASURY NOTE 1.50000000                                 | CUSIP: 91282CDL2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  14000000 | NS      | $12157578.16  | 0.66%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT0293 3% 03/01/43      | FANNIE MAE POOL UMBS P#AT0293 3.00000000                               | CUSIP: 3138WMKF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12952 | NS      | $11784.91     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#256490 5.5% 11/01/26    | FANNIE MAE POOL UMBS P#256490 5.50000000                               | CUSIP: 31371M2X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14545 | NS      | $14584.31     | 0.00%             | 2026-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#AC7671 3.5% 11/15/42    | GINNIE MAE I POOL P#AC7671 3.50000000                                  | CUSIP: 36179HQY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    280455 | NS      | $263232.16    | 0.01%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1010 3.5% 03/01/32    | FANNIE MAE POOL UMBS P#MA1010 3.50000000                               | CUSIP: 31418ADQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    297083 | NS      | $287686.13    | 0.02%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BT1891 2.5% 12/20/50 | GINNIE MAE II POOL P#BT1891 2.50000000                                 | CUSIP: 3617MQC46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5261099 | NS      | $4404300.27   | 0.24%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM9913 2% 07/01/36      | FANNIE MAE POOL UMBS P#FM9913 2.00000000                               | CUSIP: 3140XEAP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  26411430 | NS      | $23570765.24  | 1.28%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR3381 3.5% 12/01/42    | FANNIE MAE POOL UMBS P#AR3381 3.50000000                               | CUSIP: 3138W0XK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    891044 | NS      | $825708.31    | 0.04%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#790913 6% 09/01/34      | FANNIE MAE POOL UMBS P#790913 6.00000000                               | CUSIP: 31405JVE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       878 | NS      | $891.19       | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BX0633 6% 11/01/52      | FANNIE MAE POOL UMBS P#BX0633 6.00000000                               | CUSIP: 3140N4V38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5620158 | NS      | $5722382.16   | 0.31%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SIGNET UK FINANC 4.7% 06/15/24 | SIGNET UK FINANCE PLC REGD 4.70000000                                  | CUSIP: 82671AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   4945000 | NS      | $4796650.00   | 0.26%             | 2024-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2164 3.5% 02/01/35    | FANNIE MAE POOL UMBS P#MA2164 3.50000000                               | CUSIP: 31418BMN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    598210 | NS      | $571911.10    | 0.03%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q29186 4% 10/01/44     | FREDDIE MAC GOLD POOL P#Q29186 4.00000000                              | CUSIP: 3132M92T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15560 | NS      | $14920.67     | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J20528 2.5% 09/01/27   | FREDDIE MAC GOLD POOL P#J20528 2.50000000                              | CUSIP: 31306XSR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12921 | NS      | $12341.88     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BN4542 4.5% 02/01/49    | FANNIE MAE POOL UMBS P#BN4542 4.50000000                               | CUSIP: 3140JMBL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    350206 | NS      | $343161.03    | 0.02%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#254310 6% 05/01/32      | FANNIE MAE POOL UMBS P#254310 6.00000000                               | CUSIP: 31371KN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57749 | NS      | $59719.07     | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM1754 3% 09/01/46      | FREDDIE MAC POOL UMBS P#ZM1754 3.00000000                              | CUSIP: 3131XU5P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2174000 | NS      | $1947701.55   | 0.11%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU3685 2% 11/01/51      | FANNIE MAE POOL UMBS P#BU3685 2.00000000                               | CUSIP: 3140M5CX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3403159 | NS      | $2784065.27   | 0.15%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#795013 6% 10/01/34      | FANNIE MAE POOL UMBS P#795013 6.00000000                               | CUSIP: 31405PGW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4946 | NS      | $5023.18      | 0.00%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS6248 4% 05/01/26      | FREDDIE MAC POOL UMBS P#ZS6248 4.00000000                              | CUSIP: 3132A65H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     42814 | NS      | $41784.87     | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM0056 4.5% 07/01/42    | FANNIE MAE POOL UMBS P#FM0056 4.50000000                               | CUSIP: 3140X3B23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3426160 | NS      | $3396466.01   | 0.18%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#AO3451 3% 02/20/47   | GINNIE MAE II POOL P#AO3451 3.00000000                                 | CUSIP: 3617A3ZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1234846 | NS      | $1099626.48   | 0.06%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KEYSIGHT TECHNO 4.55% 10/30/24 | KEYSIGHT TECHNOLOGIES REGD 4.55000000                                  | CUSIP: 49338LAB9<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |   4895000 | NS      | $4819890.68   | 0.26%             | 2024-10-30      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATI 3.75% 10/01/25 | SYSCO CORPORATION REGD 3.75000000                                      | CUSIP: 871829AZ0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   3550000 | NS      | $3435170.99   | 0.19%             | 2025-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ALLSTATE CORP 0.75% 12/15/25   | ALLSTATE CORP REGD 0.75000000                                          | CUSIP: 020002BH3<br>LEI: OBT0W1ED8G0NWVOLOJ77 | Long             | DBT              | CORP              | US        |  10375000 | NS      | $9202749.60   | 0.50%             | 2025-12-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#644475 6.5% 05/01/32    | FANNIE MAE POOL UMBS P#644475 6.50000000                               | CUSIP: 31390E6L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70547 | NS      | $72309.40     | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.25% 05/31/28    | UNITED STATES TREASURY NOTE 1.25000000                                 | CUSIP: 91282CCE9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  10100000 | NS      | $8744390.63   | 0.48%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.375% 05/15/29   | UNITED STATES TREASURY NOTE 2.37500000                                 | CUSIP: 9128286T2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2000000 | NS      | $1818125.00   | 0.10%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNO 2.75% 04/01/31 | TELEDYNE TECHNOLOGIES IN REGD 2.75000000                               | CUSIP: 879360AE5<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |  10450000 | NS      | $8544974.82   | 0.46%             | 2031-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZA2375 3.5% 04/01/35    | FREDDIE MAC POOL UMBS P#ZA2375 3.50000000                              | CUSIP: 31329KT87<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    403773 | NS      | $386983.40    | 0.02%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE4310 4% 06/01/52      | FREDDIE MAC POOL UMBS P#QE4310 4.00000000                              | CUSIP: 3133BDYF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5005188 | NS      | $4706764.42   | 0.26%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AID-SRI LANKA 6.585% 09/15/28  | AID-SRI LANKA REGD 6.58500000                                          | CUSIP: 85227SAG1<br>LEI: N/A                  | Long             | DBT              | USGA              | LK        |   1773803 | NS      | $1825522.56   | 0.10%             | 2028-09-15      | Fixed         | 6.58%                 | No            |                  3 | On Loan: No      |
| FGLMC P#C01832 4.5% 03/01/34   | FREDDIE MAC GOLD POOL P#C01832 4.50000000                              | CUSIP: 31292JA91<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      3306 | NS      | $3254.30      | 0.00%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.125% 02/29/28   | UNITED STATES TREASURY NOTE 1.12500000                                 | CUSIP: 91282CBP5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  50000000 | NS      | $43291015.50  | 2.36%             | 2028-02-29      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA P#748591 4.5% 09/15/30    | GINNIE MAE I POOL P#748591 4.50000000                                  | CUSIP: 3620C4UQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    192588 | NS      | $188022.48    | 0.01%             | 2030-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WI TREASURY SE 2.625% 04/15/25 | WI TREASURY N/B REGD 2.62500000                                        | CUSIP: 91282CEH0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  17450000 | NS      | $16794261.81  | 0.91%             | 2025-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM6448 4.5% 05/01/48    | FREDDIE MAC POOL UMBS P#ZM6448 4.50000000                              | CUSIP: 3131Y1EV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    472005 | NS      | $463141.75    | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP6345 3% 06/01/50      | FANNIE MAE POOL UMBS P#BP6345 3.00000000                               | CUSIP: 3140KEBP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4364339 | NS      | $3853535.54   | 0.21%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.25% 11/15/27    | UNITED STATES TREASURY NOTE 2.25000000                                 | CUSIP: 9128283F5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  50535000 | NS      | $46567213.14  | 2.53%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#545082 7.5% 06/01/31    | FANNIE MAE POOL UMBS P#545082 7.50000000                               | CUSIP: 31385HRB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       108 | NS      | $111.15       | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM3286 4.5% 11/01/47    | FANNIE MAE POOL UMBS P#BM3286 4.50000000                               | CUSIP: 3140J7UL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    877719 | NS      | $875440.71    | 0.05%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CG9061 3% 10/20/51   | GINNIE MAE II POOL P#CG9061 3.00000000                                 | CUSIP: 3617WPB63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5932342 | NS      | $5164991.11   | 0.28%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#733970 4.5% 10/15/40    | GINNIE MAE I POOL P#733970 4.50000000                                  | CUSIP: 3620AMMT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    465775 | NS      | $462810.54    | 0.03%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLB D/N 01/04/23              | FEDERAL HOME LOAN BANK DISCOUNT NOTES 0.00000000                       | CUSIP: 313384AD1<br>LEI: N/A                  | Long             | STIV             | USGA              | US        |  12000000 | PA      | $11996600.00  | 0.65%             | 2023-01-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM3635 3% 03/01/50      | FANNIE MAE POOL UMBS P#FM3635 3.00000000                               | CUSIP: 3140X7BD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9077952 | NS      | $8036027.19   | 0.44%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB3087 4% 05/01/41      | FANNIE MAE POOL UMBS P#AB3087 4.00000000                               | CUSIP: 31416YND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    196305 | NS      | $187172.31    | 0.01%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4587 2.5% 04/01/42    | FANNIE MAE POOL UMBS P#MA4587 2.50000000                               | CUSIP: 31418ECZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12405606 | NS      | $10788010.72  | 0.59%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS2523 5% 06/01/52      | FANNIE MAE POOL UMBS P#FS2523 5.00000000                               | CUSIP: 3140XHYV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15918313 | NS      | $15698174.82  | 0.85%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR7093 2.5% 03/01/51    | FANNIE MAE POOL UMBS P#BR7093 2.50000000                               | CUSIP: 3140L53B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7004512 | NS      | $6043947.16   | 0.33%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA3750 2.5% 10/01/50    | FREDDIE MAC POOL UMBS P#RA3750 2.50000000                              | CUSIP: 3133KKEX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4120178 | NS      | $3500389.39   | 0.19%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.25% 09/30/28    | UNITED STATES TREASURY NOTE 1.25000000                                 | CUSIP: 91282CCY5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   7000000 | NS      | $6011796.84   | 0.33%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#AE5471 4.5% 10/01/40    | FANNIE MAE POOL UMBS P#AE5471 4.50000000                               | CUSIP: 31419GCH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51218 | NS      | $50626.66     | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AW1023 4.5% 03/01/44    | FANNIE MAE POOL UMBS P#AW1023 4.50000000                               | CUSIP: 3138XQD57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    486831 | NS      | $478244.27    | 0.03%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS 3.75% 06/01/23 | GLOBAL PAYMENTS INC REGD 3.75000000                                    | CUSIP: 891906AB5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   4000000 | NS      | $3974511.96   | 0.22%             | 2023-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BEST BUY CO INC 1.95% 10/01/30 | BEST BUY CO INC REGD 1.95000000                                        | CUSIP: 08652BAB5<br>LEI: HL5XPTVRV0O8TUN5LL90 | Long             | DBT              | CORP              | US        |   3615000 | NS      | $2860340.84   | 0.16%             | 2030-10-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#254868 5% 09/01/33      | FANNIE MAE POOL UMBS P#254868 5.00000000                               | CUSIP: 31371LCD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2549 | NS      | $2572.19      | 0.00%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#AL5503 3.5% 03/20/45 | GINNIE MAE II POOL P#AL5503 3.50000000                                 | CUSIP: 36184CDG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    935721 | NS      | $850951.45    | 0.05%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZA3221 3% 11/01/46      | FREDDIE MAC POOL UMBS P#ZA3221 3.00000000                              | CUSIP: 31329LSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    265517 | NS      | $235042.34    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#905844 6% 01/01/37      | FANNIE MAE POOL UMBS P#905844 6.00000000                               | CUSIP: 31411ELZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50227 | NS      | $52436.64     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4550 3.5% 02/01/52    | FANNIE MAE POOL UMBS P#MA4550 3.50000000                               | CUSIP: 31418EBU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7624846 | NS      | $6938055.01   | 0.38%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2655 4% 06/01/36      | FANNIE MAE POOL UMBS P#MA2655 4.00000000                               | CUSIP: 31418B5R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    314687 | NS      | $303007.37    | 0.02%             | 2036-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM6846 2.5% 04/01/51    | FANNIE MAE POOL UMBS P#FM6846 2.50000000                               | CUSIP: 3140XATC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10083104 | NS      | $8571140.06   | 0.47%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0252 3% 04/01/43      | FREDDIE MAC POOL UMBS P#SD0252 3.00000000                              | CUSIP: 3132DMH57<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3357591 | NS      | $3055389.66   | 0.17%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#995676 4.5% 05/01/39    | FANNIE MAE POOL UMBS P#995676 4.50000000                               | CUSIP: 31416CCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    340648 | NS      | $337170.25    | 0.02%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE7023 4% 08/01/52      | FREDDIE MAC POOL UMBS P#QE7023 4.00000000                              | CUSIP: 3133BGYU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4203380 | NS      | $3952520.75   | 0.22%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRUNSWICK CORP 2.4% 08/18/31   | BRUNSWICK CORP REGD 2.40000000                                         | CUSIP: 117043AT6<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |   7970000 | NS      | $5859512.76   | 0.32%             | 2031-08-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0254 3.5% 01/01/44    | FREDDIE MAC POOL UMBS P#SD0254 3.50000000                              | CUSIP: 3132DMH73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9108029 | NS      | $8525836.80   | 0.46%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AY4598 3% 02/01/45      | FANNIE MAE POOL UMBS P#AY4598 3.00000000                               | CUSIP: 3138YJDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    912830 | NS      | $824598.50    | 0.04%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS2670 3.5% 10/01/43    | FANNIE MAE POOL UMBS P#AS2670 3.50000000                               | CUSIP: 3138WB6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    213595 | NS      | $204780.74    | 0.01%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.875% 05/15/32   | UNITED STATES TREASURY NOTE 2.87500000                                 | CUSIP: 91282CEP2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  63000000 | NS      | $58058437.50  | 3.16%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM3236 4% 05/01/47      | FREDDIE MAC POOL UMBS P#ZM3236 4.00000000                              | CUSIP: 3131XWSZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    373662 | NS      | $356920.41    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#791587 5.5% 09/01/34    | FANNIE MAE POOL UMBS P#791587 5.50000000                               | CUSIP: 31405KNC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2196 | NS      | $2202.57      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZL8610 4% 10/01/44      | FREDDIE MAC POOL UMBS P#ZL8610 4.00000000                              | CUSIP: 3131XQR73<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    466797 | NS      | $447112.62    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA1992 2.5% 01/01/50    | FREDDIE MAC POOL UMBS P#RA1992 2.50000000                              | CUSIP: 3133KHF92<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1317735 | NS      | $1125973.44   | 0.06%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RE0013 3.5% 09/01/50    | FREDDIE MAC POOL UMBS P#RE0013 3.50000000                              | CUSIP: 3133LWAN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2637022 | NS      | $2469013.69   | 0.13%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES  3.75% 02/01/23 | TECK RESOURCES LIMITED REGD 3.75000000                                 | CUSIP: 878742AY1<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |    980000 | NS      | $979966.47    | 0.05%             | 2023-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1348 2.5% 02/01/33    | FANNIE MAE POOL UMBS P#MA1348 2.50000000                               | CUSIP: 31418AQA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    568397 | NS      | $517699.25    | 0.03%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM5690 4% 02/01/48      | FREDDIE MAC POOL UMBS P#ZM5690 4.00000000                              | CUSIP: 3131Y0KB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    338661 | NS      | $322911.97    | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1490 3% 07/01/33      | FANNIE MAE POOL UMBS P#MA1490 3.00000000                               | CUSIP: 31418AUQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    805103 | NS      | $754912.43    | 0.04%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#770444 5% 04/01/34      | FANNIE MAE POOL UMBS P#770444 5.00000000                               | CUSIP: 31404J5D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       692 | NS      | $706.78       | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD0339 2.5% 11/01/51    | FREDDIE MAC POOL UMBS P#QD0339 2.50000000                              | CUSIP: 3133AWLU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2956145 | NS      | $2509490.25   | 0.14%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM0183 3.5% 09/01/45    | FREDDIE MAC POOL UMBS P#ZM0183 3.50000000                              | CUSIP: 3131XTFY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    500893 | NS      | $465737.53    | 0.03%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR7095 2.5% 04/01/51    | FANNIE MAE POOL UMBS P#BR7095 2.50000000                               | CUSIP: 3140L53D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3906937 | NS      | $3343270.28   | 0.18%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ9930 4% 04/01/48      | FANNIE MAE POOL UMBS P#BJ9930 4.00000000                               | CUSIP: 3140HCA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    249707 | NS      | $238134.57    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 01/03/23         | UNITED STATES TREASURY BILL ZCP 0.00000000                             | CUSIP: 912796ZH5<br>LEI: N/A                  | Long             | STIV             | UST               | US        |   1700000 | PA      | $1699722.24   | 0.09%             | 2023-01-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR5817 2.5% 08/01/51    | FANNIE MAE POOL UMBS P#BR5817 2.50000000                               | CUSIP: 3140L4PB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1320721 | NS      | $1126085.33   | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.875% 05/15/28   | UNITED STATES TREASURY NOTE 2.87500000                                 | CUSIP: 9128284N7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  39165000 | NS      | $36954319.43  | 2.01%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.25% 06/30/28    | UNITED STATES TREASURY NOTE 1.25000000                                 | CUSIP: 91282CCH2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  36950000 | NS      | $31948759.86  | 1.74%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#BF0125 4% 07/01/56      | FANNIE MAE POOL UMBS P#BF0125 4.00000000                               | CUSIP: 3140FXD74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2792513 | NS      | $2674664.54   | 0.15%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT7969 5% 10/01/52      | FANNIE MAE POOL UMBS P#BT7969 5.00000000                               | CUSIP: 3140LW2B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2162881 | NS      | $2132970.42   | 0.12%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#797806 5% 04/01/35      | FANNIE MAE POOL UMBS P#797806 5.00000000                               | CUSIP: 31405SKT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2093 | NS      | $2137.36      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4793 3.5% 04/01/45    | FANNIE MAE POOL UMBS P#AS4793 3.50000000                               | CUSIP: 3138WEKF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    868102 | NS      | $808306.59    | 0.04%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#809707 5.5% 02/01/35    | FANNIE MAE POOL UMBS P#809707 5.50000000                               | CUSIP: 31406GR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1877 | NS      | $1931.83      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#761473 4.29% 04/15/41   | GINNIE MAE I POOL P#761473 4.29000000                                  | CUSIP: 36176BXA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12678 | NS      | $12516.22     | 0.00%             | 2041-04-15      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1561 3% 09/01/33      | FANNIE MAE POOL UMBS P#MA1561 3.00000000                               | CUSIP: 31418AWX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    975681 | NS      | $915156.08    | 0.05%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AP3585 3.5% 08/01/42    | FANNIE MAE POOL UMBS P#AP3585 3.50000000                               | CUSIP: 3138M66X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22463 | NS      | $21023.17     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AA6022 4.5% 05/01/39    | FANNIE MAE POOL UMBS P#AA6022 4.50000000                               | CUSIP: 31416PVQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    247352 | NS      | $245110.86    | 0.01%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#918930 6% 05/01/37      | FANNIE MAE POOL UMBS P#918930 6.00000000                               | CUSIP: 31411Y4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9089 | NS      | $9123.53      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 01/24/23         | UNITED STATES TREASURY BILL ZCP 0.00000000                             | CUSIP: 912796ZL6<br>LEI: N/A                  | Long             | STIV             | UST               | US        |  22000000 | PA      | $21948867.30  | 1.19%             | 2023-01-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#AN0946 3.5% 05/20/45 | GINNIE MAE II POOL P#AN0946 3.50000000                                 | CUSIP: 36185GBP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1018585 | NS      | $950158.00    | 0.05%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT1113 3.5% 06/01/43    | FREDDIE MAC POOL UMBS P#ZT1113 3.50000000                              | CUSIP: 3132ADGW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    701176 | NS      | $654941.20    | 0.04%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT5071 2.5% 06/01/51    | FANNIE MAE POOL UMBS P#BT5071 2.50000000                               | CUSIP: 3140LTT53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2080938 | NS      | $1766857.17   | 0.10%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM0051 4.5% 12/01/39    | FANNIE MAE POOL UMBS P#FM0051 4.50000000                               | CUSIP: 3140X3BV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1452482 | NS      | $1431728.81   | 0.08%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 4745 VD 4% 01/15/40        | FREDDIE MAC REMICS SER 4745 CL VD 4.00000000                           | CUSIP: 3137FDCW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2000000 | NS      | $1933638.20   | 0.11%             | 2040-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#749373 5% 11/01/33      | FANNIE MAE POOL UMBS P#749373 5.00000000                               | CUSIP: 31403HQ29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4583 | NS      | $4663.42      | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC 2.75% 06/01/31        | AT&T INC REGD SER * 2.75000000                                         | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  10048000 | NS      | $8326919.18   | 0.45%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#257247 5.5% 06/01/48    | FANNIE MAE POOL UMBS P#257247 5.50000000                               | CUSIP: 31371NWG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39495 | NS      | $40083.74     | 0.00%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 09/14/33 | JPMORGAN CHASE & CO REGD V/R 5.71700000                                | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   7135000 | NS      | $6964141.37   | 0.38%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GR 2.6% 02/07/30 | GOLDMAN SACHS GROUP INC REGD 2.60000000                                | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   9000000 | NS      | $7510672.26   | 0.41%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| UMBS P#898171 6.5% 09/01/36    | FANNIE MAE POOL UMBS P#898171 6.50000000                               | CUSIP: 31410U2C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8118 | NS      | $8241.76      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#738107 4% 03/15/41      | GINNIE MAE I POOL P#738107 4.00000000                                  | CUSIP: 3620ASAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    200686 | NS      | $193280.42    | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US T BILL ZCP 01/12/23         | UNITED STATES TREASURY BILL ZCP 0.00000000                             | CUSIP: 912796XR5<br>LEI: N/A                  | Long             | STIV             | UST               | US        |  10000000 | PA      | $9989615.39   | 0.54%             | 2023-01-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G04693 5.5% 07/01/32   | FREDDIE MAC GOLD POOL P#G04693 5.50000000                              | CUSIP: 3128M6RN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      1862 | NS      | $1906.30      | 0.00%             | 2032-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONICS  4% 04/01/25 | ARROW ELECTRONICS INC REGD 4.00000000                                  | CUSIP: 042735BE9<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    980000 | NS      | $945839.12    | 0.05%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE 3.875% 09/10/24 | JPMORGAN CHASE & CO REGD 3.87500000                                    | CUSIP: 46625HJY7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   4355000 | NS      | $4262976.59   | 0.23%             | 2024-09-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA5615 3% 12/01/49      | FREDDIE MAC POOL UMBS P#QA5615 3.00000000                              | CUSIP: 3133A0GY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1472512 | NS      | $1302785.16   | 0.07%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.5% 2/15/25      | UNITED STATES TREASURY NOTE 1.50000000                                 | CUSIP: 91282CDZ1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  11975000 | NS      | $11272404.24  | 0.61%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC 3.25% 04/15/25    | AUTOZONE INC REGD 3.25000000                                           | CUSIP: 053332AR3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   7363000 | NS      | $7056412.26   | 0.38%             | 2025-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO7843 3% 03/01/50      | FANNIE MAE POOL UMBS P#BO7843 3.00000000                               | CUSIP: 3140K3WD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1429273 | NS      | $1264858.25   | 0.07%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BE7137 4% 02/01/47      | FANNIE MAE POOL UMBS P#BE7137 4.00000000                               | CUSIP: 3140FS4X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1213407 | NS      | $1166097.27   | 0.06%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2550 3% 03/01/36      | FANNIE MAE POOL UMBS P#MA2550 3.00000000                               | CUSIP: 31418BZQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    856402 | NS      | $794526.68    | 0.04%             | 2036-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#745870 5% 10/01/36      | FANNIE MAE POOL UMBS P#745870 5.00000000                               | CUSIP: 31403DT33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1704 | NS      | $1740.26      | 0.00%             | 2036-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#966857 6% 12/01/37      | FANNIE MAE POOL UMBS P#966857 6.00000000                               | CUSIP: 31414HTN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       354 | NS      | $367.99       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7310 2.5% 05/01/51    | FANNIE MAE POOL UMBS P#FM7310 2.50000000                               | CUSIP: 3140XBDQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1735422 | NS      | $1488676.27   | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/26      | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                     | CUSIP: 912833PA2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  14080000 | NS      | $12118216.56  | 0.66%             | 2026-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP6546 3% 08/01/50      | FANNIE MAE POOL UMBS P#BP6546 3.00000000                               | CUSIP: 3140KEHY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2719682 | NS      | $2398738.68   | 0.13%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER 5.55% 02/15/28 | ENERGY TRANSFER LP REGD 5.55000000                                     | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1775000 | NS      | $1760675.75   | 0.10%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE0105 5% 04/01/52      | FREDDIE MAC POOL UMBS P#QE0105 5.00000000                              | CUSIP: 3133B9DJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3898545 | NS      | $3853483.67   | 0.21%             | 2052-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZN5898 3% 05/01/49      | FREDDIE MAC POOL UMBS P#ZN5898 3.00000000                              | CUSIP: 3131YCRT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2299957 | NS      | $2035792.97   | 0.11%             | 2049-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRE 3.625% 12/05/24 | AMERICAN EXPRESS CO REGD 3.62500000                                    | CUSIP: 025816BK4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   4895000 | NS      | $4765557.06   | 0.26%             | 2024-12-05      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR6500 2.5% 03/01/51    | FANNIE MAE POOL UMBS P#BR6500 2.50000000                               | CUSIP: 3140L5GJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6944185 | NS      | $5956894.93   | 0.32%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZN0188 3% 09/01/46      | FREDDIE MAC POOL UMBS P#ZN0188 3.00000000                              | CUSIP: 3131Y6F53<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    996278 | NS      | $894795.19    | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV5046 5.5% 06/01/52    | FANNIE MAE POOL UMBS P#BV5046 5.50000000                               | CUSIP: 3140MJTC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1228769 | NS      | $1233099.57   | 0.07%             | 2052-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC 4.25% 11/14/28      | ABBVIE INC REGD 4.25000000                                             | CUSIP: 00287YBF5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   8830000 | NS      | $8517173.14   | 0.46%             | 2028-11-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J19599 3% 06/01/27     | FREDDIE MAC GOLD POOL P#J19599 3.00000000                              | CUSIP: 3128Q0UY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      7186 | NS      | $6935.65      | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A97415 4% 03/01/41     | FREDDIE MAC GOLD POOL P#A97415 4.00000000                              | CUSIP: 312946GY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      6898 | NS      | $6632.06      | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ6015 2.5% 12/01/50    | FANNIE MAE POOL UMBS P#BQ6015 2.50000000                               | CUSIP: 3140KRVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1721144 | NS      | $1479106.69   | 0.08%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#CG9023 2.5% 10/20/51 | GINNIE MAE II POOL P#CG9023 2.50000000                                 | CUSIP: 3617WPAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4620841 | NS      | $3912560.88   | 0.21%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 4408 PB 3% 04/15/44        | FREDDIE MAC REMICS SER 4408 CL PB 3.00000000                           | CUSIP: 3137BFCY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    239269 | NS      | $222363.21    | 0.01%             | 2044-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS3332 4% 07/01/41      | FREDDIE MAC POOL UMBS P#ZS3332 4.00000000                              | CUSIP: 3132A3VZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    367623 | NS      | $354233.14    | 0.02%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BW3331 4% 07/01/52      | FANNIE MAE POOL UMBS P#BW3331 4.00000000                               | CUSIP: 3140MUVZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4750855 | NS      | $4472476.85   | 0.24%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM6124 2.5% 01/01/51    | FANNIE MAE POOL UMBS P#FM6124 2.50000000                               | CUSIP: 3140X9YW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9408939 | NS      | $8080762.16   | 0.44%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHR 4732 QL 3% 04/15/45        | FREDDIE MAC REMICS SER 4732 CL QL 3.00000000                           | CUSIP: 3137FBNG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    122299 | NS      | $119673.13    | 0.01%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC P#1G1677 V/R 04/01/37    | FREDDIE MAC NON GOLD POOL P#1G1677 V/R 2.90900000                      | CUSIP: 3128QJ2J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31538 | NS      | $31345.55     | 0.00%             | 2037-04-01      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.375% 11/15/31   | UNITED STATES TREASURY NOTE 1.37500000                                 | CUSIP: 91282CDJ7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  14000000 | NS      | $11394687.50  | 0.62%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP7765 2.5% 12/01/50    | FANNIE MAE POOL UMBS P#BP7765 2.50000000                               | CUSIP: 3140KFTX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1948692 | NS      | $1655360.93   | 0.09%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM8399 2.5% 08/01/51    | FANNIE MAE POOL UMBS P#FM8399 2.50000000                               | CUSIP: 3140XCKM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12590898 | NS      | $10734653.49  | 0.58%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTIC 3.5% 03/30/25 | QUEST DIAGNOSTICS INC REGD 3.50000000                                  | CUSIP: 74834LAX8<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    685000 | NS      | $660007.76    | 0.04%             | 2025-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#AB2158 4% 08/20/42   | GINNIE MAE II POOL P#AB2158 4.00000000                                 | CUSIP: 36178MMF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    259111 | NS      | $251078.38    | 0.01%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANC 3.7% 08/04/26 | SYNCHRONY FINANCIAL REGD 3.70000000                                    | CUSIP: 87165BAL7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   2745000 | NS      | $2525138.54   | 0.14%             | 2026-08-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA II P#763145 4.5% 04/20/31 | GINNIE MAE II POOL P#763145 4.50000000                                 | CUSIP: 36176DTA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6597 | NS      | $6475.73      | 0.00%             | 2031-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS7645 3% 02/01/32      | FREDDIE MAC POOL UMBS P#ZS7645 3.00000000                              | CUSIP: 3132A8P60<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1686854 | NS      | $1613575.46   | 0.09%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BY1522 3.5% 12/20/50 | GINNIE MAE II POOL P#BY1522 3.50000000                                 | CUSIP: 3617QHVP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    629141 | NS      | $578097.15    | 0.03%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC P#8D6008 V/R 10/01/51    | FREDDIE MAC NON GOLD POOL P#8D6008 V/R 1.92400000                      | CUSIP: 3142BUU97<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  12321434 | NS      | $10817760.02  | 0.59%             | 2051-10-01      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA0713 4.5% 11/01/47    | FANNIE MAE POOL UMBS P#CA0713 4.50000000                               | CUSIP: 3140Q7YK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    916019 | NS      | $899193.35    | 0.05%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#J20061 3% 08/01/27     | FREDDIE MAC GOLD POOL P#J20061 3.00000000                              | CUSIP: 31306XB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9033 | NS      | $8704.25      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.75% 08/15/47    | UNITED STATES TREASURY BOND 2.75000000                                 | CUSIP: 912810RY6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9790000 | NS      | $7638112.08   | 0.42%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G30284 5% 02/01/26     | FREDDIE MAC GOLD POOL P#G30284 5.00000000                              | CUSIP: 3128CUJ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       433 | NS      | $431.85       | 0.00%             | 2026-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY  3.55% 05/01/27 | NEXTERA ENERGY CAPITAL REGD 3.55000000                                 | CUSIP: 65339KAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4777000 | NS      | $4500520.81   | 0.24%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| UMBS P#QD9525 4% 03/01/52      | FREDDIE MAC POOL UMBS P#QD9525 4.00000000                              | CUSIP: 3133B7SN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7011564 | NS      | $6578581.39   | 0.36%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINAN V/R 05/10/28 | CAPITAL ONE FINANCIAL CO REGD V/R 4.92700000                           | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3165000 | NS      | $3064059.22   | 0.17%             | 2028-05-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIAL 3.9% 10/01/25 | APPLIED MATERIALS INC REGD 3.90000000                                  | CUSIP: 038222AJ4<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |   9920000 | NS      | $9698853.84   | 0.53%             | 2025-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q13271 4% 11/01/42     | FREDDIE MAC GOLD POOL P#Q13271 4.00000000                              | CUSIP: 3132HPT46<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      5804 | NS      | $5599.12      | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#739633 5.5% 10/01/33    | FANNIE MAE POOL UMBS P#739633 5.50000000                               | CUSIP: 31402VV23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3827 | NS      | $3865.22      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTI 3.25% 01/30/31 | BOSTON PROPERTIES LP REGD 3.25000000                                   | CUSIP: 10112RBD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6488000 | NS      | $5363491.28   | 0.29%             | 2031-01-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#SB0396 3% 07/01/35      | FREDDIE MAC POOL UMBS P#SB0396 3.00000000                              | CUSIP: 3132CWNM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    682797 | NS      | $640908.27    | 0.03%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5023 3.5% 11/01/39    | FREDDIE MAC POOL UMBS P#RB5023 3.50000000                              | CUSIP: 3133KYSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2152281 | NS      | $2020109.16   | 0.11%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINAN 2.75% 05/14/31 | BUNGE LTD FINANCE CORP REGD 2.75000000                                 | CUSIP: 120568BC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4150000 | NS      | $3405995.72   | 0.19%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ7555 2.5% 10/01/50    | FANNIE MAE POOL UMBS P#BQ7555 2.50000000                               | CUSIP: 3140KTMD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1671097 | NS      | $1431285.12   | 0.08%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS3092 3.5% 01/01/41    | FREDDIE MAC POOL UMBS P#ZS3092 3.50000000                              | CUSIP: 3132A3NH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    358726 | NS      | $335756.32    | 0.02%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AD4927 5% 06/01/40      | FANNIE MAE POOL UMBS P#AD4927 5.00000000                               | CUSIP: 31418SPM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3233 | NS      | $3273.42      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#790874 6.5% 09/01/34    | FANNIE MAE POOL UMBS P#790874 6.50000000                               | CUSIP: 31405JT79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       371 | NS      | $382.20       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BZ0238 2.5% 03/20/51 | GINNIE MAE II POOL P#BZ0238 2.50000000                                 | CUSIP: 3617QUHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1979798 | NS      | $1656784.35   | 0.09%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q17285 3.5% 04/01/43   | FREDDIE MAC GOLD POOL P#Q17285 3.50000000                              | CUSIP: 3132J8RF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     21644 | NS      | $20019.42     | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#696231 6% 04/01/33      | FANNIE MAE POOL UMBS P#696231 6.00000000                               | CUSIP: 31400SPQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    101168 | NS      | $102715.08    | 0.01%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 3% 07/15/25       | UNITED STATES TREASURY NOTE 3.00000000                                 | CUSIP: 91282CEY3<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   2010000 | NS      | $1946873.44   | 0.11%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AFLAC INC 1.125% 03/15/26      | AFLAC INC REGD 1.12500000                                              | CUSIP: 001055BK7<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |   4380000 | NS      | $3880548.03   | 0.21%             | 2026-03-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0253 3% 04/01/43      | FREDDIE MAC POOL UMBS P#SD0253 3.00000000                              | CUSIP: 3132DMH65<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5337030 | NS      | $4856551.15   | 0.26%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALT 2.875% 09/15/29 | ELEVANCE HEALTH INC REGD 2.87500000                                    | CUSIP: 036752AL7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   7245000 | NS      | $6365302.32   | 0.35%             | 2029-09-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#BK2619 2.5% 06/01/50    | FANNIE MAE POOL UMBS P#BK2619 2.50000000                               | CUSIP: 3140HF4D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4181316 | NS      | $3566659.38   | 0.19%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BX0639 5% 11/01/52      | FANNIE MAE POOL UMBS P#BX0639 5.00000000                               | CUSIP: 3140N4V95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3343216 | NS      | $3304671.90   | 0.18%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZL9867 3.5% 07/01/45    | FREDDIE MAC POOL UMBS P#ZL9867 3.50000000                              | CUSIP: 3131XR6C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    949447 | NS      | $885317.58    | 0.05%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#924096 6.5% 05/01/37    | FANNIE MAE POOL UMBS P#924096 6.50000000                               | CUSIP: 31412FUV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     77694 | NS      | $77843.05     | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB3658 3.5% 10/01/41    | FANNIE MAE POOL UMBS P#AB3658 3.50000000                               | CUSIP: 31417AB40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    455453 | NS      | $424719.71    | 0.02%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q49942 3.5% 08/01/47   | FREDDIE MAC GOLD POOL P#Q49942 3.50000000                              | CUSIP: 3132WQBL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2791642 | NS      | $2592046.07   | 0.14%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNR 2016-24 TA 3% 04/25/42     | FANNIE MAE REMICS SER 2016-24 CL TA 3.00000000                         | CUSIP: 3136ASJA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    115318 | NS      | $113241.06    | 0.01%             | 2042-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU4279 3% 09/01/43      | FANNIE MAE POOL UMBS P#AU4279 3.00000000                               | CUSIP: 3138X3XH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37812 | NS      | $34407.14     | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT5867 2.5% 08/01/51    | FANNIE MAE POOL UMBS P#BT5867 2.50000000                               | CUSIP: 3140LUQV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2839927 | NS      | $2413345.46   | 0.13%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#745364 4.5% 06/20/30 | GINNIE MAE II POOL P#745364 4.50000000                                 | CUSIP: 3620C1B96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16146 | NS      | $15982.88     | 0.00%             | 2030-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4999 2.5% 12/01/50    | FANNIE MAE POOL UMBS P#FM4999 2.50000000                               | CUSIP: 3140X8RV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2529440 | NS      | $2184439.48   | 0.12%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC 4.25% 05/20/32    | QUALCOMM INC REGD 4.25000000                                           | CUSIP: 747525BQ5<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |   1785000 | NS      | $1717247.97   | 0.09%             | 2032-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM6488 4.5% 05/01/48    | FREDDIE MAC POOL UMBS P#ZM6488 4.50000000                              | CUSIP: 3131Y1F54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    921713 | NS      | $900776.10    | 0.05%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#257126 6% 03/01/28      | FANNIE MAE POOL UMBS P#257126 6.00000000                               | CUSIP: 31371NSP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36799 | NS      | $37353.34     | 0.00%             | 2028-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#773245 4% 12/15/41      | GINNIE MAE I POOL P#773245 4.00000000                                  | CUSIP: 36176QZJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    546385 | NS      | $530534.69    | 0.03%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#800938 5.5% 10/01/34    | FANNIE MAE POOL UMBS P#800938 5.50000000                               | CUSIP: 31405VZB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1460 | NS      | $1506.55      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR9465 2.5% 05/01/51    | FANNIE MAE POOL UMBS P#BR9465 2.50000000                               | CUSIP: 3140L8QT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3084668 | NS      | $2652434.08   | 0.14%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL6731 3.5% 04/01/45    | FANNIE MAE POOL UMBS P#AL6731 3.50000000                               | CUSIP: 3138EPPR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1521588 | NS      | $1404290.41   | 0.08%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB9110 2.5% 02/01/51    | FREDDIE MAC POOL UMBS P#QB9110 2.50000000                              | CUSIP: 3133AGDP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1150182 | NS      | $996290.04    | 0.05%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIE 2% 10/15/31 | THERMO FISHER SCIENTIFIC REGD 2.00000000                               | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |  10046000 | NS      | $8135947.09   | 0.44%             | 2031-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.25% 08/15/27    | UNITED STATES TREASURY NOTE 2.25000000                                 | CUSIP: 9128282R0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  66000000 | NS      | $61052577.96  | 3.32%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA6544 2.5% 07/01/35    | FANNIE MAE POOL UMBS P#CA6544 2.50000000                               | CUSIP: 3140QEHW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2674775 | NS      | $2454564.71   | 0.13%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS I 4% 06/15/25 | VERISK ANALYTICS INC REGD 4.00000000                                   | CUSIP: 92345YAD8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   5895000 | NS      | $5729777.53   | 0.31%             | 2025-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP3077 4% 03/01/50      | FANNIE MAE POOL UMBS P#BP3077 4.00000000                               | CUSIP: 3140KAM37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000246 | NS      | $3784030.71   | 0.21%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4600 2.5% 10/01/35    | FANNIE MAE POOL UMBS P#FM4600 2.50000000                               | CUSIP: 3140X8DE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6879070 | NS      | $6366702.30   | 0.35%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#791281 5.5% 09/01/34    | FANNIE MAE POOL UMBS P#791281 5.50000000                               | CUSIP: 31405KCS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       635 | NS      | $643.56       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#819453 4% 03/01/35      | FANNIE MAE POOL UMBS P#819453 4.00000000                               | CUSIP: 31406TMA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    151375 | NS      | $145390.33    | 0.01%             | 2035-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS  3.625% 01/22/23 | GOLDMAN SACHS GROUP INC REGD 3.62500000                                | CUSIP: 38141GRD8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     25000 | NS      | $25001.67     | 0.00%             | 2023-01-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP 1.75% 07/01/30     | PROLOGIS LP REGD 1.75000000                                            | CUSIP: 74340XBZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3906000 | NS      | $3076434.27   | 0.17%             | 2030-07-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZK4353 3% 08/01/27      | FREDDIE MAC POOL UMBS P#ZK4353 3.00000000                              | CUSIP: 3131X7ZS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    141151 | NS      | $135867.72    | 0.01%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#709541 5.5% 01/15/36    | GINNIE MAE I POOL P#709541 5.50000000                                  | CUSIP: 36297EHS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5387 | NS      | $5467.67      | 0.00%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM0400 3.5% 11/01/45    | FREDDIE MAC POOL UMBS P#ZM0400 3.50000000                              | CUSIP: 3131XTNR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2363589 | NS      | $2208836.06   | 0.12%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV4839 4% 03/01/52      | FANNIE MAE POOL UMBS P#BV4839 4.00000000                               | CUSIP: 3140MJLV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2160138 | NS      | $2040259.58   | 0.11%             | 2052-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#752194 3% 03/15/46      | GINNIE MAE I POOL P#752194 3.00000000                                  | CUSIP: 36230LNK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3563529 | NS      | $3182573.45   | 0.17%             | 2046-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#741863 5% 05/15/40      | GINNIE MAE I POOL P#741863 5.00000000                                  | CUSIP: 3620AWFC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43458 | NS      | $44231.21     | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#CA5893 3% 05/01/50      | FANNIE MAE POOL UMBS P#CA5893 3.00000000                               | CUSIP: 3140QDRP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2512404 | NS      | $2218311.85   | 0.12%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QE0795 5% 04/01/52      | FREDDIE MAC POOL UMBS P#QE0795 5.00000000                              | CUSIP: 3133B93C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6977494 | NS      | $6881000.80   | 0.37%             | 2052-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM6514 4% 05/01/48      | FREDDIE MAC POOL UMBS P#ZM6514 4.00000000                              | CUSIP: 3131Y1GX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    159230 | NS      | $151370.84    | 0.01%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL C 4% 09/01/23 | LINCOLN NATIONAL CORP REGD 4.00000000                                  | CUSIP: 534187BD0<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |   3915000 | NS      | $3884204.69   | 0.21%             | 2023-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#254223 7.5% 02/01/32    | FANNIE MAE POOL UMBS P#254223 7.50000000                               | CUSIP: 31371KLC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       432 | NS      | $446.85       | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMIC 3.25% 04/01/25 | GENERAL DYNAMICS CORP REGD 3.25000000                                  | CUSIP: 369550BK3<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |   3235000 | NS      | $3134568.16   | 0.17%             | 2025-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHS 265 30 3% 06/15/42         | FREDDIE MAC STRIPS SER 265 CL 30 3.00000000                            | CUSIP: 3128HXJS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4502634 | NS      | $4140479.77   | 0.23%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HEXCEL CORP 0% 08/15/25        | HEXCEL CORP REGD 4.95000000                                            | CUSIP: 428291AM0<br>LEI: S6Q7LW43WUBUHXY2QP69 | Long             | DBT              | CORP              | US        |   3820000 | NS      | $3726588.36   | 0.20%             | 2025-08-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA P#627039 3% 01/15/46      | GINNIE MAE I POOL P#627039 3.00000000                                  | CUSIP: 36291FS41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    883229 | NS      | $788974.75    | 0.04%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EVERNORTH HEALTH 3.5% 06/15/24 | EVERNORTH HEALTH INC REGD 3.50000000                                   | CUSIP: 30219GAK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1960000 | NS      | $1912026.88   | 0.10%             | 2024-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO 4.875% 05/01/25      | BOEING CO REGD 4.87500000                                              | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4870000 | NS      | $4832710.56   | 0.26%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHS 299 300 3% 01/15/43        | FREDDIE MAC STRIPS SER 299 CL 300 3.00000000                           | CUSIP: 3132HTJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    752228 | NS      | $679658.75    | 0.04%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1459 3% 06/01/33      | FANNIE MAE POOL UMBS P#MA1459 3.00000000                               | CUSIP: 31418ATR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    610293 | NS      | $572250.50    | 0.03%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#AA0172 3.7% 05/15/42    | GINNIE MAE I POOL P#AA0172 3.70000000                                  | CUSIP: 36177WFM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    448339 | NS      | $426577.99    | 0.02%             | 2042-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| KEMPER CORP 4.35% 02/15/25     | KEMPER CORP REGD 4.35000000                                            | CUSIP: 488401AB6<br>LEI: 549300FNI1JKTRY2PV09 | Long             | DBT              | CORP              | US        |   1960000 | NS      | $1901212.00   | 0.10%             | 2025-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL 5.25% 10/01/25 | BLOCK FINANCIAL LLC REGD 5.25000000                                    | CUSIP: 093662AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2985000 | NS      | $2978057.07   | 0.16%             | 2025-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OLD REPUBLIC I 3.875% 08/26/26 | OLD REPUBLIC INTL CORP REGD 3.87500000                                 | CUSIP: 680223AK0<br>LEI: 549300IV6O2YY2A1KH37 | Long             | DBT              | CORP              | US        |   4895000 | NS      | $4634064.98   | 0.25%             | 2026-08-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#BU0274 2.5% 09/01/51    | FANNIE MAE POOL UMBS P#BU0274 2.50000000                               | CUSIP: 3140M1JU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    860486 | NS      | $730490.91    | 0.04%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS9328 4% 01/01/38      | FREDDIE MAC POOL UMBS P#ZS9328 4.00000000                              | CUSIP: 3132AALH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1215126 | NS      | $1186505.20   | 0.06%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1166 3.5% 09/01/32    | FANNIE MAE POOL UMBS P#MA1166 3.50000000                               | CUSIP: 31418AJL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17918 | NS      | $17351.28     | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS6582 3.5% 02/01/46    | FANNIE MAE POOL UMBS P#AS6582 3.50000000                               | CUSIP: 3138WGJ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1783905 | NS      | $1656584.46   | 0.09%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA0406 4.5% 05/01/30    | FANNIE MAE POOL UMBS P#MA0406 4.50000000                               | CUSIP: 31417YNY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2840 | NS      | $2818.36      | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#710627 5% 06/20/40   | GINNIE MAE II POOL P#710627 5.00000000                                 | CUSIP: 36297FPL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24379 | NS      | $24271.77     | 0.00%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA I 3.375% 04/15/29 | T-MOBILE USA INC REGD 3.37500000                                       | CUSIP: 87264ABV6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4580000 | NS      | $4033924.31   | 0.22%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZA1314 3% 03/01/43      | FREDDIE MAC POOL UMBS P#ZA1314 3.00000000                              | CUSIP: 31329JN78<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    783028 | NS      | $712457.93    | 0.04%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZA2406 3.5% 02/01/36    | FREDDIE MAC POOL UMBS P#ZA2406 3.50000000                              | CUSIP: 31329KU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    377081 | NS      | $360465.23    | 0.02%             | 2036-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.125% 08/31/28   | UNITED STATES TREASURY NOTE 1.12500000                                 | CUSIP: 91282CCV1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5000000 | NS      | $4269140.60   | 0.23%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#779379 4.5% 06/01/34    | FANNIE MAE POOL UMBS P#779379 4.50000000                               | CUSIP: 31404U2L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2026 | NS      | $1986.19      | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC 3.3% 03/26/27   | MASTERCARD INC REGD 3.30000000                                         | CUSIP: 57636QAR5<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |   2300000 | NS      | $2190460.89   | 0.12%             | 2027-03-26      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA3570 2.5% 10/01/49    | FREDDIE MAC POOL UMBS P#QA3570 2.50000000                              | CUSIP: 31339S6F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1847643 | NS      | $1580886.63   | 0.09%             | 2049-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.25% 08/15/46    | UNITED STATES TREASURY BOND 2.25000000                                 | CUSIP: 912810RT7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  28985000 | NS      | $20512548.56  | 1.12%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#814613 5.5% 04/01/35    | FANNIE MAE POOL UMBS P#814613 5.50000000                               | CUSIP: 31406NAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1916 | NS      | $1956.76      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G31059 4% 01/01/38     | FREDDIE MAC GOLD POOL P#G31059 4.00000000                              | CUSIP: 3132J4MH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     68132 | NS      | $66601.65     | 0.00%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KEMPER CORP 3.8% 02/23/32      | KEMPER CORP REGD 3.80000000                                            | CUSIP: 488401AD2<br>LEI: 549300FNI1JKTRY2PV09 | Long             | DBT              | CORP              | US        |   4500000 | NS      | $3760561.13   | 0.20%             | 2032-02-23      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4356 2.5% 09/01/35    | FANNIE MAE POOL UMBS P#FM4356 2.50000000                               | CUSIP: 3140X7ZW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3567297 | NS      | $3273569.19   | 0.18%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM3078 3.5% 09/01/47    | FANNIE MAE POOL UMBS P#BM3078 3.50000000                               | CUSIP: 3140J7M44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1305760 | NS      | $1212968.97   | 0.07%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BQ2612 2.5% 10/01/50    | FANNIE MAE POOL UMBS P#BQ2612 2.50000000                               | CUSIP: 3140KM3W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    849467 | NS      | $734006.29    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ2997 3% 03/01/48      | FANNIE MAE POOL UMBS P#BJ2997 3.00000000                               | CUSIP: 3140H4KK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    370624 | NS      | $330816.07    | 0.02%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#255047 5.5% 01/01/24    | FANNIE MAE POOL UMBS P#255047 5.50000000                               | CUSIP: 31371LHY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7866 | NS      | $7887.56      | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#589405 6.5% 05/15/32    | GINNIE MAE I POOL P#589405 6.50000000                                  | CUSIP: 36201PYA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12564 | NS      | $12914.29     | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS1889 2.5% 05/01/42    | FANNIE MAE POOL UMBS P#FS1889 2.50000000                               | CUSIP: 3140XHC39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5348546 | NS      | $4651196.99   | 0.25%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/29      | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                     | CUSIP: 912833XP0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   3280000 | NS      | $2502528.97   | 0.14%             | 2029-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4808 3.5% 04/01/42    | FANNIE MAE POOL UMBS P#AB4808 3.50000000                               | CUSIP: 31417BKW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    433862 | NS      | $403503.16    | 0.02%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZT1514 4% 02/01/45      | FREDDIE MAC POOL UMBS P#ZT1514 4.00000000                              | CUSIP: 3132ADVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2218589 | NS      | $2148109.96   | 0.12%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC 3.85% 10/01/24      | HUMANA INC REGD 3.85000000                                             | CUSIP: 444859BD3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   2935000 | NS      | $2875872.87   | 0.16%             | 2024-10-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA II P#5302 3.5% 02/20/42   | GINNIE MAE II POOL P#5302 3.50000000                                   | CUSIP: 36202F3K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    320625 | NS      | $292275.23    | 0.02%             | 2042-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNW 2005-W1 1A1 6% 10/25/44    | FANNIE MAE REMIC TRUST 2005-W1 SER 2005-W1 CL 1A1 6.00000000           | CUSIP: 31394CB35<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    242470 | NS      | $241826.25    | 0.01%             | 2044-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A70283 5.5% 06/01/37   | FREDDIE MAC GOLD POOL P#A70283 5.50000000                              | CUSIP: 3128L3J49<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12070 | NS      | $12527.97     | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.625% 08/15/29   | UNITED STATES TREASURY NOTE 1.62500000                                 | CUSIP: 912828YB0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  49705000 | NS      | $43132678.84  | 2.35%             | 2029-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#SC0081 2.5% 10/01/40    | FREDDIE MAC POOL UMBS P#SC0081 2.50000000                              | CUSIP: 3132D9CS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3280125 | NS      | $2885063.03   | 0.16%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QF3678 6.5% 12/01/52    | FREDDIE MAC POOL UMBS P#QF3678 6.50000000                              | CUSIP: 3133BRCP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1918583 | NS      | $1973774.79   | 0.11%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL3024 3.5% 01/01/43    | FANNIE MAE POOL UMBS P#AL3024 3.50000000                               | CUSIP: 3138EKLE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    427548 | NS      | $399286.96    | 0.02%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR8153 3% 12/01/42      | FANNIE MAE POOL UMBS P#AR8153 3.00000000                               | CUSIP: 3138W6BX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    587886 | NS      | $537931.66    | 0.03%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 5.2% 12/03/25   | AMAZON.COM INC REGD 5.20000000                                         | CUSIP: 023135BN5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   4995000 | NS      | $5085466.44   | 0.28%             | 2025-12-03      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 4% 11/15/52       | UNITED STATES TREASURY BOND 4.00000000                                 | CUSIP: 912810TL2<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  30665000 | NS      | $30708122.66  | 1.67%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZK4476 2.5% 09/01/27    | FREDDIE MAC POOL UMBS P#ZK4476 2.50000000                              | CUSIP: 3131X76M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    371648 | NS      | $354584.06    | 0.02%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB0200 2.5% 06/01/50    | FREDDIE MAC POOL UMBS P#QB0200 2.50000000                              | CUSIP: 3133A6GH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4059431 | NS      | $3472052.15   | 0.19%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COM V/R 03/24/28 | WELLS FARGO & COMPANY REGD V/R MTN 3.52600000                          | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3105000 | NS      | $2875233.04   | 0.16%             | 2028-03-24      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR8991 2.5% 04/01/51    | FANNIE MAE POOL UMBS P#BR8991 2.50000000                               | CUSIP: 3140L77D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2301772 | NS      | $1954492.14   | 0.11%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FRESB 2019-SB58  V/R 10/25/28  | FRESB 2019-SB58 MORTGAGE TRUST SER 2019-SB58 CL A10F V/R 3.61000000    | CUSIP: 30308MAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    671186 | NS      | $628759.68    | 0.03%             | 2028-10-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| UMBS P#RE0010 2.5% 01/01/50    | FREDDIE MAC POOL UMBS P#RE0010 2.50000000                              | CUSIP: 3133LWAK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1210034 | NS      | $1066560.13   | 0.06%             | 2050-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AZ9162 4% 09/01/45      | FANNIE MAE POOL UMBS P#AZ9162 4.00000000                               | CUSIP: 3140E2FC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    223791 | NS      | $212073.80    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HORMEL FOODS COR 1.8% 06/11/30 | HORMEL FOODS CORP REGD 1.80000000                                      | CUSIP: 440452AF7<br>LEI: MSD54751OJP1FS2ND863 | Long             | DBT              | CORP              | US        |   3600000 | NS      | $2929133.38   | 0.16%             | 2030-06-11      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| ARROW ELECTRONIC 4.5% 03/01/23 | ARROW ELECTRONICS INC REGD 4.50000000                                  | CUSIP: 042735BC3<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |   1160000 | NS      | $1157545.27   | 0.06%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 0.625% 05/15/30   | UNITED STATES TREASURY NOTE 0.62500000                                 | CUSIP: 912828ZQ6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  58200000 | NS      | $46062117.04  | 2.51%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4130 3% 09/01/40      | FANNIE MAE POOL UMBS P#MA4130 3.00000000                               | CUSIP: 31418DSU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    952996 | NS      | $865157.03    | 0.05%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 1.5% 02/15/30     | UNITED STATES TREASURY NOTE 1.50000000                                 | CUSIP: 912828Z94<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   5800000 | NS      | $4942687.50   | 0.27%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AT5999 2.5% 05/01/43    | FANNIE MAE POOL UMBS P#AT5999 2.50000000                               | CUSIP: 3138WTUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    937443 | NS      | $794372.00    | 0.04%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM4663 2% 10/01/50      | FANNIE MAE POOL UMBS P#FM4663 2.00000000                               | CUSIP: 3140X8FD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4123482 | NS      | $3384323.87   | 0.18%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZL3373 3.5% 07/01/42    | FREDDIE MAC POOL UMBS P#ZL3373 3.50000000                              | CUSIP: 3131XJXA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    987662 | NS      | $924509.31    | 0.05%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0532 2% 02/01/51      | FREDDIE MAC POOL UMBS P#SD0532 2.00000000                              | CUSIP: 3132DMSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3817316 | NS      | $3143871.72   | 0.17%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY V/R 01/22/31    | MORGAN STANLEY REGD V/R MTN SER GMTN 2.69900000                        | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   9000000 | NS      | $7437120.12   | 0.40%             | 2031-01-22      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#BE2909 3.5% 12/01/46    | FANNIE MAE POOL UMBS P#BE2909 3.50000000                               | CUSIP: 3140FNGT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    306583 | NS      | $283414.59    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0607 2.5% 05/01/51    | FREDDIE MAC POOL UMBS P#SD0607 2.50000000                              | CUSIP: 3132DMU86<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6422658 | NS      | $5503392.98   | 0.30%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#710124 6% 05/01/33      | FANNIE MAE POOL UMBS P#710124 6.00000000                               | CUSIP: 31401J4H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2519 | NS      | $2557.00      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP 3.75% 04/01/30 | CVS HEALTH CORP REGD 3.75000000                                        | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   9660000 | NS      | $8758363.03   | 0.48%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO1304 3.5% 07/01/34    | FANNIE MAE POOL UMBS P#BO1304 3.50000000                               | CUSIP: 3140JVNW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    506830 | NS      | $487378.46    | 0.03%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AU0612 3.5% 08/01/38    | FANNIE MAE POOL UMBS P#AU0612 3.50000000                               | CUSIP: 3138WZVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18803 | NS      | $17580.05     | 0.00%             | 2038-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZA3131 3% 11/01/42      | FREDDIE MAC POOL UMBS P#ZA3131 3.00000000                              | CUSIP: 31329LPQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    458361 | NS      | $411524.27    | 0.02%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB1113 4.5% 05/01/40    | FANNIE MAE POOL UMBS P#AB1113 4.50000000                               | CUSIP: 31416WGX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    196035 | NS      | $186802.04    | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#778191 4% 01/15/42      | GINNIE MAE I POOL P#778191 4.00000000                                  | CUSIP: 36176WKC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27973 | NS      | $27086.14     | 0.00%             | 2042-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1994 3.5% 08/01/44    | FANNIE MAE POOL UMBS P#MA1994 3.50000000                               | CUSIP: 31418BGC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1261001 | NS      | $1139836.12   | 0.06%             | 2044-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.375% 05/15/27   | UNITED STATES TREASURY NOTE 2.37500000                                 | CUSIP: 912828X88<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  39395000 | NS      | $36728143.26  | 2.00%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#BD3736 3.5% 08/01/46    | FANNIE MAE POOL UMBS P#BD3736 3.50000000                               | CUSIP: 3140FBEJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    811411 | NS      | $753243.30    | 0.04%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#3567 4.5% 06/20/34   | GINNIE MAE II POOL P#3567 4.50000000                                   | CUSIP: 36202D6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103044 | NS      | $102842.30    | 0.01%             | 2034-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHR 2175 TH 6% 07/15/29        | FREDDIE MAC REMICS SER 2175 CL TH 6.00000000                           | CUSIP: 3133TLK56<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     37166 | NS      | $37676.34     | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM5839 4.5% 05/01/50    | FANNIE MAE POOL UMBS P#FM5839 4.50000000                               | CUSIP: 3140X9PZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15977269 | NS      | $15540357.37  | 0.85%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q34741 3.5% 07/01/45   | FREDDIE MAC GOLD POOL P#Q34741 3.50000000                              | CUSIP: 3132QRHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     31648 | NS      | $29544.59     | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO 3.25% 07/01/26     | SOUTHERN CO REGD 3.25000000                                            | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     50000 | NS      | $47015.03     | 0.00%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G60602 3.5% 11/01/43   | FREDDIE MAC GOLD POOL P#G60602 3.50000000                              | CUSIP: 31335AU30<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     20368 | NS      | $19087.99     | 0.00%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WHIRLPOOL CORP 3.7% 05/01/25   | WHIRLPOOL CORP REGD 3.70000000                                         | CUSIP: 963320AT3<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |   1960000 | NS      | $1906302.27   | 0.10%             | 2025-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM7010 4% 04/01/49      | FANNIE MAE POOL UMBS P#FM7010 4.00000000                               | CUSIP: 3140XAYG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6034681 | NS      | $5754222.73   | 0.31%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G18714 4% 11/01/33     | FREDDIE MAC GOLD POOL P#G18714 4.00000000                              | CUSIP: 3128MMYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15250 | NS      | $14943.73     | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANC 3.75% 07/01/24 | CITIZENS FINANCIAL GROUP REGD 3.75000000                               | CUSIP: 174610AL9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   5000000 | NS      | $4773829.05   | 0.26%             | 2024-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA P#781287 7% 05/15/31      | GINNIE MAE I POOL P#781287 7.00000000                                  | CUSIP: 36225BNC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       207 | NS      | $215.36       | 0.00%             | 2031-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR5818 2.5% 08/01/51    | FANNIE MAE POOL UMBS P#BR5818 2.50000000                               | CUSIP: 3140L4PC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5017392 | NS      | $4259539.89   | 0.23%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#G06738 4% 07/01/41     | FREDDIE MAC GOLD POOL P#G06738 4.00000000                              | CUSIP: 3128M8ZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     12270 | NS      | $11836.23     | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS 2.65% 10/01/26 | PAYPAL HOLDINGS INC REGD 2.65000000                                    | CUSIP: 70450YAD5<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |   9880000 | NS      | $9121507.36   | 0.50%             | 2026-10-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#767867 5.5% 03/01/33    | FANNIE MAE POOL UMBS P#767867 5.50000000                               | CUSIP: 31404GCC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     88304 | NS      | $87890.98     | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#357514 5.5% 03/01/34    | FANNIE MAE POOL UMBS P#357514 5.50000000                               | CUSIP: 31376KDT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1225 | NS      | $1256.76      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA7119 4% 04/01/52      | FREDDIE MAC POOL UMBS P#RA7119 4.00000000                              | CUSIP: 3133KN4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3254187 | NS      | $3066459.57   | 0.17%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA I P#756319 4.25% 04/20/41 | GINNIE MAE II POOL P#756319 4.25000000                                 | CUSIP: 36230RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    333594 | NS      | $321179.81    | 0.02%             | 2041-04-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR7230 2.5% 04/01/51    | FANNIE MAE POOL UMBS P#BR7230 2.50000000                               | CUSIP: 3140L6A87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5767700 | NS      | $4942323.76   | 0.27%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS9113 3.5% 02/01/35    | FREDDIE MAC POOL UMBS P#ZS9113 3.50000000                              | CUSIP: 3132AADS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    809176 | NS      | $775532.05    | 0.04%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0142 2.5% 12/01/51    | FANNIE MAE POOL UMBS P#FS0142 2.50000000                               | CUSIP: 3140XFEQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13318427 | NS      | $11301838.92  | 0.61%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BJ2013 4% 11/01/47      | FANNIE MAE POOL UMBS P#BJ2013 4.00000000                               | CUSIP: 3140H3GX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    526182 | NS      | $501794.62    | 0.03%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM0054 4% 01/01/44      | FANNIE MAE POOL UMBS P#FM0054 4.00000000                               | CUSIP: 3140X3BY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4429483 | NS      | $4253876.71   | 0.23%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREAS NTS 2.125% 07/31/24   | UNITED STATES TREASURY NOTE 2.12500000                                 | CUSIP: 9128282N9<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  30000000 | NS      | $28855078.20  | 1.57%             | 2024-07-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO9034 3.5% 02/01/50    | FANNIE MAE POOL UMBS P#BO9034 3.50000000                               | CUSIP: 3140K5BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1680291 | NS      | $1544707.22   | 0.08%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#832715 5% 09/01/35      | FANNIE MAE POOL UMBS P#832715 5.00000000                               | CUSIP: 31407KDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1313 | NS      | $1341.15      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#RA3944 2% 11/01/50      | FREDDIE MAC POOL UMBS P#RA3944 2.00000000                              | CUSIP: 3133KKLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3470642 | NS      | $2835500.10   | 0.15%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OWENS & MINOR  4.375% 12/15/24 | OWENS & MINOR INC REGD 4.37500000                                      | CUSIP: 690732AE2<br>LEI: 549300LMT5KQQXCEZ733 | Long             | DBT              | CORP              | US        |   2740000 | NS      | $2639796.47   | 0.14%             | 2024-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR3321 2% 03/01/51      | FANNIE MAE POOL UMBS P#BR3321 2.00000000                               | CUSIP: 3140L1VP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6598569 | NS      | $5458564.12   | 0.30%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VOYA FINANCIAL  3.65% 06/15/26 | VOYA FINANCIAL INC REGD 3.65000000                                     | CUSIP: 929089AB6<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |   4970000 | NS      | $4686289.29   | 0.25%             | 2026-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP7707 2.5% 07/01/35    | FANNIE MAE POOL UMBS P#BP7707 2.50000000                               | CUSIP: 3140KFR56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    910598 | NS      | $835461.78    | 0.05%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STIFEL FINANCIA 4.25% 07/18/24 | STIFEL FINANCIAL CORP REGD 4.25000000                                  | CUSIP: 860630AD4<br>LEI: 549300E5F07FE5GHJX84 | Long             | DBT              | CORP              | US        |   1520000 | NS      | $1489212.86   | 0.08%             | 2024-07-18      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BU4790 4% 09/20/50   | GINNIE MAE II POOL P#BU4790 4.00000000                                 | CUSIP: 3617N6KB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    438779 | NS      | $418361.84    | 0.02%             | 2050-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHR 4384 LB 3.5% 08/15/43      | FREDDIE MAC REMICS SER 4384 CL LB 3.50000000                           | CUSIP: 3137BDKG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1373374 | NS      | $1316361.98   | 0.07%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q25017 4.5% 02/01/44   | FREDDIE MAC GOLD POOL P#Q25017 4.50000000                              | CUSIP: 3132M5G22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     11782 | NS      | $11587.63     | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZM5133 3.5% 12/01/47    | FREDDIE MAC POOL UMBS P#ZM5133 3.50000000                              | CUSIP: 3131XYV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    442713 | NS      | $410218.17    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2212 3% 03/01/45      | FANNIE MAE POOL UMBS P#MA2212 3.00000000                               | CUSIP: 31418BN69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    242931 | NS      | $215115.23    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB2959 4.5% 07/01/40    | FANNIE MAE POOL UMBS P#AB2959 4.50000000                               | CUSIP: 31416YJD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    978934 | NS      | $941584.39    | 0.05%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#AE5214 4.5% 10/20/43 | GINNIE MAE II POOL P#AE5214 4.50000000                                 | CUSIP: 36180XYK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13380 | NS      | $13122.93     | 0.00%             | 2043-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM0052 5% 08/01/37      | FANNIE MAE POOL UMBS P#FM0052 5.00000000                               | CUSIP: 3140X3BW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1559006 | NS      | $1591987.90   | 0.09%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB2372 3.5% 03/01/41    | FANNIE MAE POOL UMBS P#AB2372 3.50000000                               | CUSIP: 31416XT67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    649039 | NS      | $606887.44    | 0.03%             | 2041-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN EN 4.3% 05/01/24 | KINDER MORGAN ENER PART REGD 4.30000000                                | CUSIP: 28370TAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4895000 | NS      | $4829657.48   | 0.26%             | 2024-05-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#BV8104 2.5% 04/01/52    | FANNIE MAE POOL UMBS P#BV8104 2.50000000                               | CUSIP: 3140MNAE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5643786 | NS      | $4798535.26   | 0.26%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC 1.2% 06/03/27   | AMAZON.COM INC REGD 1.20000000                                         | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   4100000 | NS      | $3550551.70   | 0.19%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE &  V/R 09/22/27 | JPMORGAN CHASE & CO REGD V/R SER FXD 1.47000000                        | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6245000 | NS      | $5406689.94   | 0.29%             | 2027-09-22      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZL0804 3% 07/01/42      | FREDDIE MAC POOL UMBS P#ZL0804 3.00000000                              | CUSIP: 3131XF3M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    194841 | NS      | $179005.12    | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA4631 2.5% 06/01/42    | FANNIE MAE POOL UMBS P#MA4631 2.50000000                               | CUSIP: 31418EED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9171782 | NS      | $7976319.24   | 0.43%             | 2042-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q33765 4% 06/01/45     | FREDDIE MAC GOLD POOL P#Q33765 4.00000000                              | CUSIP: 3132QQFF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     28742 | NS      | $27561.24     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q08224 3.5% 05/01/42   | FREDDIE MAC GOLD POOL P#Q08224 3.50000000                              | CUSIP: 3132GTPH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     26327 | NS      | $24671.68     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNA 2.539% 02/01/32 | BAXTER INTERNATIONAL INC REGD 2.53900000                               | CUSIP: 071813CS6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   2697000 | NS      | $2142478.78   | 0.12%             | 2032-02-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| UMBS P#BP4234 2.5% 06/01/35    | FANNIE MAE POOL UMBS P#BP4234 2.50000000                               | CUSIP: 3140KBV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3015848 | NS      | $2767113.58   | 0.15%             | 2035-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATI 4% 07/15/24 | M&T BANK CORPORATION REGD 4.00000000                                   | CUSIP: 71270QEB8<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   2000000 | NS      | $1963549.36   | 0.11%             | 2024-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#552577 7% 05/15/32      | GINNIE MAE I POOL P#552577 7.00000000                                  | CUSIP: 36213E2J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1679 | NS      | $1680.92      | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH  3.3% 01/15/23 | ELEVANCE HEALTH INC REGD 3.30000000                                    | CUSIP: 94973VBA4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   3464000 | NS      | $3463359.61   | 0.19%             | 2023-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD1576 5% 08/01/52      | FREDDIE MAC POOL UMBS P#SD1576 5.00000000                              | CUSIP: 3132DNXD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4916736 | NS      | $4848741.23   | 0.26%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#FS0508 3% 01/01/52      | FANNIE MAE POOL UMBS P#FS0508 3.00000000                               | CUSIP: 3140XFR60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9798962 | NS      | $8605202.35   | 0.47%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#781340 6.5% 10/15/31    | GINNIE MAE I POOL P#781340 6.50000000                                  | CUSIP: 36225BPZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       188 | NS      | $193.77       | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2900 3% 01/01/47      | FANNIE MAE POOL UMBS P#MA2900 3.00000000                               | CUSIP: 31418CGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    291010 | NS      | $257683.22    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC 2.15% 12/10/31  | MERCK & CO INC REGD 2.15000000                                         | CUSIP: 58933YBE4<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |   6450000 | NS      | $5267032.91   | 0.29%             | 2031-12-10      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| UMBS P#255110 5% 03/01/34      | FANNIE MAE POOL UMBS P#255110 5.00000000                               | CUSIP: 31371LKX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       903 | NS      | $922.10       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR9527 2.5% 05/01/51    | FANNIE MAE POOL UMBS P#BR9527 2.50000000                               | CUSIP: 3140L8SR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3821872 | NS      | $3245410.91   | 0.18%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEERE & COMPANY 2.75% 04/15/25 | DEERE & COMPANY REGD 2.75000000                                        | CUSIP: 244199BH7<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |   6535000 | NS      | $6276987.74   | 0.34%             | 2025-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.375% 11/15/40   | UNITED STATES TREASURY BOND 1.37500000                                 | CUSIP: 912810ST6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  22500000 | NS      | $14627636.78  | 0.80%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1314 2.5% 01/01/33    | FANNIE MAE POOL UMBS P#MA1314 2.50000000                               | CUSIP: 31418AN87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188317 | NS      | $171517.28    | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZK2134 4% 02/01/25      | FREDDIE MAC POOL UMBS P#ZK2134 4.00000000                              | CUSIP: 3131X5LP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      9006 | NS      | $8789.98      | 0.00%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1781 3.5% 01/01/44    | FANNIE MAE POOL UMBS P#MA1781 3.50000000                               | CUSIP: 31418A6T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    151706 | NS      | $137129.08    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#945869 6% 08/01/37      | FANNIE MAE POOL UMBS P#945869 6.00000000                               | CUSIP: 31413HJN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38299 | NS      | $40038.51     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARMAN INTL IND 4.15% 05/15/25 | HARMAN INTL IND REGD 4.15000000                                        | CUSIP: 413086AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4970000 | NS      | $4832260.43   | 0.26%             | 2025-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC 3.75% 04/18/29    | AUTOZONE INC REGD 3.75000000                                           | CUSIP: 053332AW2<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   1795000 | NS      | $1655206.84   | 0.09%             | 2029-04-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA7315 3.5% 02/01/50    | FREDDIE MAC POOL UMBS P#QA7315 3.50000000                              | CUSIP: 3133A2DU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1334078 | NS      | $1234149.30   | 0.07%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA II P#BX3874 2% 09/20/50   | GINNIE MAE II POOL P#BX3874 2.00000000                                 | CUSIP: 3617Q8JT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1807609 | NS      | $1494527.81   | 0.08%             | 2050-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 2.875% 05/15/43   | UNITED STATES TREASURY BOND 2.87500000                                 | CUSIP: 912810RB6<br>LEI: N/A                  | Long             | DBT              | UST               | US        |    200000 | NS      | $163242.19    | 0.01%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM0055 4% 05/01/43      | FANNIE MAE POOL UMBS P#FM0055 4.00000000                               | CUSIP: 3140X3BZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2253144 | NS      | $2163890.95   | 0.12%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#Q17499 3% 04/01/43     | FREDDIE MAC GOLD POOL P#Q17499 3.00000000                              | CUSIP: 3132J8X54<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     18420 | NS      | $16779.26     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BM3280 4.5% 11/01/47    | FANNIE MAE POOL UMBS P#BM3280 4.50000000                               | CUSIP: 3140J7UE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1109090 | NS      | $1093518.32   | 0.06%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#826686 5.5% 08/01/35    | FANNIE MAE POOL UMBS P#826686 5.50000000                               | CUSIP: 31407CNB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1911 | NS      | $1930.58      | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#782046 4.5% 05/01/34    | FANNIE MAE POOL UMBS P#782046 4.50000000                               | CUSIP: 31404XZK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2184 | NS      | $2150.90      | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTER 3.125% 02/15/23 | MARRIOTT INTERNATIONAL REGD SER WI 3.12500000                          | CUSIP: 571903AV5<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |   2935000 | NS      | $2932904.76   | 0.16%             | 2023-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC 4% 04/15/25     | LOWE'S COS INC REGD 4.00000000                                         | CUSIP: 548661DT1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   3270000 | NS      | $3206315.18   | 0.17%             | 2025-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA0616 4% 01/01/31      | FANNIE MAE POOL UMBS P#MA0616 4.00000000                               | CUSIP: 31417YVJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19365 | NS      | $18744.42     | 0.00%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FGLMC P#A78947 5.5% 05/01/33   | FREDDIE MAC GOLD POOL P#A78947 5.50000000                              | CUSIP: 3128LC5G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |       662 | NS      | $664.19       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FAIRFAX US INC 4.875% 08/13/24 | FAIRFAX US INC REGD P/P 4.87500000                                     | CUSIP: 304071AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3475000 | NS      | $3389581.55   | 0.18%             | 2024-08-13      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| GNR 2014-130 VA 3% 07/16/36    | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2014-130 CL VA 3.00000000 | CUSIP: 38378XQL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1292152 | NS      | $1187020.75   | 0.06%             | 2036-07-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA II P#759449 4% 01/20/41   | GINNIE MAE II POOL P#759449 4.00000000                                 | CUSIP: 36230UQA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    573914 | NS      | $552737.41    | 0.03%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#501012 6.5% 04/15/31    | GINNIE MAE I POOL P#501012 6.50000000                                  | CUSIP: 36210SR91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5183 | NS      | $5327.70      | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EAGLE MATERIALS 2.5% 07/01/31  | EAGLE MATERIALS REGD 2.50000000                                        | CUSIP: 26969PAB4<br>LEI: 529900KRXRGXL61SG039 | Long             | DBT              | CORP              | US        |   5700000 | NS      | $4471320.08   | 0.24%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUN 4.016% 12/03/29 | VERIZON COMMUNICATIONS REGD SER WI 4.01600000                          | CUSIP: 92343VEU4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5450000 | NS      | $5090581.33   | 0.28%             | 2029-12-03      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB4027 3.5% 12/01/41    | FANNIE MAE POOL UMBS P#AB4027 3.50000000                               | CUSIP: 31417APM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    359321 | NS      | $335398.54    | 0.02%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRESB 2016-SB24  V/R 10/25/26  | FRESB 2016-SB24 MORTGAGE TRUST SER 2016-SB24 CL A10F V/R 2.37000000    | CUSIP: 30295NAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    690416 | NS      | $635297.04    | 0.03%             | 2026-10-25      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| UMBS P#BA2906 4% 11/01/45      | FANNIE MAE POOL UMBS P#BA2906 4.00000000                               | CUSIP: 3140E7GQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    476454 | NS      | $457681.41    | 0.02%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZK4713 2.5% 12/01/27    | FREDDIE MAC POOL UMBS P#ZK4713 2.50000000                              | CUSIP: 3131X8GW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    408307 | NS      | $387699.31    | 0.02%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#254739 6% 04/01/23      | FANNIE MAE POOL UMBS P#254739 6.00000000                               | CUSIP: 31371K4Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10 | NS      | $9.91         | 0.00%             | 2023-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC2440 2.5% 02/01/51    | FREDDIE MAC POOL UMBS P#QC2440 2.50000000                              | CUSIP: 3133ALV96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    829747 | NS      | $708490.25    | 0.04%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREAS BDS 1.125% 05/15/40   | UNITED STATES TREASURY BOND 1.12500000                                 | CUSIP: 912810SR0<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  71625000 | NS      | $44827178.09  | 2.44%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GNR 2009-42 DZ 5% 06/20/39     | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION SER 2009-42 CL DZ 5.00000000  | CUSIP: 38374UWE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    406474 | NS      | $405332.84    | 0.02%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERCURY GENERAL  4.4% 03/15/27 | MERCURY GENERAL CORP REGD 4.40000000                                   | CUSIP: 589400AB6<br>LEI: 5493001Q9EXPCEL4W527 | Long             | DBT              | CORP              | US        |   3330000 | NS      | $3113730.49   | 0.17%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/35      | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                     | CUSIP: 9128335A4<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9790000 | NS      | $5802658.12   | 0.32%             | 2035-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#771019 5% 04/01/34      | FANNIE MAE POOL UMBS P#771019 5.00000000                               | CUSIP: 31404KSG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1692 | NS      | $1707.02      | 0.00%             | 2034-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR7700 2.5% 04/01/51    | FANNIE MAE POOL UMBS P#BR7700 2.50000000                               | CUSIP: 3140L6RW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4689829 | NS      | $4048515.90   | 0.22%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GA 5.2% 07/15/25 | NATIONAL FUEL GAS CO REGD 5.20000000                                   | CUSIP: 636180BM2<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |   1960000 | NS      | $1949745.40   | 0.11%             | 2025-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPE 3.4% 02/01/25 | HEALTHPEAK PROPERTIES REGD 3.40000000                                  | CUSIP: 40414LAM1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |   3670000 | NS      | $3530920.95   | 0.19%             | 2025-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#RB5157 2.5% 05/01/42    | FREDDIE MAC POOL UMBS P#RB5157 2.50000000                              | CUSIP: 3133KYWS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14207234 | NS      | $12337176.07  | 0.67%             | 2042-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS9776 3.5% 08/01/46    | FREDDIE MAC POOL UMBS P#ZS9776 3.50000000                              | CUSIP: 3132AA2H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    880523 | NS      | $817829.69    | 0.04%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BR9030 2.5% 05/01/51    | FANNIE MAE POOL UMBS P#BR9030 2.50000000                               | CUSIP: 3140L8A83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1762085 | NS      | $1496132.15   | 0.08%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZL5591 3% 04/01/43      | FREDDIE MAC POOL UMBS P#ZL5591 3.00000000                              | CUSIP: 3131XMF83<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1054143 | NS      | $959140.93    | 0.05%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP 3.4% 04/01/30     | COMCAST CORP REGD 3.40000000                                           | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   9395000 | NS      | $8566749.48   | 0.47%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA2046 3.5% 10/01/34    | FANNIE MAE POOL UMBS P#MA2046 3.50000000                               | CUSIP: 31418BHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    719761 | NS      | $689862.76    | 0.04%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BN9103 2.5% 03/01/51    | FANNIE MAE POOL UMBS P#BN9103 2.50000000                               | CUSIP: 3140JSDH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1626799 | NS      | $1389470.60   | 0.08%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZS9128 3.5% 02/01/35    | FREDDIE MAC POOL UMBS P#ZS9128 3.50000000                              | CUSIP: 3132AAD92<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    442287 | NS      | $423901.55    | 0.02%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AR6384 3% 02/01/43      | FANNIE MAE POOL UMBS P#AR6384 3.00000000                               | CUSIP: 3138W4CW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14235 | NS      | $12869.28     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#255857 5.5% 08/01/25    | FANNIE MAE POOL UMBS P#255857 5.50000000                               | CUSIP: 31371ME60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       637 | NS      | $645.20       | 0.00%             | 2025-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CO 5.85% 12/15/25 | DEVON ENERGY CORPORATION REGD 5.85000000                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   2450000 | NS      | $2494221.05   | 0.14%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL9264 4% 10/01/36      | FANNIE MAE POOL UMBS P#AL9264 4.00000000                               | CUSIP: 3138ERJJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    325558 | NS      | $313474.20    | 0.02%             | 2036-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES  5.5% 03/01/30 | TARGA RESOURCES PARTNERS REGD 5.50000000                               | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3100000 | NS      | $2916852.00   | 0.16%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC0195 2.5% 04/01/51    | FREDDIE MAC POOL UMBS P#QC0195 2.50000000                              | CUSIP: 3133AJGC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2043421 | NS      | $1752878.06   | 0.10%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNW 2009-W1 A 6% 12/25/49      | FANNIE MAE REMIC TRUST 2009-W1 SER 2009-W1 CL A 6.00000000             | CUSIP: 31398F7A3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    113646 | NS      | $115154.63    | 0.01%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BD8027 3% 09/01/46      | FANNIE MAE POOL UMBS P#BD8027 3.00000000                               | CUSIP: 3140FF4M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1636932 | NS      | $1468970.34   | 0.08%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA P#737329 4.5% 09/15/40    | GINNIE MAE I POOL P#737329 4.50000000                                  | CUSIP: 3620AREA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    403816 | NS      | $400494.75    | 0.02%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#899614 6.5% 07/01/37    | FANNIE MAE POOL UMBS P#899614 6.50000000                               | CUSIP: 31410WN79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4333 | NS      | $4455.13      | 0.00%             | 2037-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AS4992 3.5% 05/01/45    | FANNIE MAE POOL UMBS P#AS4992 3.50000000                               | CUSIP: 3138WERN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1116490 | NS      | $1038658.35   | 0.06%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREASURY SE 2.625% 02/15/29    | TREASURY N/B REGD 2.62500000                                           | CUSIP: 9128286B1<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  49655000 | NS      | $45892082.03  | 2.50%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/37      | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                     | CUSIP: 912833Z52<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9790000 | NS      | $5318178.33   | 0.29%             | 2037-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP 3.5% 07/01/27  | MCDONALD'S CORP REGD MTN 3.50000000                                    | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   4305000 | NS      | $4083588.47   | 0.22%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA 3.95% 04/21/25 | BANK OF AMERICA CORP REGD MTN SER L 3.95000000                         | CUSIP: 06051GFP9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4970000 | NS      | $4836843.91   | 0.26%             | 2025-04-21      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#636709 8% 04/01/32      | FANNIE MAE POOL UMBS P#636709 8.00000000                               | CUSIP: 31389VKW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15203 | NS      | $15327.15     | 0.00%             | 2032-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#BO8464 2.5% 05/01/35    | FANNIE MAE POOL UMBS P#BO8464 2.50000000                               | CUSIP: 3140K4MN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    672774 | NS      | $617268.46    | 0.03%             | 2035-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#ZK4240 3% 06/01/27      | FREDDIE MAC POOL UMBS P#ZK4240 3.00000000                              | CUSIP: 3131X7V96<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    187969 | NS      | $181212.01    | 0.01%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA9446 2.5% 05/01/50    | FREDDIE MAC POOL UMBS P#QA9446 2.50000000                              | CUSIP: 3133A4P75<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3623738 | NS      | $3098245.99   | 0.17%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#FM0053 5.5% 05/01/38    | FANNIE MAE POOL UMBS P#FM0053 5.50000000                               | CUSIP: 3140X3BX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1628370 | NS      | $1682530.61   | 0.09%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AB1613 4% 10/01/40      | FANNIE MAE POOL UMBS P#AB1613 4.00000000                               | CUSIP: 31416WYK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    392450 | NS      | $379977.32    | 0.02%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC2027 2.5% 05/01/51    | FREDDIE MAC POOL UMBS P#QC2027 2.50000000                              | CUSIP: 3133ALHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8745538 | NS      | $7502012.58   | 0.41%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QA4404 3% 11/01/49      | FREDDIE MAC POOL UMBS P#QA4404 3.00000000                              | CUSIP: 31339U3M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1628164 | NS      | $1440916.49   | 0.08%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#809297 5.5% 02/01/35    | FANNIE MAE POOL UMBS P#809297 5.50000000                               | CUSIP: 31406GDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1833 | NS      | $1897.30      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC8520 2.5% 10/01/51    | FREDDIE MAC POOL UMBS P#QC8520 2.50000000                              | CUSIP: 3133ATPD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3168391 | NS      | $2689161.90   | 0.15%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#BT3580 2.5% 05/01/51    | FANNIE MAE POOL UMBS P#BT3580 2.50000000                               | CUSIP: 3140LR6S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    922807 | NS      | $783668.08    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA P#576498 6.5% 12/15/31    | GINNIE MAE I POOL P#576498 6.50000000                                  | CUSIP: 36200YNP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6411 | NS      | $6590.05      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAM 3.95% 01/15/26 | SHERWIN-WILLIAMS CO REGD 3.95000000                                    | CUSIP: 824348BF2<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |   4895000 | NS      | $4755547.47   | 0.26%             | 2026-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| UMBS P#MA1544 3.5% 08/01/43    | FANNIE MAE POOL UMBS P#MA1544 3.50000000                               | CUSIP: 31418AWE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    784488 | NS      | $728728.53    | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#AL8958 3.5% 10/01/45    | FANNIE MAE POOL UMBS P#AL8958 3.50000000                               | CUSIP: 3138ET5U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1310358 | NS      | $1210691.15   | 0.07%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS P#SD0149 3% 11/01/49      | FREDDIE MAC POOL UMBS P#SD0149 3.00000000                              | CUSIP: 3132DMEW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1525243 | NS      | $1358806.76   | 0.07%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC 3.875% 03/26/25  | CITIGROUP INC REGD 3.87500000                                          | CUSIP: 172967JL6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4895000 | NS      | $4759246.03   | 0.26%             | 2025-03-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/33      | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                     | CUSIP: 9128334W7<br>LEI: N/A                  | Long             | DBT              | UST               | US        |   9790000 | NS      | $6352263.53   | 0.35%             | 2033-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#821738 5% 06/01/35      | FANNIE MAE POOL UMBS P#821738 5.00000000                               | CUSIP: 31406V4X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       904 | NS      | $923.64       | 0.00%             | 2035-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QB6172 3% 11/01/50      | FREDDIE MAC POOL UMBS P#QB6172 3.00000000                              | CUSIP: 3133AC2D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3722215 | NS      | $3292477.03   | 0.18%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS 4% 09/01/24 | MOTOROLA SOLUTIONS INC REGD 4.00000000                                 | CUSIP: 620076BF5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    980000 | NS      | $961858.20    | 0.05%             | 2024-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURYS ZCP 08/15/28      | UNITED STATES TREASURY STRIP COUPON ZCP 0.00000000                     | CUSIP: 912833RZ5<br>LEI: N/A                  | Long             | DBT              | UST               | US        |  20580000 | NS      | $16366242.12  | 0.89%             | 2028-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS P#QC7908 2.5% 09/01/51    | FREDDIE MAC POOL UMBS P#QC7908 2.50000000                              | CUSIP: 3133ASYD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4544140 | NS      | $3868802.12   | 0.21%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNR 2005-101 B 5% 11/25/35     | FANNIE MAE REMICS SER 2005-101 CL B 5.00000000                         | CUSIP: 31394UVF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    232228 | NS      | $230599.16    | 0.01%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

**Name of Applicant:** Mutual of America Investment Corp

**Signature:** Christopher M. Miseo

**Name of Signer:** Christopher M. Miseo

**Title:** Senior Vice President and Chief Accounting Officer