# EDGAR Filing Document

**Accession Number:** 0000719451
**File Stem:** 0000035402-26-000429
**Filing Date:** 2026-1
**Character Count:** 97642
**Document Hash:** 70098819462a0a43d3eb72592699d677
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-000429.hdr.sgml**: 20260123

**ACCESSION NUMBER**: 0000035402-26-000429

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260123

**DATE AS OF CHANGE**: 20260123

**PERIOD START**: 20251130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES IV
- **CENTRAL INDEX KEY:** 0000719451

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03737
- **FILM NUMBER:** 26555369

**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 INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** INCOME PORTFOLIOS
- **DATE OF NAME CHANGE:** 19920202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIXED INCOME PORTFOLIOS
- **DATE OF NAME CHANGE:** 19920202

## Series and Classes Contracts Data

### Fidelity Limited Term Government Fund (Series ID: S000005156)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000014122 | Fidelity Limited Term Government Fund | FFXSX           |

## 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 Advisor Series IV

- **b. Investment Company Act file number:** 811-03737

- **c. CIK number of Registrant:** 0000719451

- **d. LEI of Registrant:** TWU5ZDKYQKOGXIY3DA15

- **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 Limited Term Government Fund

- **b. EDGAR series identifier (if any):** S000005156

- **c. LEI of Series:** 0U5BQ6QF0FN18LRW8R10

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

- **a. Date of fiscal year-end:** 2025-11-30

- **b. Date as of which information is reported:** 2025-11-30

**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:** $178888190.27

**Total Liabilities:** $11255791.72

**Net Assets:** $167632398.55

**Delayed Delivery Securities:** $6005780.28

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 708.20753339 | **1-Year:** 16617.65919870 | **5-Year:** 14380.88039996 | **10-Year:** 2955.07192342 | **30-Year:** 1851.89826838

**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 C000014122 | 0.37%                | 0.27%                | 0.57%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $23215.91                | $97491.80                                  |
| Month 2  | $93662.69                | $7915.56                                   |
| Month 3  | $84723.00                | $202439.91                                 |

**Designated Index Information**

- **Index Name:** Bloomberg US 1-5 Year Government Bond Index

- **Index Identifier:** 19808689

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 4.889% 3/33 #847126                                      | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        66 | PA      | $67.85        | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 5.12% 10/36 #1A1201                                      | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4493 | PA      | $4577.68      | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 5.12% 7/35 #1L0109                                       | CUSIP: 3128Q2DN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5918 | PA      | $6071.46      | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 5.01% 7/35 #1M1050                                       | CUSIP: 3128QFEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7469 | PA      | $7601.64      | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 4.87% 10/35 #1M1052                                      | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5628 | PA      | $5760.01      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 5.78% 10/35 #1N0063                                      | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $5.64         | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 5.80% 5/37 #1N1474                                       | CUSIP: 3128QHT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1311 | PA      | $1349.79      | 0.00%             | 2037-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 6.36% 7/36 #1B7105                                       | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3375 | PA      | $3498.26      | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 12M+1.75 9/1/41 #1B8787                                  | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12174 | PA      | $12674.15     | 0.01%             | 2041-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 5% 09/01/2035#                                          | CUSIP: 31297S7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       351 | PA      | $358.35       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM RFT1Y+190 9 10/42#849255                                 | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6502 | PA      | $6771.65      | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2145 MZ 6.5% 4/29                                             | CUSIP: 3133TKE22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     20006 | PA      | $20366.62     | 0.01%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2357 ZB 6.5% 9/31                                             | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     20798 | PA      | $21439.60     | 0.01%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 4.56% 6/33 #780605                                       | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7313 | PA      | $7428.91      | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 4.00% 4/34 #781481                                       | CUSIP: 31349SUE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15562 | PA      | $15889.63     | 0.01%             | 2034-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.00% 1/34 #255070                                           | CUSIP: 31371LJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6514 | PA      | $6810.90      | 0.00%             | 2034-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 7/32 #545759                                           | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6477 | PA      | $6775.54      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 7/32 #545762                                           | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1503 | PA      | $1571.50      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.428% 7/36 #555923                                      | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3792 | PA      | $3862.42      | 0.00%             | 2036-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 4.5% 06/41#AI4294                                       | CUSIP: 3138AHXY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136455 | PA      | $137404.39    | 0.08%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 0.0% 01/01/2042#AJ8357                                   | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11648 | PA      | $12135.28     | 0.01%             | 2042-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.691% 02/01/2042#AK2344                                 | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5149 | PA      | $5376.44      | 0.00%             | 2042-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2001-38 QF SOFR30A+109.448 8/31                               | CUSIP: 313920QV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      7224 | PA      | $7279.37      | 0.00%             | 2031-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-49 FB SOFR30A+71.448 11/31                               | CUSIP: 31392DYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      7149 | PA      | $7129.15      | 0.00%             | 2031-11-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-60 FV SOFR30A+111.448 4/32                               | CUSIP: 31392EVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      1474 | PA      | $1482.51      | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-75 FA SOFR30A+111.448 11/32                              | CUSIP: 31392FMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      3019 | PA      | $3037.07      | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FNR 2002-74 FV SOFR30A+56.448 11/32                               | CUSIP: 31392FRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      4628 | PA      | $4627.70      | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2448 FT SOFR30A+111.448 3/32                                  | CUSIP: 31392KYV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      6937 | PA      | $6983.94      | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2530 FE SOFR30A+71.448 2/32                                   | CUSIP: 31393FAU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      4001 | PA      | $4000.54      | 0.00%             | 2032-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2526 FC SOFR30A+51.448 11/32                                  | CUSIP: 31393FGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      7228 | PA      | $7218.23      | 0.00%             | 2032-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                        | FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034                    | CUSIP: 31394AEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    157182 | PA      | $160001.45    | 0.10%             | 2034-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2711 FC SOFR30A+101.448 2/33                                  | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     24116 | PA      | $24230.23     | 0.01%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2770 FH SOFR30A+51.448 3/34                                   | CUSIP: 31394TZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     28028 | PA      | $27856.49     | 0.02%             | 2034-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 2802 ZG 5.5% 5/15/34                                          | CUSIP: 31394YRN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    129424 | PA      | $132456.36    | 0.08%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FHR 3415 PC 5% 12/37                                              | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     13363 | PA      | $13596.78     | 0.01%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                            | FNR 2010-15 FJ SOFR30A+104.448 6/36                               | CUSIP: 31398MRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     99985 | PA      | $100813.03    | 0.06%             | 2036-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                            | FNR 2010-39 FG SOFR30A+103.448 3/36                               | CUSIP: 31398PU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     75487 | PA      | $76061.94     | 0.05%             | 2036-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.801% 2/33 #695019                                      | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       314 | PA      | $318.23       | 0.00%             | 2033-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.564% 4/33 #713937                                      | CUSIP: 31401PEJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9583 | PA      | $9734.13      | 0.01%             | 2033-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.89% 3/33 #725130                                       | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1542 | PA      | $1582.42      | 0.00%             | 2033-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.00% 8/34 #725703                                           | CUSIP: 31402DGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11395 | PA      | $11946.04     | 0.01%             | 2034-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.00% 11/34 #735061                                          | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8907 | PA      | $9342.78      | 0.01%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 12/32 #735415                                          | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2259 | PA      | $2362.31      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.00% 4/35 #735503                                           | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17437 | PA      | $18273.09     | 0.01%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.60% 8/35 #735810                                       | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4064 | PA      | $4165.51      | 0.00%             | 2035-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.87% 1/35 #735833                                       | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       727 | PA      | $746.31       | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 7/35 #745092                                           | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2561 | PA      | $2692.54      | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 3.753% 10/33 #746320                                     | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       954 | PA      | $976.10       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.358% 10/33 #754672                                     | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       678 | PA      | $689.44       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.05% 7/34 #801635                                       | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       409 | PA      | $418.53       | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.293% 3/35 #815586                                      | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       613 | PA      | $626.52       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.344% 7/35 #834917                                      | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       471 | PA      | $479.54       | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.349% 12/34 #843013                                     | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       879 | PA      | $893.65       | 0.00%             | 2034-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.280% 3/35 #843014                                      | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       781 | PA      | $794.84       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.893% 10/35 #847787                                     | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2087 | PA      | $2132.96      | 0.00%             | 2035-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 7.54% 12/32 #849931                                      | CUSIP: 31408FHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27015 | PA      | $27639.64     | 0.02%             | 2032-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.66% 4/36 #868559                                       | CUSIP: 31409D5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7312 | PA      | $7561.40      | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 6.25% 6/36 #886983                                       | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       285 | PA      | $292.39       | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 8/36 #888034                                           | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3729 | PA      | $3916.72      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.44% 2/37 #888171                                       | CUSIP: 31410FW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9303 | PA      | $9594.64      | 0.01%             | 2037-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 8/36 #888544                                           | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18930 | PA      | $19853.09     | 0.01%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 28YR 6.00% 6/36 #889046                                      | CUSIP: 31410GWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27580 | PA      | $28929.94     | 0.02%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 6.22% 3/37 #910296                                       | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3610 | PA      | $3725.22      | 0.00%             | 2037-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 4.58% 7/35 #995273                                       | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       460 | PA      | $473.06       | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 11/36 #995606                                            | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2677 | PA      | $2756.12      | 0.00%             | 2036-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 5.869% 5/36 #995608                                      | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       504 | PA      | $519.54       | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 12/35 #AD0723                                          | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20767 | PA      | $21790.65     | 0.01%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 6.50% 8/36 #AE0746                                           | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14962 | PA      | $15684.10     | 0.01%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                          | Fidelity Cash Central Fund                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  12396126 | NS      | $12398605.11  | 7.40%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                        | GNMA II 5.47% 8/59 #725598                                        | CUSIP: 3620ACDB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       101 | PA      | $100.40       | 0.00%             | 2059-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                        | GNMA 6.00% 6/36 #782394                                           | CUSIP: 36241KUT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81869 | PA      | $85620.44     | 0.05%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2008-2 FD TSFR1M+59.448 1/38                                  | CUSIP: 38374DMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      5369 | PA      | $5349.87      | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2010-H19 FG TSFR1M+41.448 8/60                                | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     76632 | PA      | $76393.45     | 0.05%             | 2060-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2010-H27 FA TSFR1M+38 12/60                                   | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     44729 | PA      | $44655.51     | 0.03%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H05 FA TSFR1M+61.448 12/60                               | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     33825 | PA      | $33827.90     | 0.02%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H07 FA TSFR1M+61.448 3/61                                | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     36223 | PA      | $36224.74     | 0.02%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H12 FA TSFR1M+60.448 5/61                                | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     38358 | PA      | $38353.04     | 0.02%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H13 FA TSFR1M+61.448 4/61                                | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     31911 | PA      | $31915.78     | 0.02%             | 2061-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H14 FB TSFR1M+61.448 5/61                                | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     33427 | PA      | $33426.57     | 0.02%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H14 FC TSFR1M+61.448 5/61                                | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     29333 | PA      | $29334.65     | 0.02%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H17 FA TSFR1M+64.448 6/61                                | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     30023 | PA      | $30037.80     | 0.02%             | 2061-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2011-H21 FA TSFR1M+71.448 10/61                               | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     32186 | PA      | $32238.38     | 0.02%             | 2061-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H01 FA TSFR1M+81.448 11/61                               | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     36193 | PA      | $36279.90     | 0.02%             | 2061-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM                         | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     21742 | PA      | $21802.03     | 0.01%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H06 FA TSFR1M+74.448 1/62                                | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     42991 | PA      | $43078.41     | 0.03%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2012-H07 FA TSFR1M+74.448 3/20/62                             | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     23806 | PA      | $23836.68     | 0.01%             | 2062-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2007-59 FC TSFR1M+61.448 7/37                                 | CUSIP: 38375LQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     20278 | PA      | $20226.78     | 0.01%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2008-73 FA TSFR1M+97.448 8/38                                 | CUSIP: 38375XJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     40286 | PA      | $40742.31     | 0.02%             | 2038-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2008-83 FB TSFR1M+101.448 9/38                                | CUSIP: 38375YFB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     31073 | PA      | $31460.39     | 0.02%             | 2038-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2009-108 CF TSFR1M+71.448 11/39                               | CUSIP: 38376ENU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     28810 | PA      | $28805.43     | 0.02%             | 2039-11-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2009-116 KF TSFR1M+64.448 12/39                               | CUSIP: 38376PA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     16089 | PA      | $16052.12     | 0.01%             | 2039-12-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2015-H13 FL TSFR1M+39.448 05/63                               | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1494 | PA      | $1488.02      | 0.00%             | 2063-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63      | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1359 | PA      | $1340.20      | 0.00%             | 2063-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065           | CUSIP: 38376RLC8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     10300 | PA      | $10040.96     | 0.01%             | 2062-09-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS     | GNR 2011-68 EC 3.5% 4/20/41                                       | CUSIP: 38377VW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     58686 | PA      | $58020.33     | 0.03%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.501% 04/01/2044#AV5913                                 | CUSIP: 3138XHSB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3833 | PA      | $3955.46      | 0.00%             | 2044-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.543% 01/44#AV5544                                      | CUSIP: 3138XHES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5086 | PA      | $5242.25      | 0.00%             | 2044-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.686% 04/01/2044#AL5128                                 | CUSIP: 3138EMVW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7349 | PA      | $7596.15      | 0.00%             | 2044-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.457% 02/01/2044#AL5114                                 | CUSIP: 3138EMVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5264 | PA      | $5429.86      | 0.00%             | 2044-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA ARM 2.562% 02/44#AL5596                                      | CUSIP: 3138ENGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1485 | PA      | $1532.06      | 0.00%             | 2044-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION               | FHLM ARM 2.986% 10/01/2041#1B8864                                 | CUSIP: 3128UHGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26081 | PA      | $27202.97     | 0.02%             | 2041-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD | FEDERAL HOME LN MTG MLT CTF GT 2.995% 12/25/2025                  | CUSIP: 3137BN6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221707 | PA      | $221081.61    | 0.13%             | 2025-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2016-H13 FB T1Y+50 05/20/2066                                 | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     41272 | PA      | $41215.25     | 0.02%             | 2066-05-20      | Variable      | 0.04%                 | No            |                  2 | 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        |   1121491 | PA      | $1115763.32   | 0.67%             | 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 2.57% 07/25/2026                   | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    915499 | PA      | $907341.41    | 0.54%             | 2026-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MA 2016-H20 FM TSFR1M+51.448 12/20/2062            | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      3004 | PA      | $2990.37      | 0.00%             | 2062-12-20      | 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 2.653% 08/25/2026                  | CUSIP: 3137BSP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1187846.04   | 0.71%             | 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        |    298694 | PA      | $296490.10    | 0.18%             | 2026-09-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061 | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        87 | PA      | $87.07        | 0.00%             | 2061-05-20      | 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 3.3% 10/25/2026                    | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $496576.05    | 0.30%             | 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        |   4678883 | PA      | $4639119.50   | 2.77%             | 2026-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNMA 2017-H06 FA T1Y+35 08/66                                     | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     54258 | PA      | $54059.07     | 0.03%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 6% 01/01/2035#787546                                    | CUSIP: 31405E5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14552 | PA      | $15312.70     | 0.01%             | 2035-01-01      | 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 3.43% 01/25/2027                   | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $397757.04    | 0.24%             | 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        |    900000 | PA      | $892377.27    | 0.53%             | 2027-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 20YR 3.5% 07/01/2032#G31067                                  | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67377 | PA      | $66657.50     | 0.04%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GNR 2017-134 BA 2.5% 11/46                                        | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     22743 | PA      | $21003.04     | 0.01%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS | GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068         | CUSIP: 38380LGR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    353294 | PA      | $345822.77    | 0.21%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 4% 10/01/2046#BC4754                                    | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228459 | PA      | $223154.04    | 0.13%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 4% 07/01/46#BC1443                                      | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207033 | PA      | $202355.46    | 0.12%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 4% 09/46#BC2843                                         | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248531 | PA      | $242915.56    | 0.14%             | 2046-09-01      | 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 3.208% 02/25/2026                  | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143224 | PA      | $142697.30    | 0.09%             | 2026-02-25      | 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 2019-K735 A2 2.862% 05/25/2026     | CUSIP: 3137FMU67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    460021 | PA      | $457106.86    | 0.27%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                            | FNMA 30YR 3% 08/01/2049#MA3744                                    | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20513 | PA      | $18530.76     | 0.01%             | 2049-08-01      | 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 2.282% 07/25/2026                  | CUSIP: 3137FNWX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973826 | PA      | $963934.67    | 0.58%             | 2026-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3% 10/01/2049#SD8016                                    | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5980 | PA      | $5385.18      | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.625% 09/30/2026                                       | CUSIP: 912828YG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    552000 | PA      | $542823.86    | 0.32%             | 2026-09-30      | 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        |   1144000 | PA      | $1116651.25   | 0.67%             | 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        |   3000000 | PA      | $2964991.50   | 1.77%             | 2026-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER             | GNII II 3.5% 02/20/2050#MA6475                                    | CUSIP: 36179VFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7397 | PA      | $6891.81      | 0.00%             | 2050-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 0.75% 08/31/2026                                        | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4567000 | PA      | $4468309.96   | 2.67%             | 2026-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.125% 10/31/2026                                       | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $781856.25    | 0.47%             | 2026-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 1.25% 12/31/2026                                        | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7119000 | PA      | $6941303.07   | 4.14%             | 2026-12-31      | Fixed         | 0.01%                 | 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        |    462893 | PA      | $446410.33    | 0.27%             | 2044-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3% 03/01/2052#RA6988                                    | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107689 | PA      | $96476.67     | 0.06%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 2.5% 03/31/2027                                         | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14200000 | PA      | $14002531.25  | 8.35%             | 2027-03-31      | 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        |   6310000 | PA      | $6229646.06   | 3.72%             | 2027-07-31      | 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        |   2320000 | PA      | $2357246.88   | 1.41%             | 2029-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.875% 11/30/2027                                       | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4110000 | PA      | $4138898.44   | 2.47%             | 2027-11-30      | 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        |     80719 | PA      | $81481.21     | 0.05%             | 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        |  10479000 | PA      | $10557550.58  | 6.30%             | 2027-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4% 02/29/2028                                           | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3140000 | PA      | $3173853.13   | 1.89%             | 2028-02-29      | 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        |     29986 | PA      | $29443.95     | 0.02%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.625% 03/31/2028                                       | CUSIP: 91282CGT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2250000 | PA      | $2256767.57   | 1.35%             | 2028-03-31      | 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 2.5% 11/25/2047                    | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    364495 | PA      | $335503.88    | 0.20%             | 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        |    952566 | PA      | $862761.55    | 0.51%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.625% 05/31/2028                                       | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $2407781.26   | 1.44%             | 2028-05-31      | 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 2.5% 11/25/2047                    | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     70035 | PA      | $64202.08     | 0.04%             | 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        |    108060 | PA      | $96833.47     | 0.06%             | 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        |     92337 | PA      | $84577.57     | 0.05%             | 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        |    122882 | PA      | $115331.38    | 0.07%             | 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        |    173806 | PA      | $163169.06    | 0.10%             | 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        |    262694 | PA      | $272996.60    | 0.16%             | 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        |    196192 | PA      | $203824.56    | 0.12%             | 2053-06-01      | Fixed         | 0.06%                 | 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        |    356385 | PA      | $365585.14    | 0.22%             | 2052-09-01      | 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 3% 10/25/2040                      | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     67954 | PA      | $62421.03     | 0.04%             | 2040-10-25      | Fixed         | 0.03%                 | 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        |    166572 | PA      | $157193.28    | 0.09%             | 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        |     59452 | PA      | $55528.65     | 0.03%             | 2041-09-01      | Fixed         | 0.03%                 | 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        |    159801 | PA      | $167836.71    | 0.10%             | 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        |    160985 | PA      | $169280.88    | 0.10%             | 2053-10-01      | Fixed         | 0.07%                 | 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        |    238379 | PA      | $201183.91    | 0.12%             | 2051-06-25      | 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 3.5% 09/25/2051                    | CUSIP: 3137H6XY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    341212 | PA      | $335716.95    | 0.20%             | 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        |    196663 | PA      | $191726.87    | 0.11%             | 2044-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.875% 10/31/2028                                       | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10612000 | PA      | $11012437.24  | 6.57%             | 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        |    151092 | PA      | $145213.99    | 0.09%             | 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        |    148252 | PA      | $141609.65    | 0.08%             | 2051-01-25      | 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        |    829000 | PA      | $857496.88    | 0.51%             | 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        |    150000 | PA      | $151142.65    | 0.09%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                        | CITI SWAP REC 3.694 12/12/2028                                    | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4300000 | NC      | $125481.78    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                        | CITI SWAP PAY 3.694 12/12/2028                                    | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4300000 | NC      | $117646.97    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4% 01/15/2027                                           | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1050000 | PA      | $1054429.69   | 0.63%             | 2027-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4% 01/31/2031                                           | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $386531.25    | 0.23%             | 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        |   8140000 | PA      | $8190557.05   | 4.89%             | 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        |    450000 | PA      | $463130.86    | 0.28%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.25% 03/15/2027                                        | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    460000 | PA      | $463809.38    | 0.28%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.125% 03/31/2029                                       | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    530000 | PA      | $539916.80    | 0.32%             | 2029-03-31      | 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        |    270000 | PA      | $276243.75    | 0.16%             | 2031-03-31      | 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 2024-K523 AS TSFR1M+55 05/25/2029  | CUSIP: 3137HDJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1198694 | PA      | $1200560.68   | 0.72%             | 2029-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4.25% 06/30/2029                                        | CUSIP: 91282CKX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5430000 | PA      | $5559810.67   | 3.32%             | 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        |    780000 | PA      | $792126.58    | 0.47%             | 2029-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.5% 09/30/2026                                         | CUSIP: 91282CLP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1280000 | PA      | $1278179.99   | 0.76%             | 2026-09-30      | 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        |  11130000 | PA      | $11109565.99  | 6.63%             | 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        |   1180000 | PA      | $1204291.41   | 0.72%             | 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        |  11930000 | PA      | $11977720.00  | 7.15%             | 2026-10-31      | 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        |    190000 | PA      | $190074.22    | 0.11%             | 2044-11-15      | Fixed         | 0.05%                 | 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        |    130707 | PA      | $131100.12    | 0.08%             | 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        |    199822 | PA      | $200623.66    | 0.12%             | 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        |     82721 | PA      | $82655.05     | 0.05%             | 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        |    116677 | PA      | $116870.72    | 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 SOFR30A+140 02/25/2055                 | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    178654 | PA      | $179845.13    | 0.11%             | 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        |    187728 | PA      | $188718.60    | 0.11%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                           | UNITED STATES TREASURY BOND 4.625% 02/15/2055                     | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650000 | PA      | $644667.14    | 0.38%             | 2055-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3% 04/01/2050#SD0516                                    | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10883 | PA      | $9801.01      | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                         | FHLG 30YR 3% 03/01/2050#SD0517                                    | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10871 | PA      | $9790.06      | 0.01%             | 2050-03-01      | 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 SOFR30A+115 02/25/2055             | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    368869 | PA      | $370214.48    | 0.22%             | 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        |    221659 | PA      | $222650.53    | 0.13%             | 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        |    182278 | PA      | $182586.17    | 0.11%             | 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        |   1090000 | PA      | $1107201.56   | 0.66%             | 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        |    250000 | PA      | $251308.68    | 0.15%             | 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        |   2550000 | PA      | $2571615.23   | 1.53%             | 2028-03-15      | 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        |   1460000 | PA      | $1491766.40   | 0.89%             | 2032-03-31      | Fixed         | 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        |    124098 | PA      | $129042.03    | 0.08%             | 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        |    191189 | PA      | $198746.80    | 0.12%             | 2053-07-01      | Fixed         | 0.06%                 | 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        |     40000 | PA      | $41931.25     | 0.03%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 4% 05/31/2030                                           | CUSIP: 91282CNG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1118949.22   | 0.67%             | 2030-05-31      | 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        |    145584 | PA      | $151941.38    | 0.09%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                | US 10YR NOTE FUT (CBT)MAR26 TYH6                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        34 | NC      | $17692.92     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                | US 5YR NOTE (CBT) FUT MAR26 FVH6                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       131 | NC      | $37657.59     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                | US 2YR NOTE (CBT) FUT MAR26 TUH6                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       126 | NC      | $13859.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER             | GNII II 6% 12/01/2055 #TBA                                        | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3300000 | PA      | $-3362648.52  | -2.01%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER             | GNII II 6% 12/01/2055 #TBA                                        | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3300000 | PA      | $3362648.52   | 2.01%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 6% 12/01/2055 #TBA                                      | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $255996.10    | 0.15%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                  | UMBS 30YR 6% 12/01/2055 #TBA                                      | CUSIP: 01F0606C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -250000 | PA      | $-255996.10   | -0.15%            | 2055-12-01      | 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 SOFR30A+53 06/25/2030              | CUSIP: 3137HMCF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $599751.96    | 0.36%             | 2030-06-25      | Variable      | 0.05%                 | 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        |    490000 | NC      | $19117.74     | 0.01%             |  |  |  | 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        |    490000 | NC      | $14735.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER             | GNII II 6% 01/01/2056 #TBA                                        | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -550000 | PA      | $-560634.75   | -0.33%            | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER             | GNII II 6% 01/01/2056 #TBA                                        | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1450000 | PA      | $1478037.06   | 0.88%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | BOAM SWAP PAY 3.8 08/10/26                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    440000 | NC      | $7533.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                 | BOAM SWAP REC 3.8 08/10/26                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    440000 | NC      | $12994.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER             | GNII II 6% 02/01/2056 #TBA                                        | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $916769.52    | 0.55%             | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV3.5% MAC 12/17/27                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -4194000 | NC      | $12941.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV3.5% MAC 12/17/28                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -9075000 | NC      | $37995.57     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                 | LCH OIS SOFRV3.75% MAC 12/17/45                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -305000 | NC      | $6155.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                             | UST NOTES 3.5% 10/31/2027                                         | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6550000 | PA      | $6548464.81   | 3.91%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer