# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0000035402-26-002567
**Filing Date:** 2026-4
**Character Count:** 90126
**Document Hash:** 2b752dd3f849788ad4dcfe0fa5a94e7d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-002567.hdr.sgml**: 20260424

**ACCESSION NUMBER**: 0000035402-26-002567

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260424

**DATE AS OF CHANGE**: 20260424

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY INCOME FUND /MA/
- **CENTRAL INDEX KEY:** 0000751199

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04085
- **FILM NUMBER:** 26895362

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY MORTGAGE SECURITIES FUND
- **DATE OF NAME CHANGE:** 19851103

## Series and Classes Contracts Data

### Fidelity Intermediate Government Income Fund (Series ID: S000007070)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000019284 | Fidelity Intermediate Government Income Fund | FSTGX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Income Fund

- **b. Investment Company Act file number:** 811-04085

- **c. CIK number of Registrant:** 0000751199

- **d. LEI of Registrant:** D66RCKM57LC8ELZCAY58

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Intermediate Government Income Fund

- **b. EDGAR series identifier (if any):** S000007070

- **c. LEI of Series:** G2GUNF34BXXVYK2PAF03

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $585496408.13

**Total Liabilities:** $80767153.41

**Net Assets:** $504729254.72

**Delayed Delivery Securities:** $28667777.36

**Cash Not Reported:** $512755.12

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2646.82648859 | **1-Year:** 41275.52924206 | **5-Year:** 70758.65454179 | **10-Year:** 40496.31994200 | **30-Year:** 9373.54490500

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000019284 | -0.05%               | 0.05%                | 1.15%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-27571.15               | $-1049976.54                               |
| Month 2  | $139411.84               | $-907834.89                                |
| Month 3  | $57773.44                | $3351056.32                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Intermediate Government Bond Index

- **Index Identifier:** 19808149

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fidelity Revere Street Trust                           | Fidelity Cash Central Fund                                                   | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   5641542 | NS      | $5642670.40   | 1.12%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.673% 03/25/2026                             | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    486922 | PA      | $485631.56    | 0.10%             | 2026-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.525% 05/25/2026                             | CUSIP: 3137BQYS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1642071 | PA      | $1634943.90   | 0.32%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.57% 07/25/2026                              | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1623363 | PA      | $1613918.32   | 0.32%             | 2026-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026                             | CUSIP: 3137BSP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2483219.75   | 0.49%             | 2026-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FHMS K059 A2 CSTR 09/25/2026                                                 | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471509 | PA      | $468978.50    | 0.09%             | 2026-09-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.3% 10/25/2026                               | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4100000 | PA      | $4079388.48   | 0.81%             | 2026-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.347% 11/25/2026                             | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12807703 | PA      | $12747755.74  | 2.53%             | 2026-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.413% 12/25/2026                             | CUSIP: 3137BUX60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2278537 | PA      | $2268416.67   | 0.45%             | 2026-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.43% 01/25/2027                              | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    497760 | PA      | $495649.49    | 0.10%             | 2027-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.243% 04/25/2027                             | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2200000 | PA      | $2186439.20   | 0.43%             | 2027-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.194% 07/25/2027                             | CUSIP: 3137FAWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $694791.51    | 0.14%             | 2027-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.244% 08/25/2027                             | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $3176017.60   | 0.63%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.125% 11/15/2028                                                  | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8510000 | PA      | $8452491.04   | 1.67%             | 2028-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 12/01/2032#BM5109                                               | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68710 | PA      | $67562.09     | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2019-K735 A2 2.862% 05/25/2026                | CUSIP: 3137FMU67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    798782 | PA      | $795703.71    | 0.16%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.282% 07/25/2026                             | CUSIP: 3137FNWX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    870290 | PA      | $865174.73    | 0.17%             | 2026-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.5% 01/31/2027                                                    | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5049000 | PA      | $4956421.84   | 0.98%             | 2027-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT K737 A2 2.525% 10/25/2026                     | CUSIP: 3137FQXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8200000 | PA      | $8133318.42   | 1.61%             | 2026-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 15YR 3% 12/01/2030#ZS8591                                               | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13194 | PA      | $12999.49     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 1.336% 09/25/2027                             | CUSIP: 3137F64P9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5963448 | PA      | $5782058.13   | 1.15%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 2% 11/01/2050#SD8106                                               | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50771 | PA      | $42502.80     | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 2% 01/20/2051#MA7135                                                 | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    540065 | PA      | $457816.76    | 0.09%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 2% 09/20/2050#MA6864                                                 | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92936 | PA      | $78956.55     | 0.02%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.125% 08/31/2028                                                  | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53595000 | PA      | $50718455.59  | 10.05%            | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 02/01/2035#                                                     | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17067 | PA      | $16823.96     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.25% 09/30/2028                                                   | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $549572.65    | 0.11%             | 2028-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 2.5% 12/01/2051#CB2320                                             | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538042 | PA      | $473489.49    | 0.09%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.25% 12/31/2026                                                   | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3278000 | PA      | $3216501.64   | 0.64%             | 2026-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 1.875% 02/28/2027                                                  | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2980000 | PA      | $2932017.35   | 0.58%             | 2027-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2044                                 | CUSIP: 3136BL6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    505107 | PA      | $491818.22    | 0.10%             | 2044-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 2% 03/20/2052#                                                       | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113656 | PA      | $96346.72     | 0.02%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.875% 04/30/2029                                                  | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $590484.37    | 0.12%             | 2029-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.875% 05/15/2032                                                  | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2646000 | PA      | $2530857.67   | 0.50%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.75% 07/31/2027                                                   | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2880000 | PA      | $2852324.99   | 0.57%             | 2027-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.625% 07/31/2029                                                  | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    410000 | PA      | $399605.86    | 0.08%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 2.75% 08/15/2032                                                   | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13693000 | PA      | $12961815.16  | 2.57%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 10/31/2029                                                      | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6419601.59   | 1.27%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 5% 11/01/2052#FS3295                                               | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118334 | PA      | $120430.92    | 0.02%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 12/31/2027                                                  | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1814643.54   | 0.36%             | 2027-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 01/31/2028                                                    | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1920000 | PA      | $1923675.00   | 0.38%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 02/15/2033                                                    | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    730000 | PA      | $719991.01    | 0.14%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 2% 02/01/2028#FS3865                                               | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37791 | PA      | $37212.79     | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 03/15/2026                                                  | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    620000 | PA      | $620181.29    | 0.12%             | 2026-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.625% 03/31/2030                                                  | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4740000 | PA      | $4767773.46   | 0.94%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.375% 05/15/2033                                                  | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    290000 | PA      | $283259.76    | 0.06%             | 2033-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    355689 | PA      | $331687.92    | 0.07%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                 | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1064478 | PA      | $974532.94    | 0.19%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 2% 11/01/2041#CB2110                                               | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318814 | PA      | $284332.28    | 0.06%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     78945 | PA      | $73363.65     | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                               | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    105635 | PA      | $96153.51     | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    104106 | PA      | $96681.38     | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                       | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    137894 | PA      | $131295.65    | 0.03%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                        | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    194915 | PA      | $185632.47    | 0.04%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 06/01/2053#CB6538                                               | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282979 | PA      | $295507.10    | 0.06%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 06/01/2053#CB6539                                               | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229412 | PA      | $239281.54    | 0.05%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                        | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    101115 | PA      | $88462.99     | 0.02%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                        | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    107457 | PA      | $94010.87     | 0.02%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                       | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     88820 | PA      | $81177.62     | 0.02%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                      | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    139721 | PA      | $127107.71    | 0.03%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                      | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    101428 | PA      | $92487.23     | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047 | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     79683 | PA      | $72435.20     | 0.01%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                       | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    504914 | PA      | $454128.21    | 0.09%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                       | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     99406 | PA      | $92407.39     | 0.02%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                       | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    117699 | PA      | $105768.06    | 0.02%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 06/30/2028                                                      | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8620000 | PA      | $8739198.39   | 1.73%             | 2028-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.75% 06/30/2030                                                   | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14430000 | PA      | $14580500.43  | 2.89%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 15YR 3.5% 01/01/2034#G18720                                             | CUSIP: 3128MMYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171042 | PA      | $169800.66    | 0.03%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 15YR 3% 02/01/2033#SB0621                                               | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11953 | PA      | $11782.69     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 02/01/2031#FS1234                                               | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41895 | PA      | $41353.02     | 0.01%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 09/01/2035#FS0112                                               | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108181 | PA      | $106373.49    | 0.02%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 11/01/2034#FS1799                                               | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24606 | PA      | $24244.05     | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 15YR 3% 07/01/2034#FM8940                                               | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49268 | PA      | $48580.84     | 0.01%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 5.5% 09/01/2052#SD1579                                             | CUSIP: 3132DNXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209896 | PA      | $216688.42    | 0.04%             | 2052-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 07/31/2030                                                      | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2560000 | PA      | $2612800.00   | 0.52%             | 2030-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 5.5% 06/01/2053#CB6642                                             | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88367 | PA      | $91420.11     | 0.02%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 08/15/2033                                                  | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1350000 | PA      | $1359808.59   | 0.27%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 3% 10/01/2040#FM7397                                               | CUSIP: 3140XBGF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012859 | PA      | $973175.64    | 0.19%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 3% 09/01/2041#FM9587                                               | CUSIP: 3140XDUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370435 | PA      | $352332.79    | 0.07%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 08/31/2030                                                  | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3770000 | PA      | $3866458.99   | 0.77%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 09/30/2030                                                  | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11400000 | PA      | $11935710.97  | 2.36%             | 2030-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 09/30/2028                                                  | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10550000 | PA      | $10871033.23  | 2.15%             | 2028-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 6.5% 10/01/2053#RJ0002                                             | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266872 | PA      | $281942.20    | 0.06%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 6.5% 10/01/2053#RJ0001                                             | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    263939 | PA      | $279255.40    | 0.06%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 20YR 2.5% 05/01/2041#SC0237                                             | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449341 | PA      | $416966.27    | 0.08%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 2.5% 05/01/2042#RB0806                                             | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17065 | PA      | $15687.98     | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 20YR 2.5% 05/01/2042#RB0710                                             | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35457 | PA      | $32637.41     | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 20YR 2.5% 02/01/2042#SC0248                                             | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212482 | PA      | $196160.52    | 0.04%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 20YR 2.5% 11/01/2041#SC0210                                             | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1136806 | PA      | $1047869.15   | 0.21%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 1.5% 06/25/2051                               | CUSIP: 3137H1B70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    403240 | PA      | $349868.89    | 0.07%             | 2051-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                         | GNMA II 2.5% 09/20/2051#785616                                               | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    333974 | PA      | $293552.52    | 0.06%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.5% 09/25/2051                               | CUSIP: 3137H6XY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    573491 | PA      | $566766.43    | 0.11%             | 2051-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2044                              | CUSIP: 3137H7FZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    327167 | PA      | $320412.07    | 0.06%             | 2044-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.875% 10/31/2030                                                  | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12410000 | PA      | $13133270.31  | 2.60%             | 2030-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.875% 10/31/2028                                                  | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    258000 | PA      | $267654.85    | 0.05%             | 2028-10-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.5% 04/25/2052                               | CUSIP: 3137H6RW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    217660 | PA      | $212019.30    | 0.04%             | 2052-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 3.5% 01/25/2051                               | CUSIP: 3137H77F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    286497 | PA      | $277009.01    | 0.05%             | 2051-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.625% 11/15/2026                                                  | CUSIP: 91282CJK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12958000 | PA      | $13047309.00  | 2.59%             | 2026-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 11/30/2028                                                  | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6350000 | PA      | $6511974.59   | 1.29%             | 2028-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 11/30/2030                                                  | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2016000 | PA      | $2090970.00   | 0.41%             | 2030-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 12/15/2026                                                  | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    760000 | PA      | $764755.94    | 0.15%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 01/15/2027                                                      | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4740000 | PA      | $4758330.48   | 0.94%             | 2027-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                         | GNMA II 2.5% 08/20/2051#785575                                               | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    376875 | PA      | $331260.30    | 0.07%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                         | GNMA II 2.5% 12/20/2051#785792                                               | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444808 | PA      | $390971.79    | 0.08%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 01/31/2031                                                      | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $714710.93    | 0.14%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 02/15/2027                                                  | CUSIP: 91282CKA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20080000 | PA      | $20188400.68  | 4.00%             | 2027-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 02/28/2031                                                   | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4250000 | PA      | $4388125.00   | 0.87%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                | FHLM 30YR 6% 09/01/2053#RA9856                                               | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38648 | PA      | $40177.45     | 0.01%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 11/01/2053#FS6498                                               | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152025 | PA      | $157483.72    | 0.03%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 03/01/2054#CB8112                                               | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38839 | PA      | $40027.70     | 0.01%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6.5% 03/01/2054#CB8113                                             | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103602 | PA      | $108116.58    | 0.02%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 03/15/2027                                                   | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7250000 | PA      | $7304139.67   | 1.45%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 03/31/2031                                                  | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3670000 | PA      | $3768487.90   | 0.75%             | 2031-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.375% 05/15/2034                                                  | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    670000 | PA      | $695622.27    | 0.14%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046                              | CUSIP: 3136AWGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1155068 | PA      | $1078485.22   | 0.21%             | 2046-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 2024-K523 AS TSFR1M+55 05/25/2029             | CUSIP: 3137HDJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2296742 | PA      | $2298069.96   | 0.46%             | 2029-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 06/30/2031                                                   | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4920000 | PA      | $5082782.82   | 1.01%             | 2031-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 06/30/2029                                                   | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3960000 | PA      | $4063021.78   | 0.80%             | 2029-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 07/31/2029                                                      | CUSIP: 91282CLC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $203720.42    | 0.04%             | 2029-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 08/15/2034                                                  | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4680000 | PA      | $4686806.12   | 0.93%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 09/30/2029                                                    | CUSIP: 91282CLN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7540000 | PA      | $7556199.24   | 1.50%             | 2029-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 10/31/2029                                                  | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2537000 | PA      | $2596064.53   | 0.51%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 10/31/2026                                                  | CUSIP: 91282CLS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20062343.80  | 3.97%             | 2026-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 11/15/2034                                                   | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2016000 | PA      | $2071203.74   | 0.41%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                            | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3560000 | PA      | $3593514.05   | 0.71%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 11/30/2031                                                  | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3110000 | PA      | $3192730.85   | 0.63%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 5.5% 12/20/2054#MB0092                                               | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165172 | PA      | $167655.47    | 0.03%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 01/15/2028                                                   | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12080000 | PA      | $12263087.50  | 2.43%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                | FHLM 30YR 6.5% 01/01/2055#RJ3308                                             | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309156 | PA      | $326709.84    | 0.06%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6.5% 01/01/2055#CB9828                                             | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170185 | PA      | $180659.73    | 0.04%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                               | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    290177 | PA      | $292240.83    | 0.06%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                        | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    444170 | PA      | $447757.98    | 0.09%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                        | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    218464 | PA      | $219622.82    | 0.04%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                            | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    287522 | PA      | $289910.86    | 0.06%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                            | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    370608 | PA      | $374541.52    | 0.07%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                  | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    428812 | PA      | $433226.44    | 0.09%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                        | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    671411 | PA      | $679598.97    | 0.13%             | 2053-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                        | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    681665 | PA      | $686556.36    | 0.14%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                            | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    516144 | PA      | $520349.52    | 0.10%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                        | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    435901 | PA      | $439559.17    | 0.09%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.75% 02/15/2045                                                   | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3940000 | PA      | $4038500.00   | 0.80%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                            | USTN TII 2.375% 02/15/2055                                                   | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1490000 | PA      | $1508777.85   | 0.30%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 03/15/2028                                                  | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $3533359.38   | 0.70%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 03/31/2027                                                  | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6410000 | PA      | $6434538.25   | 1.27%             | 2027-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 03/31/2032                                                  | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4105156.24   | 0.81%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                 | GSCM SWAP REC 3.9025 04/14/26                                                | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   1360000 | NC      | $42598.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                 | GSCM SWAP PAY 3.9025 04/14/26                                                | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   1360000 | NC      | $1288.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.75% 04/30/2027                                                   | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3240000 | PA      | $3249365.61   | 0.64%             | 2027-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP PAY 4.065 05/02/30                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5120000 | NC      | $136486.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP REC 4.065 05/02/30                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   5120000 | NC      | $195411.97    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                          | FHLG 30YR 6% 12/01/2052#RA8306                                               | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327808 | PA      | $342627.83    | 0.07%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 07/01/2053#FS5067                                               | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507161 | PA      | $529613.14    | 0.10%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP PAY 4.01 05/07/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2200000 | NC      | $60692.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                  | BOAM SWAP REC 4.01 05/07/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2200000 | NC      | $81075.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                            | UNITED STATES TREASURY BOND 5% 05/15/2045                                    | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1130000 | PA      | $1194533.60   | 0.24%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.125% 05/31/2032                                                  | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1600000 | PA      | $1641581.12   | 0.33%             | 2032-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 05/31/2027                                                  | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5200000 | PA      | $5224781.22   | 1.04%             | 2027-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                             | FNMA 30YR 6% 06/01/2055#CC0577                                               | CUSIP: 3140Y6UB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378804 | PA      | $396905.17    | 0.08%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5330 FA SOFR30A+105 08/25/2053                | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1310169 | PA      | $1319104.83   | 0.26%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    923254 | PA      | $931770.86    | 0.18%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+105 04/25/2055                        | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1181196 | PA      | $1187879.51   | 0.24%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.75% 06/30/2027                                                   | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $8030000.00   | 1.59%             | 2027-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                            | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                 | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    620000 | PA      | $631334.38    | 0.13%             | 2055-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4.25% 08/15/2035                                                   | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23140000 | PA      | $23714884.38  | 4.70%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                         | CITI SWAP REC 4.146 07/30/30                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4330000 | NC      | $172050.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                         | CITI SWAP PAY 4.146 07/30/30                                                 | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4330000 | NC      | $114884.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+110 FB 11/25/2054                     | CUSIP: 3137HHF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    462595 | PA      | $465251.55    | 0.09%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                 | US ULTRA BOND CBT FUT JUN26 WNM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         8 | NC      | $12644.11     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                 | US 10YR NOTE FUT (CBT)JUN26 TYM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       454 | NC      | $399946.76    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                 | US LONG BOND(CBT) FUT JUN26 USM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -19 | NC      | $-22599.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                 | US 2YR NOTE (CBT) FUT JUN26 TUM6                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       456 | NC      | $132954.42    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 2.5% 03/01/2056 #TBA                                                 | CUSIP: 21H022630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -150000 | PA      | $-132336.03   | -0.03%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 6% 03/01/2056 #TBA                                                   | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12525000 | PA      | $12779074.64  | 2.53%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 6% 03/01/2056 #TBA                                                   | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -12525000 | PA      | $-12779074.64 | -2.53%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 2% 03/01/2056 #TBA                                                 | CUSIP: 01F020638<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2500000 | PA      | $-2070410.25  | -0.41%            | 2056-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 2.5% 03/01/2056 #TBA                                               | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5100000 | PA      | $4416480.66   | 0.88%             | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 2.5% 03/01/2056 #TBA                                               | CUSIP: 01F022634<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -5100000 | PA      | $-4416480.66  | -0.88%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 3% 03/01/2056 #TBA                                                 | CUSIP: 01F030637<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -6300000 | PA      | $-5696824.14  | -1.13%            | 2056-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 4% 03/01/2056 #TBA                                                 | CUSIP: 01F040636<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4500000 | PA      | $-4373964.90  | -0.87%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 4% 03/01/2056 #TBA                                                 | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2325000 | PA      | $2259881.87   | 0.45%             | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 4.5% 03/01/2056 #TBA                                               | CUSIP: 01F042632<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -5200000 | PA      | $-5141906.12  | -1.02%            | 2056-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 6% 03/01/2056 #TBA                                                 | CUSIP: 01F060634<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -5700000 | PA      | $-5846730.54  | -1.16%            | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 6% 03/01/2056 #TBA                                                 | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5700000 | PA      | $5846730.54   | 1.16%             | 2056-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 10/15/2028                                                    | CUSIP: 91282CPC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3520000 | PA      | $3529625.09   | 0.70%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 6% 04/01/2056 #TBA                                                   | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3400000 | PA      | $-3466579.82  | -0.69%            | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER              | GNII II 6% 04/01/2056 #TBA                                                   | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3400000 | PA      | $3466579.82   | 0.69%             | 2056-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                   | UMBS 30YR 2.5% 04/01/2056 #TBA                                               | CUSIP: 01F022642<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -5100000 | PA      | $-4416679.56  | -0.88%            | 2056-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                            | UNITED STATES TREASURY BOND 4.625% 11/15/2055                                | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1890000 | PA      | $1886751.56   | 0.37%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 4% 11/15/2035                                                      | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8210000 | PA      | $8239504.69   | 1.63%             | 2035-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.75% 11/30/2032                                                   | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2530000 | PA      | $2536819.13   | 0.50%             | 2032-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                         | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 09/25/2053                        | CUSIP: 3136BQY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    354561 | PA      | $357117.34    | 0.07%             | 2053-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                  | LCH OIS SOFRV3.5% MAC 03/18/28                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -35617000 | NC      | $-67314.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                  | LCH OIS SOFRV4.0% MAC 03/18/56                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   1160000 | NC      | $49460.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                  | LCH OIS SOFRV3.5% MAC 03/18/29                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -21554000 | NC      | $-131334.99   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.875% 12/31/2032                                                  | CUSIP: 91282CPQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    810000 | PA      | $817973.44    | 0.16%             | 2032-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 01/15/2029                                                    | CUSIP: 91282CPT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9700000 | PA      | $9729554.74   | 1.93%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD  | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+52 11/25/2030                         | CUSIP: 3137HPUB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1999810 | PA      | $1999808.47   | 0.40%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                     | JPSW SWAP REC 3.964 01/26/27                                                 | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   5600000 | NC      | $239346.13    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                     | JPSW SWAP PAY 3.964 01/26/27                                                 | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   5600000 | NC      | $73551.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                              | UST NOTES 3.5% 02/15/2029                                                    | CUSIP: 91282CQA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10690000 | PA      | $10723406.25  | 2.12%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS                              | FEDERAL FARM CREDIT BANKS VFAC SOFR+12 06/12/2028                            | CUSIP: 3133EWDR8<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   7430000 | PA      | $7429926.00   | 1.47%             | 2028-06-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS                              | FEDERAL FARM CREDIT BANKS VFAC SOFR+16.5 01/19/2029                          | CUSIP: 3133EWEB2<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   7990000 | PA      | $7989867.85   | 1.58%             | 2029-01-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer