# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0001752724-23-014684
**Filing Date:** 2023-1
**Character Count:** 315333
**Document Hash:** ab384a94f4f401e85034bbc9c029d810
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014684.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014684

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES II
- **CENTRAL INDEX KEY:** 0000795422
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 23556531

**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 DIVERSIFIED TRUST
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH FUND
- **DATE OF NAME CHANGE:** 19920130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19911204

## Series and Classes Contracts Data

### Fidelity Series Investment Grade Securitized Fund (Series ID: S000062808)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000203455 | Fidelity Series Investment Grade Securitized Fund | FHPFX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Series Investment Grade Securitized Fund**

**November 30, 2022**

IGS-NPRT1-0123

1.9891239.104 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 2.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Treasury Bonds: |  |  |
|  2% 11/15/41 (b)(c) | 300000 | 218496 |
|  3.25% 5/15/42 (b)(c) | 1200000 | 1077938 |
| U.S. Treasury Notes: |  |  |
|  2.625% 7/31/29 (b)(c) | 1913000 | 1784769 |
|  2.75% 8/15/32 (b)(c)(d) | 4136000 | 3830970 |
|  4.375% 10/31/24  | 1900000 | 1899555 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $9,393,280) |  | **8811728** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 134.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 134.7%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 134.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae - 33.4%  |  |  |
| 1.5% 1/1/36 to 6/1/51  | 5238381 | 4389984 |
| 2% 10/1/35 to 3/1/52  | 33549880 | 27885679 |
| 2.5% 5/1/31 to 2/1/52 (d) | 43243081 | 38324036 |
| 3% 8/1/32 to 2/1/52  | 33803043 | 30386907 |
| 3.5% 7/1/34 to 4/1/52  | 19502027 | 18177560 |
| 4% 3/1/46 to 5/1/52  | 7359753 | 7046489 |
| 4.5% 10/1/39 to 7/1/52  | 8446563 | 8370005 |
| 5% 7/1/52 to 11/1/52  | 7128823 | 7148135 |
| 5.5% 10/1/52 to 11/1/52  | 3037698 | 3078153 |
| 6% 11/1/52  | 1500277 | 1530986 |
| TOTAL FANNIE MAE |  | 146337934 |
| Freddie Mac - 19.9%  |  |  |
| 1.5% 7/1/35 to 6/1/51  | 2361958 | 1891183 |
| 2% 4/1/41 to 4/1/52  | 27222770 | 22557703 |
| 2.5% 6/1/31 to 1/1/52  | 25954053 | 22500843 |
| 3% 11/1/32 to 3/1/52  | 12554711 | 11386127 |
| 3.5% 11/1/33 to 5/1/52  | 12353168 | 11502363 |
| 4% 5/1/38 to 8/1/52 (c) | 10154218 | 9724880 |
| 4.5% 10/1/39 to 7/1/49  | 4808558 | 4777569 |
| 5% 9/1/52 to 12/1/52  | 2593690 | 2615462 |
| TOTAL FREDDIE MAC |  | 86956130 |
| Ginnie Mae - 31.5%  |  |  |
| 2% 1/20/51 to 4/20/51  | 2865104 | 2447584 |
| 2% 12/1/52 (e) | 3550000 | 3014332 |
| 2% 12/1/52 (e) | 3550000 | 3014332 |
| 2% 12/1/52 (e) | 50000 | 42455 |
| 2% 12/1/52 (e) | 3475000 | 2950649 |
| 2% 12/1/52 (e) | 4400000 | 3736074 |
| 2% 12/1/52 (e) | 8800000 | 7472148 |
| 2% 12/1/52 (e) | 3000000 | 2547323 |
| 2% 12/1/52 (e) | 2100000 | 1783126 |
| 2% 1/1/53 (e) | 4500000 | 3824500 |
| 2% 1/1/53 (e) | 2950000 | 2507172 |
| 2% 1/1/53 (e) | 2550000 | 2167217 |
| 2% 1/1/53 (e) | 6000000 | 5099333 |
| 2% 1/1/53 (e) | 2000000 | 1699778 |
| 2% 1/1/53 (e) | 1975000 | 1678531 |
| 2% 1/1/53 (e) | 2900000 | 2464678 |
| 2.5% 8/20/47  | 16386 | 14512 |
| 2.5% 12/1/52 (e) | 2300000 | 2017966 |
| 2.5% 12/1/52 (e) | 4700000 | 4123670 |
| 2.5% 12/1/52 (e) | 4600000 | 4035932 |
| 2.5% 12/1/52 (e) | 9250000 | 8115734 |
| 2.5% 12/1/52 (e) | 1950000 | 1710884 |
| 2.5% 12/1/52 (e) | 2300000 | 2017966 |
| 2.5% 1/1/53 (e) | 2250000 | 1975767 |
| 2.5% 1/1/53 (e) | 2300000 | 2019673 |
| 2.5% 1/1/53 (e) | 4650000 | 4083252 |
| 2.5% 1/1/53 (e) | 2850000 | 2502639 |
| 2.5% 1/1/53 (e) | 2900000 | 2546545 |
| 2.5% 1/1/53 (e) | 4650000 | 4083252 |
| 3% 2/20/50 to 7/20/51  | 5201062 | 4728102 |
| 3% 12/1/52 (e) | 2700000 | 2435226 |
| 3% 12/1/52 (e) | 2600000 | 2345033 |
| 3% 12/1/52 (e) | 3650000 | 3292065 |
| 3% 12/1/52 (e) | 3925000 | 3540097 |
| 3% 1/1/53 (e) | 5250000 | 4738443 |
| 3% 1/1/53 (e) | 3150000 | 2843066 |
| 3.5% 9/20/40 to 6/20/50  | 12671032 | 11895460 |
| 3.5% 12/1/52 (e) | 3100000 | 2875916 |
| 3.5% 12/1/52 (e) | 1500000 | 1391572 |
| 3.5% 1/1/53 (e) | 2950000 | 2738141 |
| 4% 10/20/40 to 5/20/49  | 4252527 | 4125947 |
| 4% 12/1/52 (e) | 2000000 | 1908870 |
| 4.5% 12/1/52 (e) | 2700000 | 2644840 |
| 5% 4/20/48 to 6/20/48  | 539049 | 550218 |
| TOTAL GINNIE MAE |  | 137750020 |
| Uniform Mortgage Backed Securities - 49.9%  |  |  |
| 1.5% 12/1/37 (e) | 1000000 | 873988 |
| 1.5% 12/1/37 (e) | 750000 | 655491 |
| 1.5% 12/1/37 (e) | 650000 | 568092 |
| 1.5% 12/1/37 (e) | 2550000 | 2228669 |
| 1.5% 12/1/37 (e) | 2100000 | 1835374 |
| 1.5% 1/1/38 (e) | 1000000 | 875355 |
| 1.5% 1/1/38 (e) | 4100000 | 3588955 |
| 1.5% 12/1/52 (e) | 1900000 | 1475922 |
| 1.5% 12/1/52 (e) | 1900000 | 1475922 |
| 1.5% 12/1/52 (e) | 7250000 | 5631809 |
| 1.5% 12/1/52 (e) | 3650000 | 2835324 |
| 1.5% 1/1/53 (e) | 8000000 | 6180312 |
| 2% 12/1/37 (e) | 950000 | 853397 |
| 2% 12/1/37 (e) | 4100000 | 3683082 |
| 2% 12/1/37 (e) | 8900000 | 7994982 |
| 2% 12/1/37 (e) | 2950000 | 2650022 |
| 2% 12/1/37 (e) | 1200000 | 1077975 |
| 2% 1/1/38 (e) | 3650000 | 3282976 |
| 2% 1/1/38 (e) | 6050000 | 5441645 |
| 2% 1/1/38 (e) | 1800000 | 1619002 |
| 2% 12/1/52 (e) | 1525000 | 1254217 |
| 2% 12/1/52 (e) | 7550000 | 6209403 |
| 2% 12/1/52 (e) | 6025000 | 4955186 |
| 2% 12/1/52 (e) | 700000 | 575706 |
| 2% 12/1/52 (e) | 2275000 | 1871045 |
| 2% 12/1/52 (e) | 700000 | 575706 |
| 2% 12/1/52 (e) | 7150000 | 5880428 |
| 2% 12/1/52 (e) | 7150000 | 5880428 |
| 2% 12/1/52 (e) | 3700000 | 3043019 |
| 2% 12/1/52 (e) | 3650000 | 3001897 |
| 2% 12/1/52 (e) | 3650000 | 3001897 |
| 2% 12/1/52 (e) | 4175000 | 3433677 |
| 2% 12/1/52 (e) | 2100000 | 1727119 |
| 2% 12/1/52 (e) | 2100000 | 1727119 |
| 2% 1/1/53 (e) | 3750000 | 3087363 |
| 2% 1/1/53 (e) | 7550000 | 6215892 |
| 2% 1/1/53 (e) | 1900000 | 1564264 |
| 2% 1/1/53 (e) | 1900000 | 1564264 |
| 2% 1/1/53 (e) | 400000 | 329319 |
| 2% 1/1/53 (e) | 1900000 | 1564264 |
| 2% 1/1/53 (e) | 7550000 | 6215892 |
| 2% 1/1/53 (e) | 3750000 | 3087363 |
| 2.5% 12/1/37 (e) | 350000 | 323258 |
| 2.5% 12/1/37 (e) | 550000 | 507977 |
| 2.5% 12/1/37 (e) | 550000 | 507977 |
| 2.5% 12/1/37 (e) | 350000 | 323258 |
| 2.5% 12/1/52 (e) | 1800000 | 1538156 |
| 2.5% 12/1/52 (e) | 2400000 | 2050875 |
| 2.5% 12/1/52 (e) | 1100000 | 939984 |
| 2.5% 12/1/52 (e) | 1475000 | 1260434 |
| 2.5% 12/1/52 (e) | 1850000 | 1580883 |
| 2.5% 12/1/52 (e) | 1800000 | 1538156 |
| 2.5% 12/1/52 (e) | 1400000 | 1196344 |
| 2.5% 12/1/52 (e) | 6950000 | 5938992 |
| 2.5% 12/1/52 (e) | 3450000 | 2948133 |
| 2.5% 12/1/52 (e) | 3600000 | 3076312 |
| 2.5% 1/1/53 (e) | 5300000 | 4533363 |
| 2.5% 1/1/53 (e) | 1800000 | 1539633 |
| 3% 12/1/52 (e) | 2250000 | 1991777 |
| 3% 12/1/52 (e) | 2100000 | 1858992 |
| 3% 12/1/52 (e) | 2750000 | 2434395 |
| 3% 12/1/52 (e) | 4400000 | 3895031 |
| 3% 12/1/52 (e) | 4500000 | 3983555 |
| 3% 1/1/53 (e) | 750000 | 664365 |
| 3% 1/1/53 (e) | 1550000 | 1373021 |
| 3.5% 12/1/52 (e) | 2800000 | 2565500 |
| 3.5% 12/1/52 (e) | 1100000 | 1007875 |
| 3.5% 12/1/52 (e) | 2300000 | 2107375 |
| 3.5% 12/1/52 (e) | 4600000 | 4214750 |
| 3.5% 1/1/53 (e) | 1250000 | 1145899 |
| 4% 12/1/52 (e) | 2000000 | 1892500 |
| 4% 12/1/52 (e) | 700000 | 662375 |
| 4% 12/1/52 (e) | 6100000 | 5772125 |
| 4% 12/1/52 (e) | 4250000 | 4021563 |
| 4.5% 12/1/52 (e) | 2800000 | 2725626 |
| 4.5% 12/1/52 (e) | 3600000 | 3504377 |
| 4.5% 1/1/53 (e) | 2850000 | 2774298 |
| 5% 12/1/52 (e) | 2650000 | 2638405 |
| 5% 12/1/52 (e) | 200000 | 199125 |
| 5% 12/1/52 (e) | 300000 | 298687 |
| 5% 12/1/52 (e) | 900000 | 896062 |
| 5% 12/1/52 (e) | 300000 | 298687 |
| 5% 12/1/52 (e) | 1800000 | 1792124 |
| 5% 12/1/52 (e) | 2750000 | 2737967 |
| 5.5% 12/1/52 (e) | 2500000 | 2528516 |
| 5.5% 12/1/52 (e) | 2400000 | 2427375 |
| 5.5% 12/1/52 (e) | 900000 | 910266 |
| 6% 12/1/52 (e) | 1800000 | 1841344 |
| 6% 12/1/52 (e) | 1800000 | 1841344 |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES |  | 218402798 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $615,943,557) |  | <br> **589446882** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 0.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 0.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Marlette Funding Trust: |  |  |
|  Series 2021-3A Class A, 0.65% 12/15/31 (f) | 137176 | 135092 |
|  Series 2022-1A Class A, 1.36% 4/15/32 (f) | 378047 | 369634 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (f) | 794333 | 650636 |
| Towd Point Mortgage Trust Series 2019-1 Class A1, 3.7088% 3/25/58 (f)(g) | 40996 | 37937 |
| Upstart Securitization Trust: |  |  |
|  Series 2021-1 Class A, 0.87% 3/20/31 (f) | 8960 | 8913 |
|  Series 2021-2 Class A, 0.91% 6/20/31 (f) | 125401 | 122718 |
|  Series 2021-3 Class A, 0.83% 7/20/31 (f) | 258500 | 250852 |
|  Series 2021-4 Class A, 0.84% 9/20/31 (f) | 423838 | 409013 |
|  Series 2021-5 Class A, 1.31% 11/20/31 (f) | 591285 | 564162 |
|  3.12% 3/20/32 (f) | 788223 | 757560 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $3,538,430) |  | **3306517** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 3.7%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 3.7%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 3.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Private Sponsor - 3.6%  |  |  |
| Ajax Mortgage Loan Trust sequential payer: |  |  |
|  Series 2021-C Class A, 2.115% 1/25/61 (f) | 196105 | 183683 |
|  Series 2021-E Class A1, 1.74% 12/25/60 (f) | 1413079 | 1179375 |
| Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (f) | 368532 | 330073 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (f)(g) | 123730 | 117548 |
| BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (f) | 1088604 | 903873 |
| Cascade Funding Mortgage Trust: |  |  |
|  sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (f) | 236414 | 230837 |
|  Series 2021-EBO1 Class A, 0.9849% 11/25/50 (f)(g) | 199787 | 187324 |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (f) | 83492 | 80160 |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (f) | 194380 | 183080 |
|  Series 2021-HB7 Class A, 1.1512% 10/27/31 (f) | 254730 | 238013 |
| CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (f) | 2651056 | 2551641 |
| CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (f) | 50640 | 48924 |
| CIM Trust sequential payer Series 2022-R2 Class A1, 3.75% 12/25/61 (f)(g) | 911657 | 839893 |
| COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (f) | 226348 | 198084 |
| CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (f) | 55459 | 46852 |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (f)(g) | 878459 | 844197 |
| MFA Trust sequential payer Series 2022-RPL1 Class A1, 3.3% 8/25/61 (f) | 1012114 | 913412 |
| New Residential Mortgage Loan Trust Series 2020-1A Class A1B, 3.5% 10/25/59 (f) | 56670 | 51451 |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (f) | 269446 | 239357 |
| NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (f) | 1184637 | 1047088 |
| Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (f)(g) | 331105 | 321172 |
| Preston Ridge Partners Mortgage Trust: |  |  |
|  Series 2021-2 Class A1, 2.115% 3/25/26 (f) | 256690 | 232777 |
|  Series 2021-RPL1 Class A1, 1.319% 7/25/51 (f) | 113272 | 100497 |
|  Series 2021-RPL2 Class A1, 1.455% 10/25/51 (f)(g) | 149033 | 130424 |
| RMF Buyout Issuance Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2021-HB1 Class A, 1.2586% 11/25/31 (f) <br>| 342954 | 324723 |
| Series 2022-HB1 Class A, 4.272% 4/25/32 (f) <br>| 172285 | 167020 |
|  Series 2020-HB1 Class A1, 1.7188% 10/25/50 (f) | 477141 | 435338 |
| Towd Point Mortgage Trust sequential payer: |  |  |
|  Series 2021-1 Class A1, 2.25% 11/25/61 (f)(g) | 2465500 | 2173900 |
|  Series 2022-K147 Class A2, 3.75% 7/25/62 (f) | 1421229 | 1301791 |
| TOTAL PRIVATE SPONSOR |  | 15602507 |
| U.S. Government Agency - 0.1%  |  |  |
| Fannie Mae Series 2013-44 Class DJ, 1.85% 5/25/33  | 106988 | 97032 |
| Ginnie Mae guaranteed REMIC pass-thru certificates: |  |  |
|  floater Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 4.3886% 2/20/49 (g)(h) | 106042 | 104894 |
|  planned amortization class Series 2016-69 Class WA, 3% 2/20/46  | 23490 | 21959 |
|  sequential payer:  |  |  |
| Series 2017-139 Class BA, 3% 9/20/47 <br>| 141115 | 127702 |
| Series 2018-H12 Class HA, 3.25% 8/20/68 (i) <br>| 62286 | 60053 |
| TOTAL U.S. GOVERNMENT AGENCY |  | 411640 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $17,501,996) |  | <br> **16014147** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 12.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 12.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 12.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAMLL Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2022-DKLX:  |  |  |
| Class A, CME Term SOFR 1 Month Index + 1.150% 4.945% 1/15/39 (f)(g)(h) <br>| 275000 | 264897 |
| Class B, CME Term SOFR 1 Month Index + 1.550% 5.345% 1/15/39 (f)(g)(h) <br>| 100000 | 95292 |
|  sequential payer Series 2019-BPR:  |  |  |
| Class AMP, 3.287% 11/5/32 (f) <br>| 600000 | 555153 |
| Class ANM, 3.112% 11/5/32 (f) <br>| 100000 | 92481 |
| BANK: |  |  |
|  sequential payer Series 2021-BN35 Class A5, 2.285% 6/15/64  | 13000 | 10440 |
|  Series 2020-BN25 Class XB, 0.5325% 1/15/63 (g)(j) | 2000000 | 49820 |
|  Series 2021-BN33 Class XA, 1.1716% 5/15/64 (g)(j) | 2021497 | 117039 |
| Benchmark Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2018-B1 Class ASB, 3.602% 1/15/51 <br>| 400000 | 382547 |
| Series 2018-B2 Class ASB, 3.7802% 2/15/51 <br>| 370000 | 354360 |
| Series 2019-B10 Class A4, 3.717% 3/15/62 <br>| 29000 | 26704 |
|  Series 2019-B12 Class XA, 1.1696% 8/15/52 (g)(j) | 939160 | 39744 |
|  Series 2019-B14 Class XA, 0.9039% 12/15/62 (g)(j) | 9691985 | 313492 |
|  Series 2020-B17 Class XA, 1.5386% 3/15/53 (g)(j) | 2093485 | 129483 |
|  Series 2020-B18 Class XA, 1.9146% 7/15/53 (g)(j) | 1480745 | 118297 |
| BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 5.925% 11/15/28 (f)(g)(h) | 94000 | 92702 |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 4.625% 9/15/26 (f)(g)(h) | 531000 | 499788 |
| BPR Trust floater Series 2022-OANA: |  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (f)(g)(h) | 1480000 | 1440121 |
|  Class B, CME Term SOFR 1 Month Index + 2.440% 6.2413% 4/15/37 (f)(g)(h) | 54000 | 50583 |
| BX Commercial Mortgage Trust: |  |  |
|  floater:  |  |  |
| Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 4.5651% 10/15/36 (f)(g)(h) <br>| 475000 | 453272 |
| Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 4.5273% 5/15/38 (f)(g)(h) <br>| 400000 | 382948 |
| Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 4.8072% 2/15/39 (f)(g)(h) <br>| 1288679 | 1236236 |
|  floater sequential payer Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 4.751% 11/15/32 (f)(g)(h) | 6073 | 5933 |
| BX Trust: |  |  |
|  floater:  |  |  |
| Series 2019-XL: <br>|  |  |
|  Class B, CME Term SOFR 1 Month Index + 1.190% 4.9887% 10/15/36 (f)(g)(h) | 680000 | 663741 |
|  Class D, CME Term SOFR 1 Month Index + 1.560% 5.3587% 10/15/36 (f)(g)(h) | 170000 | 163784 |
| Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 4.726% 11/15/38 (f)(g)(h) <br>| 479000 | 459317 |
| Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 4.5109% 10/15/26 (f)(g)(h) <br>| 437000 | 414602 |
| Series 2021-SDMF Class A, 1 month U.S. LIBOR + 0.580% 4.464% 9/15/34 (f)(g)(h) <br>| 600000 | 571800 |
| Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (f)(g)(h) <br>| 232000 | 230982 |
| Series 2022-IND Class A, CME Term SOFR 1 Month Index + 1.490% 5.3019% 4/15/37 (f)(g)(h) <br>| 501323 | 487029 |
|  floater sequential payer:  |  |  |
| Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 4.5753% 1/15/34 (f)(g)(h) <br>| 111000 | 107186 |
| Series 2021-SOAR Class A, 4.546% 6/15/38 (f)(g) <br>| 638166 | 610963 |
|  floater, sequential payer:  |  |  |
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 4.873% 4/15/34 (f)(g)(h) <br>| 119000 | 115819 |
| Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (f)(g)(h) <br>| 3493845 | 3432287 |
| CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 4.943% 12/15/37 (f)(g)(h) | 652000 | 638094 |
| CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50  | 1894999 | 1813769 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (f)(g)(h) | 100000 | 97107 |
|  Class B, 1 month U.S. LIBOR + 1.250% 5.1253% 11/15/36 (f)(g)(h) | 100000 | 96227 |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (f)(g)(h) | 2888191 | 2831845 |
| Citigroup Commercial Mortgage Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2014-GC21 Class AAB, 3.477% 5/10/47 <br>| 127858 | 125671 |
| Series 2017-P7 Class AAB, 3.509% 4/14/50 <br>| 344420 | 331409 |
|  Series 2013-GC17 Class A/S, 4.544% 11/10/46  | 500000 | 488209 |
|  Series 2015-GC33 Class AAB, 3.522% 9/10/58  | 171087 | 165377 |
|  Series 2019-GC41 Class XA, 1.1693% 8/10/56 (g)(j) | 4530309 | 212831 |
| COMM Mortgage Trust sequential payer: |  |  |
|  Series 2015-3BP Class A, 3.178% 2/10/35 (f) | 900000 | 830765 |
|  Series 2016-COR1 Class ASB, 2.972% 10/10/49  | 558826 | 529987 |
| Credit Suisse Mortgage Trust: |  |  |
|  floater Series 2019-ICE4:  |  |  |
| Class A, 1 month U.S. LIBOR + 0.980% 4.855% 5/15/36 (f)(g)(h) <br>| 2490000 | 2457851 |
| Class C, 1 month U.S. LIBOR + 1.430% 5.305% 5/15/36 (f)(g)(h) <br>| 488000 | 474460 |
|  Series 2018-SITE Class A, 4.284% 4/15/36 (f) | 100000 | 94846 |
| CSAIL Commercial Mortgage Trust sequential payer Series 2016-C7 Class ASB, 3.3143% 11/15/49  | 642407 | 617340 |
| DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50  | 633652 | 602858 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP: |  |  |
|  Class A, 1 month U.S. LIBOR + 0.700% 4.577% 11/15/38 (f)(g)(h) | 950000 | 906251 |
|  Class B, 1 month U.S. LIBOR + 1.120% 4.9962% 11/15/38 (f)(g)(h) | 375000 | 356204 |
| Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (f)(g)(h) | 650144 | 625286 |
| Freddie Mac: |  |  |
|  sequential payer Series 2021-K136 Class A2, 2.127% 11/25/31  | 250000 | 207553 |
|  Series 2022-K150 Class A2, 3.71% 11/25/32  | 800000 | 753852 |
| GS Mortgage Securities Trust: |  |  |
|  floater:  |  |  |
| Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 5.823% 9/15/31 (f)(g)(h) <br>| 922983 | 904892 |
| Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 4.97% 10/15/31 (f)(g)(h) <br>| 1400000 | 1319896 |
| Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (f)(g)(h) <br>| 963000 | 896320 |
|  sequential payer Series 2016-GC34 Class AAB, 3.278% 10/10/48  | 43021 | 41395 |
|  Series 2011-GC5 Class A/S, 5.209% 8/10/44 (f)(g) | 906072 | 887540 |
|  Series 2013-GC13 Class A/S, 4.2141% 7/10/46 (f)(g) | 140000 | 137842 |
|  Series 2013-GC16 Class A/S, 4.649% 11/10/46  | 275000 | 269396 |
| Intown Mortgage Trust floater sequential payer Series 2022-STAY Class A, CME Term SOFR 1 Month Index + 2.480% 6.2826% 8/15/39 (f)(g)(h) | 997000 | 987006 |
| J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2012-NLP Class A, CME Term SOFR 1 Month Index + 0.590% 4.3908% 4/15/37 (f)(g)(h) | 1000000 | 927297 |
| JPMBB Commercial Mortgage Securities Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2014-C21 Class A4, 3.4927% 8/15/47 <br>| 290320 | 281409 |
| Series 2014-C22 Class ASB, 3.5036% 9/15/47 <br>| 104858 | 102678 |
|  Series 2013-C14 Class A/S, 4.4093% 8/15/46  | 114000 | 111669 |
| JPMDB Commercial Mortgage Securities Trust sequential payer: |  |  |
|  Series 2017-C5 Class ASB, 3.4919% 3/15/50  | 354939 | 339200 |
|  Series 2018-C8 Class ASB, 4.145% 6/15/51  | 1000000 | 963187 |
| JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (f) | 54811 | 54670 |
| JPMorgan Chase Commercial Mortgage Securities Trust: |  |  |
|  sequential payer:  |  |  |
| Series 2013-C13 Class ASB, 3.4137% 1/15/46 <br>| 42530 | 42272 |
| Series 2013-LC11 Class A5, 2.9599% 4/15/46 <br>| 218000 | 215728 |
| Series 2020-NNN Class AFX, 2.8123% 1/16/37 (f) <br>| 670000 | 606697 |
|  Series 2013-C10 Class A/S, 3.3715% 12/15/47  | 300000 | 298497 |
|  Series 2013-C16 Class A/S, 4.5169% 12/15/46  | 37000 | 36198 |
|  Series 2013-LC11 Class A/S, 3.216% 4/15/46  | 308000 | 301783 |
|  Series 2018-WPT Class AFX, 4.2475% 7/5/33 (f) | 59000 | 55102 |
| Life Financial Services Trust floater Series 2022-BMR2: |  |  |
|  Class A1, CME Term SOFR 1 Month Index + 1.290% 5.0895% 5/15/39 (f)(g)(h) | 1653000 | 1603282 |
|  Class B, CME Term SOFR 1 Month Index + 1.790% 5.5882% 5/15/39 (f)(g)(h) | 400000 | 384962 |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (f)(g)(h) | 362716 | 348614 |
| MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/38 (f)(g)(h) | 2700000 | 2605302 |
| Morgan Stanley BAML Trust sequential payer: |  |  |
|  Series 2014-C19 Class ASB, 3.326% 12/15/47  | 662175 | 646475 |
|  Series 2016-C28 Class A3, 3.272% 1/15/49  | 75875 | 71328 |
|  Series 2016-C30 Class ASB, 2.729% 9/15/49  | 728613 | 695344 |
| Morgan Stanley Capital I Trust: |  |  |
|  floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 4.825% 12/15/36 (f)(g)(h) | 1000000 | 932103 |
|  sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (f) | 279000 | 258966 |
|  Series 2019-MEAD Class B, 3.283% 11/10/36 (f)(g) | 26000 | 23469 |
|  Series 2021-L6 Class XA, 1.3449% 6/15/54 (g)(j) | 991831 | 63819 |
| Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (f) | 790017 | 729210 |
| RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 4.676% 4/15/36 (f)(g)(h) | 1900000 | 1824381 |
| SREIT Trust floater: |  |  |
|  Series 2021-FLWR Class A, 1 month U.S. LIBOR + 0.570% 4.4516% 7/15/36 (f)(g)(h) | 212000 | 202698 |
|  Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (f)(g)(h) | 151000 | 144283 |
| UBS Commercial Mortgage Trust sequential payer: |  |  |
|  Series 2017-C1 Class ASB, 3.462% 11/15/50  | 100000 | 94733 |
|  Series 2017-C3 Class ASB, 3.215% 8/15/50  | 285778 | 270654 |
|  Series 2018-C12 Class ASB, 4.1945% 8/15/51  | 1750000 | 1682258 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.5162% 10/10/42 (f)(g)(j) | 1600000 | 43494 |
| Wells Fargo Commercial Mortgage Trust: |  |  |
|  floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 5.075% 5/15/31 (f)(g)(h) | 845000 | 796683 |
|  sequential payer:  |  |  |
| Series 2015-C29 Class ASB, 3.4% 6/15/48 <br>| 95177 | 92354 |
| Series 2016-LC24 Class A3, 2.684% 10/15/49 <br>| 177134 | 161143 |
|  Series 2018-C46 Class XA, 1.1006% 8/15/51 (g)(j) | 1101080 | 30249 |
|  Series 2019-C54 Class XA, 0.9587% 12/15/52 (g)(j) | 5922015 | 255374 |
| WF-RBS Commercial Mortgage Trust: |  |  |
|  Series 2013-C12 Class A/S, 3.56% 3/15/48  | 1823639 | 1810114 |
|  Series 2013-C16 Class A/S, 4.668% 9/15/46 (g) | 830000 | 813590 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $58,390,315) |  | **55592190** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 21.2%** | &nbsp;&nbsp;**Money Market Funds - 21.2%** | &nbsp;&nbsp;**Money Market Funds - 21.2%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (k) <br>(Cost $92,776,414) <br>| 92757862 | **92776414** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 175.0%**<br> (Cost $797,543,992)<br>| <br>**765947878** |
| **NET OTHER ASSETS (LIABILITIES) - (75.0)%**  | **(328301959)** |
| **NET ASSETS - 100.0%** | **437645919** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| Ginnie Mae |  |  |
| 2% 12/1/52 | (4500000) | (3820985) |
| 2% 12/1/52 | (3550000) | (3014332) |
| 2% 12/1/52 | (3475000) | (2950649) |
| 2% 12/1/52 | (50000) | (42455) |
| 2% 12/1/52 | (700000) | (594375) |
| 2% 12/1/52 | (2950000) | (2504868) |
| 2% 12/1/52 | (2550000) | (2165225) |
| 2% 12/1/52 | (6000000) | (5094646) |
| 2% 12/1/52 | (2000000) | (1698215) |
| 2% 12/1/52 | (1975000) | (1676988) |
| 2.5% 12/1/52 | (2300000) | (2017966) |
| 2.5% 12/1/52 | (4650000) | (4079801) |
| 2.5% 12/1/52 | (4700000) | (4123670) |
| 2.5% 12/1/52 | (2300000) | (2017966) |
| 2.5% 12/1/52 | (2850000) | (2500523) |
| 2.5% 12/1/52 | (2900000) | (2544392) |
| 2.5% 12/1/52 | (4650000) | (4079801) |
| 3% 12/1/52 | (5250000) | (4735162) |
| 3% 12/1/52 | (3150000) | (2841097) |
| 3.5% 12/1/52 | (2950000) | (2736758) |
| TOTAL GINNIE MAE  |  | (55239874) |
| Uniform Mortgage Backed Securities |  |  |
| 1.5% 12/1/37 | (1000000) | (873988) |
| 1.5% 12/1/37 | (4100000) | (3583350) |
| 1.5% 12/1/52 | (1900000) | (1475922) |
| 1.5% 12/1/52 | (8000000) | (6214410) |
| 2% 12/1/37 | (1100000) | (988144) |
| 2% 12/1/37 | (3650000) | (3278841) |
| 2% 12/1/37 | (6050000) | (5434791) |
| 2% 12/1/37 | (1800000) | (1616963) |
| 2% 12/1/52 | (3750000) | (3084141) |
| 2% 12/1/52 | (7550000) | (6209403) |
| 2% 12/1/52 | (1900000) | (1562631) |
| 2% 12/1/52 | (1900000) | (1562631) |
| 2% 12/1/52 | (400000) | (328975) |
| 2% 12/1/52 | (1900000) | (1562631) |
| 2% 12/1/52 | (7550000) | (6209403) |
| 2% 12/1/52 | (7550000) | (6209403) |
| 2% 12/1/52 | (6025000) | (4955186) |
| 2% 12/1/52 | (700000) | (575706) |
| 2% 12/1/52 | (3750000) | (3084141) |
| 2% 12/1/52 | (550000) | (452341) |
| 2% 12/1/52 | (2275000) | (1871045) |
| 2.5% 12/1/37 | (900000) | (831234) |
| 2.5% 12/1/37 | (350000) | (323258) |
| 2.5% 12/1/37 | (550000) | (507977) |
| 2.5% 12/1/52 | (5300000) | (4529015) |
| 2.5% 12/1/52 | (1800000) | (1538156) |
| 2.5% 12/1/52 | (1800000) | (1538156) |
| 2.5% 12/1/52 | (1850000) | (1580883) |
| 2.5% 12/1/52 | (1400000) | (1196344) |
| 3% 12/1/52 | (1900000) | (1681945) |
| 3% 12/1/52 | (750000) | (663926) |
| 3% 12/1/52 | (1550000) | (1372113) |
| 3.5% 12/1/52 | (1250000) | (1145313) |
| 4.5% 12/1/52 | (2850000) | (2774298) |
| 5% 12/1/52 | (200000) | (199125) |
| 5% 12/1/52 | (1000000) | (995625) |
| 5% 12/1/52 | (500000) | (497812) |
| 5% 12/1/52 | (1200000) | (1194749) |
| 5% 12/1/52 | (850000) | (846281) |
| 5% 12/1/52 | (200000) | (199125) |
| 5% 12/1/52 | (300000) | (298687) |
| 5% 12/1/52 | (900000) | (896062) |
| 5% 12/1/52 | (300000) | (298687) |
| 5.5% 12/1/52 | (1650000) | (1668820) |
| 5.5% 12/1/52 | (500000) | (505703) |
| 6% 12/1/52 | (1500000) | (1534453) |
| 6% 12/1/52 | (300000) | (306891) |
| 6% 12/1/52 | (1800000) | (1841344) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (92100028) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $145,288,326) |  | <br> **(147339902)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 88 | Mar 2023 | 18071625 | 48807 | 48807 |
| Sold |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 95 | Mar 2023 | 10782500 | (84771) | (84771) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 16 | Mar 2023 | 1737125 | (10526) | (10526) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 188 | Mar 2023 | 23876000 | (265499) | (265499) |
| TOTAL SOLD |  |  |  |  | (360796) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(311989)** |
| The notional amount of futures purchased as a percentage of Net Assets is 4.1% | The notional amount of futures purchased as a percentage of Net Assets is 4.1% | The notional amount of futures purchased as a percentage of Net Assets is 4.1% | The notional amount of futures purchased as a percentage of Net Assets is 4.1% | The notional amount of futures purchased as a percentage of Net Assets is 4.1% | The notional amount of futures purchased as a percentage of Net Assets is 4.1% |
| The notional amount of futures sold as a percentage of Net Assets is 8.4% | The notional amount of futures sold as a percentage of Net Assets is 8.4% | The notional amount of futures sold as a percentage of Net Assets is 8.4% | The notional amount of futures sold as a percentage of Net Assets is 8.4% | The notional amount of futures sold as a percentage of Net Assets is 8.4% | The notional amount of futures sold as a percentage of Net Assets is 8.4% |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount<sup>(1)</sup> | Value ($) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 600000 | 8208 | 559 | 8767 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 520000 | 7114 | (1262) | 5852 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 980000 | 13407 | (3000) | 10407 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 340000 | 4651 | (5006) | (355) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 350000 | 4788 | (3235) | 1553 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 350000 | 4788 | (3037) | 1751 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 1020000 | 13954 | (11292) | 2662 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 610000 | 8345 | (5471) | 2874 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 390000 | 5335 | (8066) | (2731) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 350000 | 4788 | (522) | 4266 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 660000 | 9029 | (5917) | 3112 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 1020000 | 13954 | (12158) | 1796 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 350000 | 4788 | (1399) | 3389 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 600000 | 8208 | (3235) | 4973 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 890000 | 12176 | (6241) | 5935 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1350000 | 18469 | (18831) | (362) |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 350000 | 4788 | (2736) | 2052 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1300000 | 17785 | (8935) | 8850 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1410000 | 19290 | (10087) | 9203 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 690000 | 9440 | (6545) | 2895 |
| CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 1020000 | 13954 | (13850) | 104 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  | **207259** | **(130266)** | **76993** |

---

(1)Notional amount is stated in U.S. Dollars unless otherwise noted.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency<br> Clearinghouse /<br> Counterparty<sup>(1)</sup> | Maturity<br> Date | Notional<br> Amount<sup>(2)</sup> | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<sup>(3)</sup> | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| 3.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2024 | 7240000 | (65779) | 0 | (65779) |
| 2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2027 | 5290000 | (43635) | 0 | (43635) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2029 | 490000 | (4499) | 0 | (4499) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  | **(113913)** | **0** | **(113913)** |

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(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

(2)Notional amount is stated in U.S. Dollars unless otherwise noted.

(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(4)Represents floating rate.

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,099,443.

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $311,911.

(d) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $262,387.

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $57,419,585 or 13.1% of net assets.

(g) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(h) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(i) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(j) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

(k) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 49966507 | 71105204 | 28295297 | 592787 | - | - | 92776414 | 0.2% |
| Total | 49966507 | 71105204 | 28295297 | 592787 | - | - | 92776414 |  |

---

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

*The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## 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 II

- **b. Investment Company Act file number:** 811-04707

- **c. CIK number of Registrant:** 0000795422

- **d. LEI of Registrant:** EIVUM2R16VT371T5KS40

- **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 Series Investment Grade Securitized Fund

- **b. EDGAR series identifier (if any):** S000062808

- **c. LEI of Series:** 549300SCBY1VRBYHW061

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

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $889656093.75

**Total Liabilities:** $458481164.92

**Net Assets:** $431174928.83

**Delayed Delivery Securities:** $304800443.44

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1372.95331377 | **1-Year:** 29808.78567134 | **5-Year:** 53254.39309907 | **10-Year:** 78073.96445566 | **30-Year:** 22322.40160517

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

- **3-Month:** 82.70688055 | **1-Year:** 984.73562993 | **5-Year:** 1377.26933878 | **10-Year:** 125.93595098 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000203455 | -4.98%               | -1.49%               | 4.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-5392940.79             | $-18450627.48                              |
| Month 2  | $-7281047.30             | $-897338.51                                |
| Month 3  | $-3913185.14             | $21142147.88                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Securitized Index

- **Index Identifier:** 19910058

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 07/51#BT1461                                                                   | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80510 | PA      | $66706.93     | 0.02%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4% 03/20/2047#784299                                                                | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13318 | PA      | $12915.13     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                     | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                           | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59000 | PA      | $55101.53     | 0.01%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 09/01/2032#BM1884                                                              | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18766 | PA      | $17926.55     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-1                               | TOWD POINT MORTGAGE TRUST 2021-1 VAR 11/25/2061 144A                                        | CUSIP: 89179YAR4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2465500 | PA      | $2173900.11   | 0.50%             | 2061-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2014-C19               | MORGAN STANLEY BK AMER ML TR 14-C19 3.326% 12/15/2047                                       | CUSIP: 61764PBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    662175 | PA      | $646474.77    | 0.15%             | 2047-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                    | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                                          | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $92480.50     | 0.02%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 07/01/2041#ZL1693                                                            | CUSIP: 3131XG3A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2030793 | PA      | $2019975.11   | 0.47%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2052#CB3037                                                              | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313697 | PA      | $258934.44    | 0.06%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 12/01/2048#BM5106                                                            | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50674 | PA      | $50365.71     | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 06/01/2047#ZM3411                                                              | CUSIP: 3131XWYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139713 | PA      | $134860.56    | 0.03%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 12/01/2052 #TBA                                                                  | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -25200000 | PA      | $-21397514.04 | -4.96%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                  | BX TRUST 2019-XL A 1ML+85 10/15/2036 144A                                                   | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3493845 | PA      | $3432287.05   | 0.80%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 07/01/2052#CB4024                                                            | CUSIP: 3140QPPJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1068399 | PA      | $1052295.78   | 0.24%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                 | CSMC 2019-ICE4 1ML+143 05/15/2036 144A                                                      | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488000 | PA      | $474460.39    | 0.11%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 02/01/2052#RA6823                                                              | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2956554 | PA      | $2440421.66   | 0.57%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3.5% 11/01/2033#G16677                                                            | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32174 | PA      | $31196.73     | 0.01%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 04/01/2050#SD7514                                                            | CUSIP: 3132DVK38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3658232 | PA      | $3412601.08   | 0.79%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 08/42#Q10245                                                                 | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11764 | PA      | $11051.64     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 11/01/2050#SD7530                                                            | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2790431 | PA      | $2416605.15   | 0.56%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 08/01/2045#AL7231                                                            | CUSIP: 3138EQA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9983 | PA      | $9414.50      | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                               | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                                         | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1101080 | PA      | $30249.31     | 0.01%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 10/01/2033#BM5832                                                              | CUSIP: 3140JAPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101178 | PA      | $96366.11     | 0.02%             | 2033-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                                | BANK 20-BNK25 XB CSTR 01/15/2063                                                            | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $49820.00     | 0.01%             | 2063-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 10/01/2048#CA2432                                                            | CUSIP: 3140Q9V26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    762366 | PA      | $757545.64    | 0.18%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 10/01/2051#FM9049                                                              | CUSIP: 3140XDBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3353328 | PA      | $3000888.13   | 0.70%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 10/01/2051#RA5998                                                              | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    878561 | PA      | $783477.32    | 0.18%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                | BX TR 2021-ACNT 1ML+85 11/15/2026 144A                                                      | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    479000 | PA      | $459317.27    | 0.11%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    350000 | NC      | $4788.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SREIT TR 2021-FLWR                                             | SREIT TR 2021-FLWR 1ML+57.66 07/15/2036 144A                                                | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    212000 | PA      | $202698.33    | 0.05%             | 2036-07-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 08/20/2047#MA4650                                                              | CUSIP: 36179TEX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16386 | PA      | $14511.74     | 0.00%             | 2047-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 11/01/2051#FM9568                                                              | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2288439 | PA      | $1896806.90   | 0.44%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 05/01/2052#CB3509                                                              | CUSIP: 3140QN3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4191274 | PA      | $4003469.21   | 0.93%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 12/47#MA4901                                                                     | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17103 | PA      | $16543.42     | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 5.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0526C1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1650000 | PA      | $-1668820.23  | -0.39%            | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2051#CB2420                                                              | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398416 | PA      | $355359.40    | 0.08%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 03/01/2051#QC0031                                                            | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20468 | PA      | $15953.53     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 06/01/2051#CB0850                                                              | CUSIP: 3140QK5L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1085089 | PA      | $967314.37    | 0.22%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2051#QD1240                                                              | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116098 | PA      | $103079.90    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                  | BX TRUST 2019 1ML+145 10/15/2036 144A                                                       | CUSIP: 056054AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $163784.43    | 0.04%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C3                                        | UBS COML MTG TR 2017-C3 3.215% 08/15/2050                                                   | CUSIP: 90276GAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285778 | PA      | $270653.55    | 0.06%             | 2050-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | FEDERAL HOME LN MTG MLT CTF GT 2.127% 11/25/2031                                            | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $207552.55    | 0.05%             | 2031-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                       | BX TRUST 0.8% 06/15/2023 144A                                                               | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    638166 | PA      | $610962.99    | 0.14%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 02/01/2050#CA5122                                                              | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262436 | PA      | $236124.49    | 0.05%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL2                                                 | PRPM 2021-RPL2 VAR 10/25/2051 144A                                                          | CUSIP: 69357QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    149033 | PA      | $130423.76    | 0.03%             | 2051-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BFLD TR 2020 -OBRK                                             | BFLD TR 2020 - OBRK A 1ML+225 11/15/2022 144A                                               | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94000 | PA      | $92701.91     | 0.02%             | 2028-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                              | BX COMMERCIAL MORTGAGE TRUST 2021-VINO A 1ML+69.82 05/15/2038 144A                          | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $382947.52    | 0.09%             | 2038-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 02/01/2050#FM2439                                                              | CUSIP: 3140X5V91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    902056 | PA      | $813027.04    | 0.19%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-5                               | UPSTART SECURITIZATION TR 2021-5 1.31% 11/20/2031 144A                                      | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    591285 | PA      | $564162.30    | 0.13%             | 2031-11-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 03/01/2041#MA4287                                                              | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184985 | PA      | $158703.87    | 0.04%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 12/01/2049#QA5154                                                              | CUSIP: 31346YWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170582 | PA      | $153213.53    | 0.04%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#RA6239                                                              | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437594 | PA      | $362159.20    | 0.08%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 09/01/2049#FM1534                                                            | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769717 | PA      | $764850.17    | 0.18%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 05/01/2052#RA7312                                                            | CUSIP: 3133KPDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    930064 | PA      | $857006.09    | 0.20%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 11/01/2036#FS2499                                                            | CUSIP: 3140XHX51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1034855 | PA      | $958082.21    | 0.22%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | US 10YR NOTE FUT (CBT)MAR23 TYH3                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -95 | NC      | $-84770.90    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                               | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                                    | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    477141 | PA      | $435338.17    | 0.10%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX 2021-SDMF                                                   | BX 2021-SDMF A 1ML+58.9 09/15/2034 144A                                                     | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $571799.94    | 0.13%             | 2034-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD6 MTG TR                                             | CD 2017-CD6 ASB MTG TR 3.332% 11/13/2050                                                    | CUSIP: 125039AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1894999 | PA      | $1813768.79   | 0.42%             | 2050-11-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST 2018-C12                         | UBS COMMERCIAL MORTGAGE TRUST 2018-C12 ASB 4.1945% 08/15/2051                               | CUSIP: 90353DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1682258.03   | 0.39%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 3.5% 12/20/2049#BR8987                                                              | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3995 | PA      | $3729.22      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 3.5% 10/01/2034#C91793                                                            | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    871748 | PA      | $841675.94    | 0.20%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 11/01/2051#FM9539                                                              | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1450057 | PA      | $1200089.21   | 0.28%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                                | BINOM SECURITIZATION TRUST 2022-RPL1 A1 2.9359% 02/25/2061 144A                             | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    368532 | PA      | $330073.05    | 0.08%             | 2061-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 07/20/2044#MA2074                                                              | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38104 | PA      | $37309.62     | 0.01%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 01/01/2036#MA4228                                                            | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653048 | PA      | $574334.13    | 0.13%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 3.5% 12/49#BR8986                                                                   | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2077 | PA      | $1938.47      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MFT 2021-3A A                                                  | MFT 2021-3A A 0.65% 12/15/2031 144A                                                         | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    137176 | PA      | $135091.67    | 0.03%             | 2031-12-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2022                                                 | BPR TRUST 2022 TSFR1M+229.667 04/15/2024 144A                                               | CUSIP: 05592DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54000 | PA      | $50582.71     | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 05/48#ZA5379                                                                   | CUSIP: 31329N6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127209 | PA      | $122870.38    | 0.03%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 12/01/2052 #TBA                                                                | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2950000 | PA      | $-2736758.37  | -0.63%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                              | MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A                                     | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279000 | PA      | $258966.04    | 0.06%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 03/01/2041#MA4286                                                            | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147034 | PA      | $120533.04    | 0.03%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 07/01/2033#                                                                    | CUSIP: 3140JAUL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60215 | PA      | $57520.81     | 0.01%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 02/01/2034#SB0179                                                              | CUSIP: 3132CWFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245175 | PA      | $233898.50    | 0.05%             | 2034-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2049#BO8254                                                              | CUSIP: 3140K4E48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63688 | PA      | $57202.91     | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAMB COML MTG TR 2019-LIFE                                     | CAMB COML MTG TR 2019-LIFE A 1ML+107 12/15/2037 144A                                        | CUSIP: 12482HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    652000 | PA      | $638094.27    | 0.15%             | 2037-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    610000 | NC      | $8345.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    600000 | NC      | $8208.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 02/01/2052#CB2842                                                              | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2965734 | PA      | $2446145.15   | 0.57%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 21-3                              | UPSTART SECURITIZATION TRUST 21-3 0.83% 07/20/2031 144A                                     | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    258500 | PA      | $250851.75    | 0.06%             | 2031-07-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS              | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                                     | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     23490 | PA      | $21958.62     | 0.01%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 10/01/2050#SD0450                                                            | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2094863 | PA      | $1812256.16   | 0.42%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 07/51#QC4163                                                                   | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109609 | PA      | $90816.56     | 0.02%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                          | LCH OIS SOFRV2.5% MAC 12/21/29                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    490000 | NC      | $-4499.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 03/01/2033#BK4845                                                              | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36335 | PA      | $34663.71     | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL1 LLC                                             | PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A                                                   | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    113272 | PA      | $100496.91    | 0.02%             | 2051-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2052#CB3036                                                              | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320348 | PA      | $264924.23    | 0.06%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 08/20/2048#MA5398                                                                | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    414067 | PA      | $399609.15    | 0.09%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 05/50#FM3269                                                                   | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48254 | PA      | $43416.08     | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMM 2015-3BP MTG TR                                           | COMM 2015-3BP MTG TR 3.178% 02/10/2035 144A                                                 | CUSIP: 12592TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $830765.25    | 0.19%             | 2035-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 04/20/2048#MA5137                                                                | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26148 | PA      | $25259.48     | 0.01%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C16                                     | WFRBS COML MTG TR 2013-C16 CSTR 09/15/2046                                                  | CUSIP: 92938EAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830000 | PA      | $813590.40    | 0.19%             | 2046-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1250000 | PA      | $-1145312.50  | -0.27%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#QD3433                                                              | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138509 | PA      | $114588.48    | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#RA6241                                                              | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2061267 | PA      | $1702714.70   | 0.39%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSAIL 2016-C7 COML MTG TR                                      | CSAIL 2016-C7 COML MTG TR 3.3143% 11/15/2049                                                | CUSIP: 12637UAX7<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |    642407 | PA      | $617339.54    | 0.14%             | 2049-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 11/01/2051#CB2048                                                            | CUSIP: 3140QMH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2607198 | PA      | $2238771.92   | 0.52%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                           | LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A                                                 | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362716 | PA      | $348614.03    | 0.08%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3.5% 08/01/2034#CA4087                                                            | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108218 | PA      | $104807.82    | 0.02%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2018-3PCK                         | GS MORTGAGE SECURITIES TRUST 2018-3PCK A 1ML+145 09/15/2021 144A                            | CUSIP: 36255YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    922983 | PA      | $904891.78    | 0.21%             | 2031-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 06/01/2050#RA2677                                                              | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1662806 | PA      | $1382399.18   | 0.32%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 09/01/2051#CB1549                                                            | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507905 | PA      | $437640.73    | 0.10%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 1.5% 06/01/2051#CB0788                                                            | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201927 | PA      | $157202.64    | 0.04%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 06/20/2045#MA2893                                                              | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    698260 | PA      | $682826.13    | 0.16%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2019-1                                          | TOWD PT MTG TR 2019-1 3.75% 03/25/2058 144A                                                 | CUSIP: 89177BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     40996 | PA      | $37936.98     | 0.01%             | 2058-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2% 12/01/2052 #TBA                                                                | CUSIP: 01F0206C8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -45800000 | PA      | $-37667637.50 | -8.74%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 07/20/2048#MA5330                                                                | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    206160 | PA      | $199026.21    | 0.05%             | 2048-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 07/01/2052#CB4135                                                              | CUSIP: 3140QPSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3199065 | PA      | $3189422.82   | 0.74%             | 2052-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 05/01/2035#SB8045                                                            | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    653644 | PA      | $608625.06    | 0.14%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    890000 | NC      | $12175.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2020-HB5                        | CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A                             | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     83492 | PA      | $80159.69     | 0.02%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 09/01/2052#SD1572                                                              | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    593821 | PA      | $598340.74    | 0.14%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 06/01/2031#J34501                                                            | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15595 | PA      | $14791.97     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 03/01/2047#FM1187                                                              | CUSIP: 3140X4J98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282268 | PA      | $273611.08    | 0.06%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2051#CB2166                                                              | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    744453 | PA      | $662371.01    | 0.15%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 06/01/2050#SD7518                                                              | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    462117 | PA      | $416363.67    | 0.10%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 12/01/2052 #TBA                                                                  | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  28925000 | PA      | $24560440.22  | 5.70%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-2                                                    | PRPM 2021-2 2.115% 03/25/2026 144A                                                          | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    256690 | PA      | $232776.58    | 0.05%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                    | MSC 2021-L6 XA 1.35631% 06/15/2054                                                          | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991831 | PA      | $63818.96     | 0.01%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2014-GC21                                | CITIGROUP COML MTG TR 2014-GC21 3.477% 05/10/2047                                           | CUSIP: 17322MAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127858 | PA      | $125671.37    | 0.03%             | 2047-05-10      | Fixed         | 0.03%                 | 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        |     49396 | PA      | $48205.19     | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 11/01/2052#CB5139                                                            | CUSIP: 3140QQV93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1650002 | PA      | $1672127.01   | 0.39%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 06/20/2048#MA5264                                                                | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59017 | PA      | $56975.18     | 0.01%             | 2048-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                        | MNGT SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    350000 | NC      | $4788.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 12/01/2051#RA6434                                                            | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1169170 | PA      | $1003587.79   | 0.23%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.00% 1/41 #004922                                                                  | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52090 | PA      | $50439.01     | 0.01%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                            | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23587 | PA      | $23116.21     | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 11/01/2052#SD1862                                                              | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500102 | PA      | $505471.00    | 0.12%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                      | UST NOTES 2.75% 08/15/2032                                                                  | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4136000 | PA      | $3830970.00   | 0.89%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 12/01/2048#G61821                                                            | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40478 | PA      | $40132.79     | 0.01%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B2 MTG TR                                       | BENCHMARK 2018-B2 MTG TR 3.7802% 02/15/2051                                                 | CUSIP: 08161CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $354359.99    | 0.08%             | 2051-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4% 04/20/2048#BG3507                                                                | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17452 | PA      | $16859.33     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 04/01/2051#FM6540                                                            | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2040407 | PA      | $1774073.67   | 0.41%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   1020000 | NC      | $13954.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 02/01/2035#FM2518                                                            | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173580 | PA      | $161895.99    | 0.04%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                                | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3625 | PA      | $3383.67      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/01/2034#FM0046                                                              | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117894 | PA      | $112250.21    | 0.03%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST TSFR1M+77.15 04/15/2037 144A | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $927297.00    | 0.22%             | 2037-04-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 05/01/2052#RA7311                                                            | CUSIP: 3133KPDQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1675255 | PA      | $1542614.76   | 0.36%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 02/01/2052#FS0605                                                            | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2175778 | PA      | $1870356.27   | 0.43%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 07/01/2048#ZM7210                                                              | CUSIP: 3131Y2AK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    611518 | PA      | $587986.80    | 0.14%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD          | WI 2022-K150 A2 3.71% 11/32                                                                 | CUSIP: 3137H8U41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $753852.40    | 0.17%             | 2032-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 03/01/2050#FM6195                                                              | CUSIP: 3140X93D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662021 | PA      | $596889.57    | 0.14%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 12/01/2051#RA6496                                                            | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    568418 | PA      | $487916.35    | 0.11%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 11/51#MA4468                                                                 | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89772 | PA      | $82608.27     | 0.02%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 5% 06/20/2048#MA5266                                                                | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305475 | PA      | $310562.70    | 0.07%             | 2048-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                     | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A 1ML+120 12/31/2049 144A                   | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $796682.98    | 0.18%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4% 04/20/2048#BG7744                                                                | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14226 | PA      | $13742.61     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 11/01/2052#CB5128                                                              | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848894 | PA      | $857212.01    | 0.20%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 06/01/2051#FM7507                                                            | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2172619 | PA      | $1876127.94   | 0.44%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                          | LCH OIS SOFRV2.75% MAC 12/21/27                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   5290000 | NC      | $-43634.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    690000 | NC      | $9439.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-C10                     | JP MORGAN CHASE COML MTG SECS TR 2013-C10 3.3715% 12/15/2047                                | CUSIP: 46639JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $298497.00    | 0.07%             | 2047-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 12/01/2040#MA4204                                                              | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18782 | PA      | $16113.41     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2049#QA4483                                                              | CUSIP: 31339U6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61860 | PA      | $55561.44     | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 05/47#BH1302                                                                 | CUSIP: 3140GPNU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46281 | PA      | $43632.72     | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 12/20/2043#MA1521                                                              | CUSIP: 36179NVN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2711 | PA      | $2576.40      | 0.00%             | 2043-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 05/01/2045#G61807                                                              | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14369 | PA      | $13906.20     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#QD3432                                                              | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121154 | PA      | $99966.38     | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2047#ZM4820                                                              | CUSIP: 3131XYK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75986 | PA      | $68522.51     | 0.02%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2.5% 05/01/2041#SC0167                                                            | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278351 | PA      | $246976.24    | 0.06%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CCUBS COML MTG TR 2017-C1                                      | CCUBS COML MTG TR 2017-C1 3.462% 11/15/2050                                                 | CUSIP: 12508GAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94732.53     | 0.02%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 12/01/2032#SB0030                                                              | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55437 | PA      | $53147.20     | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 4.50% 10/39 #G08368                                                                    | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31505 | PA      | $31339.72     | 0.01%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 10/01/2031#AS8010                                                            | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17200 | PA      | $16267.65     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 04/01/2033#G18684                                                              | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46593 | PA      | $44488.84     | 0.01%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                          | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                                 | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1413079 | PA      | $1179374.84   | 0.27%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2% 01/01/2053 #TBA                                                                | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  28700000 | PA      | $23628621.03  | 5.48%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2021                                 | RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A                                       | CUSIP: 74969TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    342954 | PA      | $324722.83    | 0.08%             | 2031-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#RA6302                                                              | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1123577 | PA      | $927080.37    | 0.22%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 07/51#BQ1010                                                                   | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177268 | PA      | $146598.48    | 0.03%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 02/01/2041#                                                                    | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20112 | PA      | $17254.88     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                         | MARLETTE FUNDING TRUST 1.36% 04/15/2032 144A                                                | CUSIP: 57109KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |    378047 | PA      | $369634.03    | 0.09%             | 2032-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 02/01/2033#MA3283                                                              | CUSIP: 31418CUH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50974 | PA      | $48629.71     | 0.01%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/01/2032#BM5109                                                              | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    255785 | PA      | $245219.11    | 0.06%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 09/47#MA4720                                                                     | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3770 | PA      | $3649.09      | 0.00%             | 2047-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 01/01/2052#FS0288                                                              | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260554 | PA      | $1040101.82   | 0.24%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 06/01/2048#ZM6780                                                              | CUSIP: 3131Y1Q94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    602052 | PA      | $579072.91    | 0.13%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 03/01/2050#FM3663                                                              | CUSIP: 3140X7B99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2205341 | PA      | $2111002.42   | 0.49%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   9700000 | PA      | $8887625.00   | 2.06%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 05/01/2051#CB0404                                                            | CUSIP: 3140QKNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4829960 | PA      | $4181394.84   | 0.97%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 07/01/2048#Q59935                                                              | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22960 | PA      | $22362.63     | 0.01%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 07/01/2052#CB4025                                                            | CUSIP: 3140QPPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1080396 | PA      | $1062423.36   | 0.25%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   1350000 | NC      | $18468.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 10/01/2048#G67716                                                            | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352181 | PA      | $351021.94    | 0.08%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 15YR 1.5% 12/01/2037 #TBA                                                              | CUSIP: 01F0124C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -5100000 | PA      | $-4457337.78  | -1.03%            | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 12/01/2032#FM1681                                                            | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3742731 | PA      | $3539924.29   | 0.82%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 08/01/2050#SD7523                                                            | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6638799 | PA      | $5753566.92   | 1.33%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                      | UST NOTES 4.375% 10/31/2024                                                                 | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1899554.68   | 0.44%             | 2024-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 01/01/2052#                                                                  | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396963 | PA      | $364374.55    | 0.08%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-LC11                    | JP MORGAN CH CMS 13-LC11 2.9599% 04/15/2046                                                 | CUSIP: 46639YAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218000 | PA      | $215727.92    | 0.05%             | 2046-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 11/01/2047#G08793                                                              | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1305187 | PA      | $1258572.74   | 0.29%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                   | AJAXM 2021-C 2.115% 01/25/2061 144A                                                         | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    196105 | PA      | $183682.81    | 0.04%             | 2061-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 08/01/2047#BH6709                                                            | CUSIP: 3140GVN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59208 | PA      | $55764.75     | 0.01%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 12/01/2052 #TBA                                                                | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25100000 | PA      | $22022152.66  | 5.11%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 05/01/2048#BJ2763                                                            | CUSIP: 3140H4B94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    912119 | PA      | $901719.87    | 0.21%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    390000 | NC      | $5335.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 1.5% 03/01/2041#RB5104                                                            | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146680 | PA      | $120242.58    | 0.03%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 09/01/2052#CB4682                                                              | CUSIP: 3140QQFY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2081472 | PA      | $2097314.10   | 0.49%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 10/45#MA3174                                                                   | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2625 | PA      | $2564.80      | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 5% 04/48#784805                                                                     | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233575 | PA      | $239654.84    | 0.06%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                      | CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A                                         | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $97107.41     | 0.02%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 05/01/2048#BK5486                                                            | CUSIP: 3140HKCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44096 | PA      | $41476.71     | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2020-NNN                     | J P MORGAN CHASE COML MTG SECS TR 2020-NNN 2.8123% 01/16/2037 144A                          | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $606696.73    | 0.14%             | 2037-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 01/01/2035#FM2286                                                              | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195914 | PA      | $186535.53    | 0.04%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 02/01/2033#ZS8686                                                              | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27067 | PA      | $25822.35     | 0.01%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 08/01/2049#                                                                    | CUSIP: 3132DV3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63182 | PA      | $56728.72     | 0.01%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2018-HART                                  | GS MTG SECS CORP TR 2018-HART 1ML+100 10/15/2031 144A                                       | CUSIP: 36259DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1319895.78   | 0.31%             | 2031-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 12/01/2052 #TBA                                                                | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4600000 | PA      | $4267487.62   | 0.99%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 05/01/2051#SD7540                                                            | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1821378 | PA      | $1573958.22   | 0.37%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B MORTGAGE TRUST 2020                           | BENCHMARK 2019-B MORTGAGE TRUST 2020 CSTR 03/15/2053                                        | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2093485 | PA      | $129482.65    | 0.03%             | 2053-03-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                                | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                                             | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4530309 | PA      | $212830.73    | 0.05%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.5% 12/01/2052 #TBA                                                                | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2700000 | PA      | $2644839.54   | 0.61%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 05/01/2035#MA4013                                                            | CUSIP: 31418DN73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5520075 | PA      | $5139883.61   | 1.19%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                             | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                               | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $43493.92     | 0.01%             | 2042-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 02/01/2049#FM3160                                                            | CUSIP: 3140X6QN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131685 | PA      | $130184.09    | 0.03%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 07/01/2050#RA2976                                                            | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575636 | PA      | $496001.24    | 0.12%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-RPL4 TR                                              | CSMC 2020-RPL4 TR 2% 01/25/2060 144A                                                        | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55459 | PA      | $46851.92     | 0.01%             | 2060-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                    | BAMLL COML MTG SECS TR 2019 3.287% 11/05/2032 144A                                          | CUSIP: 05492PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $555152.64    | 0.13%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#CB2348                                                              | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422102 | PA      | $349206.06    | 0.08%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                          | LCH OIS SOFRV3.25% MAC 12/21/24                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |   7240000 | NC      | $-65778.73    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 05/01/2048#BJ2757                                                            | CUSIP: 3140H4B37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95349 | PA      | $89683.86     | 0.02%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                               | UPSTART SECURITIZATION TR 2021-1 0.91% 06/20/2031 144A                                      | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    125401 | PA      | $122718.47    | 0.03%             | 2031-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 12/01/2051#FM9865                                                            | CUSIP: 3140XD6B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4475551 | PA      | $3850099.42   | 0.89%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MHC COML MTG TR 2021-MHC                                       | MHC COML MTG TR 2021-MHC A 1ML+80.096 04/15/2026 144A                                       | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2605301.55   | 0.60%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3% 12/01/2052 #TBA                                                                  | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12875000 | PA      | $11612420.85  | 2.69%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 09/01/2041#AI9851                                                            | CUSIP: 3138AP5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402358 | PA      | $403554.56    | 0.09%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 10/01/2051#CB1801                                                              | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2266691 | PA      | $1875947.67   | 0.44%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 02/01/2048#ZS4754                                                              | CUSIP: 3132A5H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    710299 | PA      | $640529.27    | 0.15%             | 2048-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C29                               | WELLS FARGO COML MTG TR 2015-C29 3.4% 06/15/2048                                            | CUSIP: 94989KAW3<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |     95177 | PA      | $92353.79     | 0.02%             | 2048-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 04/01/2052#RA7142                                                              | CUSIP: 3133KN5B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    794402 | PA      | $656962.23    | 0.15%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 10/01/2050#CA7323                                                              | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794435 | PA      | $661706.95    | 0.15%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 05/20/2050#MA6657                                                              | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2263726 | PA      | $2124429.97   | 0.49%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                               | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                                       | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1012114 | PA      | $913412.08    | 0.21%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 11/01/2034#CA4460                                                              | CUSIP: 3140QB5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877475 | PA      | $835195.85    | 0.19%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.50% 12/40 #004881                                                                 | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2218 | PA      | $2095.73      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28    | MSBAM 2016-C28 3.272% 01/15/49                                                              | CUSIP: 61766LBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75875 | PA      | $71328.36     | 0.02%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 02/20/2051#MA7192                                                                | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2524767 | PA      | $2156909.05   | 0.50%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 09/01/2048#ZM8154                                                              | CUSIP: 3131Y3BX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46605 | PA      | $44972.02     | 0.01%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 3.5% 06/01/2038#MA3388                                                            | CUSIP: 31418CXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21547 | PA      | $20617.33     | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 12/01/2051#CB2320                                                            | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    704758 | PA      | $606269.32    | 0.14%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                              | CFMT 2021-HB7 LLC 1.3034% 10/27/2031 144A                                                   | CUSIP: 12530BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    254730 | PA      | $238013.17    | 0.06%             | 2031-10-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                               | NEW YORK MORTGAGE TRUST 2021-SP1 1.6696% 08/25/2061 144A                                    | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    269446 | PA      | $239357.47    | 0.06%             | 2061-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 02/01/2050#SD7512                                                              | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3914358 | PA      | $3528029.79   | 0.82%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 10/01/2047#CA0607                                                            | CUSIP: 3140Q7U96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3543523 | PA      | $3319712.33   | 0.77%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 11/32#ZK9037                                                                   | CUSIP: 3131XDBE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    630360 | PA      | $601366.35    | 0.14%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                              | BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053                                           | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480745 | PA      | $118297.00    | 0.03%             | 2053-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                    | GSMS 2021-IP A 1ML+105 10/15/2036 144A                                                      | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    963000 | PA      | $896319.86    | 0.21%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 07/01/2050#CA6416                                                              | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1279887 | PA      | $1150368.58   | 0.27%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COMM 2016-COR1 MTG TR                                          | COMM 2016-COR1 ASB 2.972% 10/49                                                             | CUSIP: 12594MBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    558826 | PA      | $529987.05    | 0.12%             | 2049-10-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                  | BX TRUST 2019-XL B 1ML+110 10/15/2036 144A                                                  | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $663740.79    | 0.15%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2.5% 01/01/2053 #TBA                                                              | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7100000 | PA      | $6072996.36   | 1.41%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 04/01/2051#MA4305                                                              | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1935551 | PA      | $1598262.13   | 0.37%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 12/51#RA6435                                                                 | CUSIP: 3133KNEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2052932 | PA      | $1764754.82   | 0.41%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                        | FHLM 30YR 3.5% 05/01/2049#Q63646                                                            | CUSIP: 3132VQBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    230990 | PA      | $215824.61    | 0.05%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 5.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4900000 | PA      | $4955890.38   | 1.15%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 05/43 #MA1012                                                                  | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291079 | PA      | $276602.07    | 0.06%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 09/20/2048#MA5466                                                                | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    751052 | PA      | $724828.85    | 0.17%             | 2048-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2051#MA4494                                                              | CUSIP: 31418D7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5553755 | PA      | $4930997.34   | 1.14%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 04/01/2037#BM1257                                                            | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616691 | PA      | $570883.18    | 0.13%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                            | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                                 | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1187499 | PA      | $1049617.83   | 0.24%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                        | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                              | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    906072 | PA      | $887540.41    | 0.21%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 03/20/44#MA1760                                                                | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2649 | PA      | $2517.24      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 11/01/2034#BO4944                                                            | CUSIP: 3140K0P69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14403 | PA      | $13442.64     | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-LGCY                                                | BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A                                               | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232000 | PA      | $230982.42    | 0.05%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-C13                     | JPMCC 2013-C13 ASB 3.414% 1/15/46                                                           | CUSIP: 46640JAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42530 | PA      | $42271.85     | 0.01%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                  | BX TRUST 2019-IMC A 1ML+105 04/15/34 144A                                                   | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119000 | PA      | $115819.01    | 0.03%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TR 2022-HB1                                | RMF BUYOUT ISSUANCE TR 2022-HB1 A 0% 04/25/2032 144A                                        | CUSIP: 76970HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    172285 | PA      | $167020.41    | 0.04%             | 2032-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 05/01/2041#MA4333                                                              | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2779663 | PA      | $2375194.68   | 0.55%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-C16                     | J P MORGAN CHASE COML MTG SECS TR 2013-C16 4.5169% 12/15/2046                               | CUSIP: 46641BAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37000 | PA      | $36198.35     | 0.01%             | 2046-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#CB2346                                                              | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471221 | PA      | $390431.75    | 0.09%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                      | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                         | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29000 | PA      | $26703.66     | 0.01%             | 2062-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 01/01/2053 #TBA                                                                | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16700000 | PA      | $14664583.96  | 3.40%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS              | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    141115 | PA      | $127701.65    | 0.03%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/01/2032#BM5345                                                              | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77407 | PA      | $74137.03     | 0.02%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5% 10/01/2052#FS3047                                                              | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999391 | PA      | $1004186.37   | 0.23%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 12/01/2051#CB2376                                                            | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546765 | PA      | $470013.62    | 0.11%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                              | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                             | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1440121.10   | 0.33%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 5.5% 10/01/2052#CB4843                                                            | CUSIP: 3140QQLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    888565 | PA      | $900202.00    | 0.21%             | 2052-10-01      | Fixed         | 0.06%                 | 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        |     51735 | PA      | $50455.24     | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 11/01/2050#CA7616                                                              | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437279 | PA      | $361899.01    | 0.08%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 01/01/2035#CA5039                                                              | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25784 | PA      | $24525.41     | 0.01%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2019-AB1                        | FINANCE OF AMERICA HECM BUYOUT 2019-AB1 VAR 02/25/2032 144A                                 | CUSIP: 31735JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    878459 | PA      | $844197.08    | 0.20%             | 2032-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 10/01/2051#CB1799                                                              | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1718245 | PA      | $1424730.57   | 0.33%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW TRUST 2021-EB01                                      | OCEANVIEW TRUST 2021-EB01 VAR 12/29/2051 144A                                               | CUSIP: 67647NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |    331105 | PA      | $321171.74    | 0.07%             | 2051-12-29      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2051#MA4281                                                              | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2845523 | PA      | $2350551.97   | 0.55%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 02/01/2041#MA4266                                                            | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144058 | PA      | $118093.64    | 0.03%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        88 | NC      | $48807.16     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                               | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A                                 | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $264897.27    | 0.06%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 1.5% 01/01/2037#FS2747                                                            | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1358322 | PA      | $1191627.37   | 0.28%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 08/01/2052#                                                                    | CUSIP: 3133KPQD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2366721 | PA      | $2252536.36   | 0.52%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-SITE                                                 | CSMC 2018-SITE 4.284% 04/15/2036 144A                                                       | CUSIP: 12690CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94845.69     | 0.02%             | 2036-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GCJ16                                      | GSMS 2013-GC16 AS 4.649% 11/46                                                              | CUSIP: 36248GAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $269395.69    | 0.06%             | 2046-11-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 07/01/2047#G61047                                                            | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43956 | PA      | $43764.40     | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2051#FM9919                                                              | CUSIP: 3140XEAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1950815 | PA      | $1734503.31   | 0.40%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 6% 12/01/2052 #TBA                                                                | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3600000 | PA      | $3682687.68   | 0.85%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3% 12/01/2052 #TBA                                                                | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13900000 | PA      | $12304758.16  | 2.85%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                            | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                                   | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1421229 | PA      | $1301791.34   | 0.30%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLT 2021-RPL1 TR                                              | COLT 2021-RPL1 TR 1.8808% 09/25/2061 144A                                                   | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    226348 | PA      | $198084.04    | 0.05%             | 2061-09-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                         | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+70.1 11/15/2036 144A                             | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $906250.98    | 0.21%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 11/01/2050#QB6612                                                            | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103982 | PA      | $81049.02     | 0.02%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2% 12/01/2036#BU1384                                                              | CUSIP: 3140M2RE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112003 | PA      | $100855.82    | 0.02%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2019-C54                               | WELLS FARGO COML MTG TR 2019-C54 VAR 12/15/2052                                             | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5922015 | PA      | $255373.87    | 0.06%             | 2052-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 07/01/2049#RA1171                                                            | CUSIP: 3133KGJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2241265 | PA      | $2223592.56   | 0.52%             | 2049-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC34                                       | GSMS 2015 GC34 AAB 3.278% 10/10/2048                                                        | CUSIP: 36250VAE2<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |     43021 | PA      | $41394.70     | 0.01%             | 2048-10-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 05/51#SD7541                                                                   | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7312476 | PA      | $6079337.07   | 1.41%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 09/20/2040#004799                                                              | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4886 | PA      | $4615.25      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2013-C14                                | JPMBB COML MTG SEC TR 2013 C14 AS 4.409% 08/15/2046                                         | CUSIP: 46640LAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114000 | PA      | $111668.67    | 0.03%             | 2046-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    350000 | NC      | $4788.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                       | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312042 | PA      | $301011.89    | 0.07%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 06/01/2041#MA4364                                                              | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21707 | PA      | $18548.47     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB8 LLC                                              | CFMT 2022-HB8 LLC 3.75% 04/24/2025 144A                                                     | CUSIP: 12526WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2651056 | PA      | $2551640.99   | 0.59%             | 2025-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 11/01/2052#SD1863                                                              | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $302376.99    | 0.07%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RLGH TR 2021-TROT                                              | RLGH TR 2021-TROT VAR 04/15/2026 144A                                                       | CUSIP: 74969CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1824381.33   | 0.42%             | 2036-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 04/51#MA7311                                                                     | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193234 | PA      | $164958.73    | 0.04%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 08/01/2032#MA3090                                                              | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216131 | PA      | $206459.91    | 0.05%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 03/01/2049#ZN6553                                                              | CUSIP: 3131YDH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    795247 | PA      | $764148.71    | 0.18%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 07/01/2051#                                                                  | CUSIP: 3140LSCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144596 | PA      | $133158.76    | 0.03%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 08/20/2043#MA1225                                                              | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5957 | PA      | $5834.93      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 03/01/2052#CB3038                                                              | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245605 | PA      | $202575.57    | 0.05%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 04/01/2041#                                                                    | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20882 | PA      | $17843.72     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 09/42#G07184                                                                   | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177710 | PA      | $171889.78    | 0.04%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 08/01/2048#ZS4785                                                              | CUSIP: 3132A5J63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233404 | PA      | $224422.08    | 0.05%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 01/01/2033#ZS8682                                                              | CUSIP: 3132A9UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42743 | PA      | $40777.46     | 0.01%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2048#ZN4472                                                              | CUSIP: 3131YA6H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30759 | PA      | $27617.83     | 0.01%             | 2048-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 12/01/2051#CB2321                                                            | CUSIP: 3140QMSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621317 | PA      | $533323.93    | 0.12%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2022-R2                                              | CIM TRUST 2022-R2 VAR 12/25/2061 144A                                                       | CUSIP: 12567NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    911657 | PA      | $839893.14    | 0.19%             | 2061-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                   | BX 2021-BXMF 1ML+64 10/15/2026 144A                                                         | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437000 | PA      | $414602.40    | 0.10%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2020-HB4 LLC                                              | CFMT 2020-HB4 A LLC 0% 12/26/2030 144A                                                      | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     50640 | PA      | $48923.61     | 0.01%             | 2030-12-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 4.5% 01/01/2053 #TBA                                                              | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2850000 | PA      | $2774298.30   | 0.64%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 04/01/2052#SD0958                                                            | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2178786 | PA      | $2015810.56   | 0.47%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 03/01/2046#BM4980                                                              | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398111 | PA      | $384632.14    | 0.09%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 3.5% 12/20/2049#BR8985                                                              | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9459 | PA      | $8828.46      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                              | CFMT 2021-HB7 LLC 3.3574% 07/25/2054 144A                                                   | CUSIP: 12527QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    236414 | PA      | $230836.56    | 0.05%             | 2054-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2013-GC17                                | CITIGROUP COML MTG TR 13-GC17 4.544% 11/10/2046                                             | CUSIP: 17321RAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $488208.85    | 0.11%             | 2046-11-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-NUGS                              | MORGAN STANLEY CAP I TR 2019-NUGS A 1ML+88.4 12/15/2021 144A                                | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $932102.80    | 0.22%             | 2036-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30               | MORGAN STANLEY BK AMER MERRILL LYNCH TR 2016-C30 2.729% 09/15/2049                          | CUSIP: 61766NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    728613 | PA      | $695344.00    | 0.16%             | 2049-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | US 5YR NOTE (CBT) FUT MAR23 FVH3                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -16 | NC      | $-10526.12    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 02/01/2052#FS0631                                                              | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    939694 | PA      | $834910.65    | 0.19%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 05/51#QC1514                                                                   | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182847 | PA      | $151498.18    | 0.04%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 09/01/2051#BT0233                                                              | CUSIP: 3140LNHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476268 | PA      | $394761.98    | 0.09%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 03/01/2048#ZM5941                                                              | CUSIP: 3131Y0S60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31617 | PA      | $28511.29     | 0.01%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#RA6308                                                              | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170043 | PA      | $140730.24    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#BT9493                                                              | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370574 | PA      | $306576.44    | 0.07%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 05/01/2031#BC0919                                                            | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17117 | PA      | $16222.03     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                               | UPSTART SECURITIZATION TR 2021-1 0.87% 03/20/2031 144A                                      | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8960 | PA      | $8912.50      | 0.00%             | 2031-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 01/20/2051#MA7135                                                                | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147103 | PA      | $125716.53    | 0.03%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3% 12/01/2052 #TBA                                                                | CUSIP: 01F0306C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1900000 | PA      | $-1681945.36  | -0.39%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 15YR 1.5% 01/01/2038 #TBA                                                              | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   5100000 | PA      | $4464309.99   | 1.04%             | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 1.5% 07/01/2035#SB8065                                                            | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294007 | PA      | $258569.12    | 0.06%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 07/01/2050#CA6417                                                              | CUSIP: 3140QEDX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    922529 | PA      | $826866.87    | 0.19%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                   | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                            | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    501323 | PA      | $487029.18    | 0.11%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 15YR 2% 12/01/2037 #TBA                                                                | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  18100000 | PA      | $16259458.06  | 3.77%             | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                 | CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A                                                   | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2490000 | PA      | $2457851.11   | 0.57%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 09/32#MA3125                                                                   | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14249 | PA      | $13611.65     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 05/01/2033#G16550                                                              | CUSIP: 3128MFQB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12493 | PA      | $11929.03     | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3.5% 02/01/2034#G16752                                                            | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93971 | PA      | $90910.86     | 0.02%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    600000 | NC      | $8208.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 11/01/2036#FS1970                                                            | CUSIP: 3140XHFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3339523 | PA      | $3099079.13   | 0.72%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 05/01/2051#FM7352                                                            | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1129771 | PA      | $974888.61    | 0.23%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 10/01/2048#ZM8580                                                              | CUSIP: 3131Y3Q90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277946 | PA      | $266989.96    | 0.06%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 03/01/2046#G60440                                                            | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1030773 | PA      | $973005.05    | 0.23%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    350000 | NC      | $4788.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 11/01/2051#BQ6772                                                              | CUSIP: 3140KSQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    414984 | PA      | $342539.20    | 0.08%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B12 MTG TR                                      | BENCHMARK 2019-B12 MTG TR VAR/1.207 08/15/2052 144A                                         | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    939160 | PA      | $39744.23     | 0.01%             | 2052-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 12/01/2050#QB7301                                                            | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68090 | PA      | $53072.69     | 0.01%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 11/01/2041#MA4473                                                            | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2316579 | PA      | $1886014.88   | 0.44%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 07/01/2047#FM3371                                                            | CUSIP: 3140X6W98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1133141 | PA      | $1126428.62   | 0.26%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                      | CGDBB COML MTG TR 2019-MOB B 1ML+125 11/15/36 144A                                          | CUSIP: 125284AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $96227.25     | 0.02%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 10/01/2051#FM9210                                                              | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1920849 | PA      | $1711461.26   | 0.40%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 11/01/2051#FM9501                                                            | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2230806 | PA      | $1919053.91   | 0.45%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 05/20/2048#MA5192                                                                | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173026 | PA      | $167146.69    | 0.04%             | 2048-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 12/01/2052 #TBA                                                                  | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1908869.80   | 0.44%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |   1020000 | NC      | $13954.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2047#ZM4743                                                              | CUSIP: 3131XYHU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63606 | PA      | $57437.33     | 0.01%             | 2047-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                             | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                                    | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1088604 | PA      | $903872.74    | 0.21%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 08/01/2052#RA7754                                                              | CUSIP: 3133KPTK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2762040 | PA      | $2627056.05   | 0.61%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 07/01/2047#Q49499                                                            | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19587 | PA      | $19510.31     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 11/01/2049#SD7507                                                              | CUSIP: 3132DVKU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1300089 | PA      | $1175433.01   | 0.27%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 03/01/2051#SD8133                                                            | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1279485 | PA      | $997294.60    | 0.23%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                                | CITIGROUP COML MTG TR 2015-GC33 AAB 3.522% 09/10/58                                         | CUSIP: 29425AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171087 | PA      | $165377.22    | 0.04%             | 2058-09-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 4% 05/01/2038#C91994                                                              | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    344138 | PA      | $337532.36    | 0.08%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                   | Fidelity Cash Central Fund                                                                  | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  92757862 | NS      | $92776413.51  | 21.52%            |  |  |  | No            |                  1 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                          | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+71.21 10/15/2036 144A                             | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    475000 | PA      | $453272.31    | 0.11%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 10/01/2039#AL0939                                                            | CUSIP: 3138EHBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767736 | PA      | $762713.86    | 0.18%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 15YR 2% 01/01/2038 #TBA                                                                | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  11500000 | PA      | $10343622.10  | 2.40%             | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.00% 10/40 #004833                                                                 | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17378 | PA      | $16828.23     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#QD3168                                                              | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    284503 | PA      | $235370.37    | 0.05%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-EBO1 LLC                                             | CFMT 2021-EBO1 LLC 1.1581% 11/25/2050 144A                                                  | CUSIP: 12530AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    199787 | PA      | $187323.56    | 0.04%             | 2050-11-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                              | MORGAN STANLEY CAP I TR 2019-MEAD 3.17709% 11/10/2036 144A                                  | CUSIP: 61771LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26000 | PA      | $23468.73     | 0.01%             | 2036-11-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 10/01/2051#BU1269                                                              | CUSIP: 3140M2MT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738427 | PA      | $612056.26    | 0.14%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                              | SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A                                                 | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151000 | PA      | $144282.72    | 0.03%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 09/01/2047#ZS4734                                                              | CUSIP: 3132A5HK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33118 | PA      | $29906.78     | 0.01%             | 2047-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2.5% 12/01/2052 #TBA                                                                | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -21450000 | PA      | $-18819728.07 | -4.36%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 08/01/2050#FM7147                                                            | CUSIP: 3140XA5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5418391 | PA      | $5054574.51   | 1.17%             | 2050-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 1.5% 12/01/2040#RB5089                                                            | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85615 | PA      | $70184.21     | 0.02%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 10/01/2051#QC9113                                                              | CUSIP: 3133AUDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324279 | PA      | $268783.89    | 0.06%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 1.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14700000 | PA      | $11418977.64  | 2.65%             | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 01/01/2041#MA4231                                                            | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141890 | PA      | $116316.48    | 0.03%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 10/20/2043#MA1375                                                              | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3404 | PA      | $3235.15      | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 12/01/2040#MA4202                                                            | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138248 | PA      | $113330.90    | 0.03%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/01/2034#CA4890                                                              | CUSIP: 3140QCNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27372 | PA      | $26069.77     | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 1.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0126C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1900000 | PA      | $-1475922.28  | -0.34%            | 2052-12-01      | Fixed         | 0.01%                 | 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        |     62286 | PA      | $60052.88     | 0.01%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2% 10/01/2035#BK5705                                                              | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432551 | PA      | $390449.03    | 0.09%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   1300000 | NC      | $17784.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 2.5% 08/01/2031#BC2778                                                            | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24552 | PA      | $23221.27     | 0.01%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#RA6510                                                              | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    615337 | PA      | $509070.31    | 0.12%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#CB2350                                                              | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655867 | PA      | $541576.03    | 0.13%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4.5% 06/47#Q48876                                                                 | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25207 | PA      | $25115.85     | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                    | UNITED STATES TREASURY BOND 2% 11/15/2041                                                   | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $218496.09    | 0.05%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 11/01/2047#CA1757                                                            | CUSIP: 3140Q85T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120943 | PA      | $113870.84    | 0.03%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2017                                     | CITIGROUP COML MTG TR 2017-P7 3.509% 04/14/2050                                             | CUSIP: 17325HBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344420 | PA      | $331408.82    | 0.08%             | 2050-04-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 09/01/2051#QC7496                                                              | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117783 | PA      | $104686.48    | 0.02%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2019                                            | BX COML MTG TR 2019-XCALM AL 1ML+88.72 11/25/2286 144A                                      | CUSIP: 05608FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6073 | PA      | $5932.50      | 0.00%             | 2032-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2% 12/01/2052 #TBA                                                                | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  51750000 | PA      | $42561140.63  | 9.87%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 04/48#BK3801                                                                 | CUSIP: 3140HHGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53257 | PA      | $50093.42     | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 02/52#RA6824                                                                   | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3038326 | PA      | $2512665.60   | 0.58%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 4.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6400000 | PA      | $6230003.20   | 1.44%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3% 07/51#MA7473                                                                     | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    752373 | PA      | $683243.00    | 0.16%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 08/20/2045#MA3035                                                              | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497649 | PA      | $486183.24    | 0.11%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 15YR 2.5% 12/01/2037 #TBA                                                              | CUSIP: 01F0224C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -1800000 | PA      | $-1662468.84  | -0.39%            | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 09/01/2048#ZM8169                                                              | CUSIP: 3131Y3CE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294339 | PA      | $284024.75    | 0.07%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                                | INTOWN 2022-STAY MORTGAGE TRUST TSFR1M+223.92 08/15/2037 144A                               | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    997000 | PA      | $987005.87    | 0.23%             | 2039-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   1020000 | NC      | $13954.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                       | CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034                                               | CUSIP: 162665AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2888191 | PA      | $2831845.21   | 0.66%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 04/01/2052#CB3331                                                            | CUSIP: 3140QNVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5667682 | PA      | $5238419.93   | 1.21%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 07/01/2043#ZS3792                                                            | CUSIP: 3132A4F94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65502 | PA      | $57422.57     | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2.5% 10/01/2037#BM1951                                                            | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79879 | PA      | $73945.84     | 0.02%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 03/01/2033#ZS8690                                                              | CUSIP: 3132A9UP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52452 | PA      | $50039.62     | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 01/01/2052#RA6622                                                            | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1803975 | PA      | $1550744.51   | 0.36%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2012-LC9                     | J P MORGAN CHASE COML MTG SECS TR 2012-LC9 3.353% 12/15/2047 144A                           | CUSIP: 46639EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54811 | PA      | $54670.20     | 0.01%             | 2047-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 11/01/2051#QD0399                                                              | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110762 | PA      | $91668.51     | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3% 04/20/2050#MA6599                                                                | CUSIP: 36179VKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259217 | PA      | $236269.91    | 0.05%             | 2050-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C21                                | JPMBB COML MTG SECS TR 2014-C21 3.4927% 08/15/2047                                          | CUSIP: 46642EAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290320 | PA      | $281409.21    | 0.07%             | 2047-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 03/01/2033#BM4614                                                              | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38836 | PA      | $37134.37     | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 5% 12/01/2052 #TBA                                                                | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7100000 | PA      | $7068933.95   | 1.64%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                 | EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A                                    | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    650144 | PA      | $625286.41    | 0.15%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2051#FM9633                                                              | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1474794 | PA      | $1314029.80   | 0.30%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 06/20/2050#MA6711                                                              | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9643137 | PA      | $9049758.20   | 2.10%             | 2050-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 04/01/2041#                                                                    | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21140 | PA      | $18063.68     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 15YR 2.5% 12/01/2037 #TBA                                                              | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1800000 | PA      | $1662468.84   | 0.39%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                            | MSCS SWAP CY451600 12/16/72 B                                                               | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   1410000 | NC      | $19289.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 5% 12/01/2052 #TBA                                                                | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -5450000 | PA      | $-5426153.53  | -1.26%            | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 12/01/2042#AB7124                                                            | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11909 | PA      | $11238.61     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                                 | BANK 2021-BN35 2.285% 06/15/2064                                                            | CUSIP: 06540CBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13000 | PA      | $10439.54     | 0.00%             | 2064-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | US LONG BOND(CBT) FUT MAR23 USH3                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -188 | NC      | $-265499.15   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                         | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+112.02 11/15/2036 144A                           | CUSIP: 26863LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $356203.99    | 0.08%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 4% 12/01/2052 #TBA                                                                | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  13050000 | PA      | $12348562.50  | 2.86%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 07/01/2050#SD7521                                                            | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    276976 | PA      | $240649.34    | 0.06%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 07/01/2051#RA5574                                                            | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1336639 | PA      | $1151307.52   | 0.27%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                             | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                           | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $384962.00    | 0.09%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                             | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                           | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1653000 | PA      | $1603282.22   | 0.37%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2049#FM2077                                                              | CUSIP: 3140X5JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2609277 | PA      | $2359092.58   | 0.55%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4% 04/01/2049#FM1277                                                              | CUSIP: 3140X4M37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104586 | PA      | $100005.50    | 0.02%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 11/01/2051#                                                                  | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    923725 | PA      | $850299.44    | 0.20%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 06/01/2051#QC3131                                                            | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57548 | PA      | $44802.08     | 0.01%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 01/01/2052#FS0286                                                              | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2910033 | PA      | $2407478.21   | 0.56%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 4% 05/20/2049#BN2615                                                                | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138326 | PA      | $133193.89    | 0.03%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  25825000 | PA      | $22068268.24  | 5.12%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 04/01/2051#FM6944                                                              | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    999781 | PA      | $829308.28    | 0.19%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                      | BENCHMARK 2019-B14 XA MORTGAGE TRUST VAR 12/15/2061                                         | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9691985 | PA      | $313492.09    | 0.07%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 4% 11/01/2048#ZN1277                                                              | CUSIP: 3131Y7M20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56019 | PA      | $54038.28     | 0.01%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 10/01/2049#CA4406                                                              | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308967 | PA      | $278569.96    | 0.06%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#CB2349                                                              | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2044760 | PA      | $1691635.47   | 0.39%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 10/01/2051#QD0109                                                              | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117230 | PA      | $97021.23     | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 04/01/2034#G16829                                                              | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26980 | PA      | $25727.41     | 0.01%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 03/01/2050#BP2186                                                              | CUSIP: 3140K9NC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1295915 | PA      | $1168013.96   | 0.27%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 02/01/2051#SD7532                                                              | CUSIP: 3132DVLM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2223647 | PA      | $1850747.13   | 0.43%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                 | FEDERAL NAT MTG ASN GTD REM PA 1.85% 05/25/2033                                             | CUSIP: 3136ADB57<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    106988 | PA      | $97032.28     | 0.02%             | 2033-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 02/01/2033#BM5108                                                              | CUSIP: 3140J9VA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233266 | PA      | $222828.48    | 0.05%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2018-C8                                 | JPMDB COML MTG SECS TR 2018-C8 4.145% 06/15/2051                                            | CUSIP: 46591ABB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $963187.10    | 0.22%             | 2051-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 10/01/2049#QA3907                                                              | CUSIP: 31339UKU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41874 | PA      | $37610.14     | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 08/01/2051#CB1384                                                            | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2014525 | PA      | $1734572.23   | 0.40%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                               | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+155 01/15/2039 144A                                 | CUSIP: 05530SAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $95291.50     | 0.02%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 10/01/2041#                                                                    | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22505 | PA      | $19110.65     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 09/01/2051#QC7468                                                              | CUSIP: 3133ASJM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    583382 | PA      | $483544.88    | 0.11%             | 2051-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 09/45#MA3106                                                                   | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2482 | PA      | $2425.09      | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRASS NO 10 PLC                                                | BRASS NO 10 PLC VAR 04/16/2069 144A                                                         | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-CBDO         | CORP              | GB        |    123730 | PA      | $117547.59    | 0.03%             | 2069-04-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 04/01/2050#BK2249                                                              | CUSIP: 3140HFQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1402258 | PA      | $1263423.31   | 0.29%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                                | BANK 2021-BNK33 VAR 05/15/2064                                                              | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2021497 | PA      | $117038.82    | 0.03%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    660000 | NC      | $9029.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 11/01/2049#CA4557                                                            | CUSIP: 3140QCB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118546 | PA      | $110585.95    | 0.03%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 08/01/2051#SD8163                                                            | CUSIP: 3132DWB85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1616193 | PA      | $1488860.94   | 0.35%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 11/32#BJ6650                                                                   | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19759 | PA      | $18874.77     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMBB COML MTG SECS TR 2014-C22                                | JPMBB 2014-C22 ASB 3.5036% 09/15/2047                                                       | CUSIP: 46642NBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104858 | PA      | $102678.25    | 0.02%             | 2047-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 2% 01/01/2053 #TBA                                                                  | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20325000 | PA      | $17273991.89  | 4.01%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 04/20/2050#MA6600                                                              | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    379803 | PA      | $356402.63    | 0.08%             | 2050-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 2.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -12150000 | PA      | $-10382554.08 | -2.41%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                           | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                                  | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    794333 | PA      | $650635.67    | 0.15%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 15YR 2% 12/01/2037 #TBA                                                                | CUSIP: 01F0204C0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -12600000 | PA      | $-11318738.76 | -2.63%            | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 5% 12/01/2052#SD1924                                                              | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1199767 | PA      | $1209273.11   | 0.28%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 06/01/2048#BM4426                                                            | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1830914 | PA      | $1716988.87   | 0.40%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 12/01/2049#QA5521                                                              | CUSIP: 3133A0D27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67649 | PA      | $60760.97     | 0.01%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 02/20/2043#MA0783                                                              | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3298 | PA      | $3134.02      | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-MFM1                                                   | BX 2021-MFM1 A 1ML+0 01/15/2034 144A                                                        | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000 | PA      | $107186.02    | 0.02%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    520000 | NC      | $7113.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                 | CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A                                      | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    194380 | PA      | $183079.61    | 0.04%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                              | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                          | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1288679 | PA      | $1236236.28   | 0.29%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 12/01/2051#BT9503                                                              | CUSIP: 3140LYRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94945 | PA      | $84298.90     | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2013-GC13                                       | GS MTG SECS TR 2013-GC13 AS CSTR 07/10/2046 144A                                            | CUSIP: 36198EAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $137842.36    | 0.03%             | 2046-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 4.5% 12/01/2052 #TBA                                                              | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2850000 | PA      | $-2774298.30  | -0.64%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 03/01/2033#G18680                                                            | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28820 | PA      | $27119.96     | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 02/01/2051#SD7535                                                            | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2113711 | PA      | $1832524.27   | 0.43%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 08/01/2049#FM1338                                                            | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1280886 | PA      | $1271986.62   | 0.30%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 1.5% 11/01/2040#MA4175                                                            | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137273 | PA      | $112531.26    | 0.03%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2.5% 10/01/2050#SD7525                                                            | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1510564 | PA      | $1312446.36   | 0.30%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 02/01/2042#MA4540                                                              | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294583 | PA      | $249509.10    | 0.06%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 15YR 1.5% 12/01/2037 #TBA                                                              | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7050000 | PA      | $6161613.99   | 1.43%             | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 12/34#FM0045                                                                   | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34726 | PA      | $33063.97     | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                            | GSCOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    350000 | NC      | $4788.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 01/20/2044#MA1600                                                              | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5525 | PA      | $5250.29      | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | 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        |    524552 | PA      | $464912.51    | 0.11%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 12/20/2041#005258                                                              | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2597 | PA      | $2450.95      | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                                 | BLOX 2021-BLOX A 1ML+80 09/15/2026 144A                                                     | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531000 | PA      | $499787.61    | 0.12%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 05/46#MA3664                                                                     | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25568 | PA      | $24922.77     | 0.01%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 12/01/2051#CB2347                                                              | CUSIP: 3140QMTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519762 | PA      | $430488.08    | 0.10%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 11/20/2042#MA0535                                                                | CUSIP: 36179MSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79096 | PA      | $76513.50     | 0.02%             | 2042-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 07/01/2041#                                                                    | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21708 | PA      | $18549.13     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3% 12/01/2052 #TBA                                                                  | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -8400000 | PA      | $-7576259.04  | -1.76%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 10/01/2051#QC9114                                                              | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332843 | PA      | $275465.52    | 0.06%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 1.5% 02/01/2041#RB5099                                                            | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144484 | PA      | $118442.68    | 0.03%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 03/20/2043 #MA1090                                                             | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40141 | PA      | $38144.19     | 0.01%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 4.5% 01/01/2049#BN2228                                                            | CUSIP: 3140JJPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87086 | PA      | $85936.46     | 0.02%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 01/01/2045#G61419                                                            | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16397 | PA      | $15398.88     | 0.00%             | 2045-01-01      | 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        |     54083 | PA      | $52745.72     | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-LC11                    | JP MORGAN CH CMS 13-LC11 3.216% 04/15/2046                                                  | CUSIP: 46639YAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308000 | PA      | $301783.27    | 0.07%             | 2046-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 01/46#MA3377                                                                   | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11256 | PA      | $10971.88     | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    340000 | NC      | $4651.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                               | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                       | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     56670 | PA      | $51451.02     | 0.01%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3.5% 07/01/2034#BO1835                                                            | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29514 | PA      | $28583.74     | 0.01%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 05/20/2047#MA4452                                                                | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156574 | PA      | $151694.20    | 0.04%             | 2047-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                      | UST NOTES 2.625% 07/31/2029                                                                 | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1913000 | PA      | $1784769.22   | 0.41%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 2% 10/01/2041#                                                                    | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22711 | PA      | $19285.83     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2022-1                               | UPSTART SECURITIZATION TR 2022-1 3.12% 03/20/2032 144A                                      | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    788223 | PA      | $757559.57    | 0.18%             | 2032-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                    | UNITED STATES TREASURY BOND 3.25% 05/15/2042                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1077937.50   | 0.25%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3% 03/01/2033#MA3312                                                              | CUSIP: 31418CVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24033 | PA      | $22927.82     | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 12/20/2045#MA3311                                                                | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14520 | PA      | $14185.00     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 07/01/2050#FM3611                                                            | CUSIP: 3140X7AM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1102609 | PA      | $954895.68    | 0.22%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 04/01/2050#FM3830                                                              | CUSIP: 3140X7HG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54215 | PA      | $48779.70     | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                 | GNMA II 3% 02/20/2050#BS8922                                                                | CUSIP: 3617MK4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250815 | PA      | $226593.36    | 0.05%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4% 04/20/2047#MA4383                                                                | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    706142 | PA      | $684796.94    | 0.16%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 01/01/2053 #TBA                                                                | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2950000 | PA      | $2738141.33   | 0.64%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                            | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13152 | PA      | $10251.19     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2% 07/01/2050#CA6275                                                              | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    499869 | PA      | $414167.91    | 0.10%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24                | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24 2.684% 10/15/2049                           | CUSIP: 95000HBE1<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    177134 | PA      | $161142.71    | 0.04%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 03/48#BJ6757                                                                 | CUSIP: 3140H8QK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129876 | PA      | $122200.95    | 0.03%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS              | GOVERNMENT NAT MTG AS REMIC PT 1ML+45 02/20/2049                                            | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    106042 | PA      | $104893.88    | 0.02%             | 2049-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                               | SBLOFI SWAP CY451600 12/16/72 B                                                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    980000 | NC      | $13406.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3.5% 05/01/2047#FM2438                                                            | CUSIP: 3140X5V83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8363 | PA      | $7860.76      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 09/20/2043#MA1285                                                              | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3444 | PA      | $3272.96      | 0.00%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMDB COML MTG SECS TR 2017-C5                                 | JPMDB 2017-C5 ASB 3.4919% 03/50                                                             | CUSIP: 46590TAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354939 | PA      | $339200.25    | 0.08%             | 2050-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2051#FM9632                                                              | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943093 | PA      | $842057.26    | 0.20%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 2.5% 12/01/2032#G18669                                                            | CUSIP: 3128MMW74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158650 | PA      | $149588.74    | 0.03%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 10/01/2051#RA6076                                                              | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2334017 | PA      | $1928020.83   | 0.45%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 08/01/2051#FM9973                                                              | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    560529 | PA      | $501616.79    | 0.12%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B1 MTG TR                                       | BENCHMARK MTG TR 2018-B1 ASB 3.602% 01/15/2051                                              | CUSIP: 08162PAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $382547.00    | 0.09%             | 2051-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2021-4                            | UPSTART SECURITIZATION TRUST 2021-4 0.84% 09/20/2031 144A                                   | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    423838 | PA      | $409013.40    | 0.09%             | 2031-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3.5% 08/20/2043#MA1224                                                              | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3257 | PA      | $3095.06      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                     | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                                       | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230735 | PA      | $222579.07    | 0.05%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 20YR 1.5% 04/01/2041#RB5107                                                            | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148448 | PA      | $121321.12    | 0.03%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 07/01/2050#CA6312                                                              | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427168 | PA      | $383940.31    | 0.09%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 4.0% 08/20/2044#MA2149                                                              | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111160 | PA      | $108702.93    | 0.03%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATIXIS COML MTG SECS TR 2020-2PAC                             | NATIXIS COML MTG SECS TR 2020-2PAC 2.966% 12/15/2038 144A                                   | CUSIP: 63875DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790017 | PA      | $729209.84    | 0.17%             | 2038-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DBJPM 2017-C6 MTG TR                                           | DBJPM 2017-C6 ASB 3.121% 06/50                                                              | CUSIP: 23312JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    633652 | PA      | $602857.77    | 0.14%             | 2050-06-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3% 11/20/2050#MA6996                                                                | CUSIP: 36179VXZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3938659 | PA      | $3581995.64   | 0.83%             | 2050-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3.5% 06/01/2046#G08711                                                            | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6822 | PA      | $6405.55      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 20YR 2% 11/01/2040#                                                                    | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18263 | PA      | $15668.48     | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                      | GNII II 3% 01/01/2053 #TBA                                                                  | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8400000 | PA      | $7581509.04   | 1.76%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 2.5% 12/01/2051#CB2289                                                            | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1502505 | PA      | $1289714.56   | 0.30%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 15YR 3.5% 07/01/2034#CA3925                                                            | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86594 | PA      | $84000.78     | 0.02%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 3% 08/01/2050#SD7524                                                              | CUSIP: 3132DVLD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2352298 | PA      | $2126753.00   | 0.49%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C12                                     | WFRBS COML MTG TR 2013-C12 3.56% 03/15/2048                                                 | CUSIP: 92937FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1823639 | PA      | $1810113.57   | 0.42%             | 2048-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 15YR 3% 09/01/2034#SB0072                                                              | CUSIP: 3132CWCH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    399020 | PA      | $379794.47    | 0.09%             | 2034-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                  | FHLG 30YR 2% 12/01/2051#QD3434                                                              | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122304 | PA      | $100991.59    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                     | FNMA 30YR 3% 11/01/2049#BO4757                                                              | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2118516 | PA      | $1907442.83   | 0.44%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                           | UMBS 30YR 3.5% 01/01/2053 #TBA                                                              | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   1250000 | PA      | $1145898.50   | 0.27%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer